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含笑步步颠💫 · 2021年03月27日

robust assets allocation这个点该怎么理解?稳健的资产配置?

NO.PZ2019122802000006

问题如下:

Which of the following statements about using a risk factor-based approach rather than a mean–variance-optimization technique is correct?
Statement 1 Risk factor-based approaches to asset allocation produce more robust asset allocation proposals.
Statement 2 A mean–variance optimization typically overallocates to the private alternative asset classes due to stale pricing.

选项:

A.

Only Statement 1

B.

Only Statement 2

C.

Both Statement 1 and Statement 2

解释:

C is correct.

Statement 1 is correct because risk factor-based approaches to asset allocation can be applied to develop more robust asset allocations. Statement 2 is correct because a mean–variance optimization typically overallocates to the private alternative asset classes, partly because of underestimated risk due to stale pricing and the assumption that returns are normally distributed.

robust assets allocation这个点该怎么理解?稳健的资产配置?

当时听课看讲义的时候就不是很懂。

1 个答案
已采纳答案

伯恩_品职助教 · 2021年03月27日

嗨,努力学习的PZer你好:


同学你好。这里另类的角度是说risk factor model 可以非常细致得把收益分解到单个因素上面,所以可以根据投资者想要的风险因子来投资,所以是更适合投资者要求的。所以在几个方法当中就是最好的。

每天都鼓励你的伯恩小哥哥

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努力的时光都是限量版,加油!

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