问题如下:
Which of the following statement regarding mean–variance optimization is least appropriate?
选项:
A.The sources of risk are well diversified.
B.The asset allocation outputs are highly sensitive to small changes in the inputs.
C.The asset allocation tends to be highly concentrated in a subset of asset classes.
解释:
A is correct.
考点:mean–variance optimization的缺点
解析:在MVO方法下,sources of risk有可能分散化不足,解决的方法是risk budgeting和factor-based approach。
您好,我一直有一个疑惑,就是均值方差最优化方法,他既然已经最优化了,为什么还会集中在某一个或者某几个SECTOR上而不能做到WELL DIVERSIFY呢?谢谢