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