NO.PZ2018110601000020
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。
请问C选项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？
