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17yoyo2010 · 2020年03月14日

第二句话的陈旧定价什么意思呢?问一道题:NO.PZ2019122802000006 [ CFA III ]

问题如下:

Which of the following statements about using a risk factor-based approach rather than a mean–variance-optimization technique is correct?
Statement 1 Risk factor-based approaches to asset allocation produce more robust asset allocation proposals.
Statement 2 A mean–variance optimization typically overallocates to the private alternative asset classes due to stale pricing.

选项:

A.

Only Statement 1

B.

Only Statement 2

C.

Both Statement 1 and Statement 2

解释:

C is correct.

Statement 1 is correct because risk factor-based approaches to asset allocation can be applied to develop more robust asset allocations. Statement 2 is correct because a mean–variance optimization typically overallocates to the private alternative asset classes, partly because of underestimated risk due to stale pricing and the assumption that returns are normally distributed.

第二句话里的陈旧定价什么意思?
1 个答案

星星_品职助教 · 2020年03月15日

同学你好,

stale pricing指的是报价不连续。无论是这个词还是这句话上课的时候都讲到过,可以复习。

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