| Swan: | MVO portfolios are diversified with respect to risk factors such as value, size, and quality. |
| Gruber: | MVO portfolios are more sensitive to measurement errors in the expected return than to measurement errors in correlation and risk. |
| Morrison: | Some of the issues with MVO can be corrected by using reverse optimization to solve for risk parameters based on inputs for expected return and correlation. |
Q. In the discussion of the criticisms of MVO portfolios, the most accurate statement is made by:
- Morrison.
- Swan.
- Gruber.
Solution
C is correct. Gruber is correct. MVO portfolios are more sensitive to measurement errors in the expected return than to measurement errors in correlation and risk.
A is incorrect. Reverse optimization uses inputs for risk and correlation (or covariance) to solve for expected return.
B is incorrect. MVO portfolios are based on market risk only.
1、swan 说的价值 size quality 这些因素和market risk是什么关系？为什么MVO没有分散这些因素？
