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
Only Statement 2
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。