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Viva · 2020年11月11日

问一道题：NO.PZ2019122802000036

  1. CFA III
  2. Alternative

问题如下：

Which of the following statement about Monte Carlo Simulation in alternative asset allocation is not correct?

选项：

A.

Monte Carlo Simulation relaxes the assumption of normally distributed return.

B.

Monte Carlo Simulation combines the high and low volatility normal distributions to lead a skewed and fat-tailed distribution for alternative investments.

C.

Monte Carlo Simulation is the most robust asset allocation approach.

解释：

C is correct.

Risk-factor based optimization is the most robust asset allocation approach.

为什么risk factor based 最robust，虽然讲义写的是，但不是很理解原因

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1 个答案

韩韩_品职助教 · 2020年11月12日

嗨，从没放弃的小努力你好：


同学你好，因为其实任何投资，都是对风险的一种补偿，而risk factor based optimization就是把这种风险拆到最小最细致，并且分析历史业绩和不同风险因子之间的关系，所以相当于非常准确得计量了风险得来源和收益对风险得补偿。所以是most robust。


-------------------------------
努力的时光都是限量版，加油！


Candice000 · 2020年12月05日

请问这个most robust是原版书的结论吗？没找到，，所以确认下

韩韩_品职助教 · 2020年12月05日

Candice同学你好，是的，这个就是原版书的结论，专门记住吧~

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