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Viva · 2020年11月11日

问一道题:NO.PZ2019122802000036

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

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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