SUN · 2020年05月22日
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。
MVO是充分分散化的吧？只有系统性风险了。和A项矛盾吗？
纠纠_品职答疑助手 · 2020年05月22日
嗨，努力学习的PZer你好：
MVO是：mean–variance 最优化，是寻找某一个return下风险最小的组合。
它的原理并不是为了分散风险，而是找一个数值上的最优组合
基础班讲义111页第四条：
Although the asset allocations may appear diversified across assets, the sources of risk may not be diversified.
-------------------------------就算太阳没有迎着我们而来，我们正在朝着它而去，加油！
NO.PZ2018110601000020 问题如下 Which of the following statement regarng mean–variance optimization is least appropriate? The sources of risk are well versifie The asset allocation outputs are highly sensitive to small changes in the inputs. The asset allocation ten to highly concentratein a subset of asset classes. 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 bueting和factor-based approach。 B为什么是对的呢？B不是MCS的缺点吗
NO.PZ2018110601000020 The asset allocation outputs are highly sensitive to small changes in the inputs. The asset allocation ten to highly concentratein a subset of asset classes. A is correct. 考点mean–varianoptimization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 bueting和factor-baseapproach。 请问C是不是指运用杠杆的时候，导致资产过度集中在某类资产的情况？
问一道题：NO.PZ2018110601000020
