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.
risk factor approach在配置资产组合时整体会更灵活。还是举个栗子，比如我想模拟一个创业板指数的走势，但是这些指数里面有些个股可能很难买到（比如因为交易不活跃）。那这个时候用risk factor approach来代替，做一个类似这些很难买到的指数里的个股的risk factor 。（例如这个买不到指数里的个股是小股票c，受小市值因子影响很大，就做多一个小市值股票同时做空一个大市值的股票，模拟出c股票的类似走势，即使没有买c股票，但是想要的结果达到了，用的risk factor approach模拟的结果涨跌和c股票都差不多）这样就相对更灵活一些，不用买不到这个指数的个股干着急。
stale pricing指的是报价不连续，导致价格更新的慢，样本少了，平滑了波动，所以方差小，而真实的波动会大很多，所以会低估风险，进而分配过多的资产在private alternative asset。
所以选C
讲义里有三个caveats
- 对risk 有不同definition
- correlation shift
- factor sensitivities unstable
为什么这里选risk更stable
