NO.PZ2018110601000005
问题如下:
To examine the portfolio’s sensitivity to various risk factors, such as inflation, credit spread, and volatility, and eliminate the overlap in risk factors among asset classes, the most appropriate approach to construct a portfolio should be:
选项:
A.a risk-return analysis.
B.a multifactor risk model.
C.an asset class–based asset allocation approach.
解释:
B is correct.
考点:factor-based approach VS asset class–based approach
解析:asset class–based approach的缺点是资产类型之间的risk factor可能会有重合,从而控制风险的能力降低。factor-based approach,也就是multifactor risk model,解决了risk factor可能会有重合的问题,它使用long和short的头寸,只关注于投资者想要承担的特殊风险因子,例如inflation, credit spread和 volatility。
请问选项A是什么意思? 在这道题中该如何理解?