NO.PZ2022122801000037
问题如下：
Raye is concerned that the
asset allocation approach followed by the Laws’ previous financial adviser
resulted in an overlap in risk factors among asset classes for the portfolio.
Raye plans to address this by examining the portfolio’s sensitivity to various
risk factors, such as inflation, liquidity, and volatility, to determine the
desired exposure to each factor.
To address his concern regarding the previous adviser’s asset allocation approach, Raye should assess the Laws’ portfolio using:
选项：
A.a homogeneous and mutually exclusive asset class–based risk analysis. B.a multifactor risk model to control systematic risk factors in asset allocation.
an asset class–based asset allocation approach to construct a diversified portfolio.
解释：
B is correct. Raye believes the Laws’ previous financial adviser followed an asset allocation approach that resulted in an overlap in risk factors among asset classes. A multifactor risk model approach can be used to address potential risk factor overlaps. Risk factor approaches to asset allocation focus on assigning investments to the investor’s desired exposures to specified risk factors. These methods are premised on the observation that asset classes often exhibit some overlaps in sources of risk.
B选项非系统性风险因子为啥不能放在资产配置模型里？