俞同學(xué)
2024-08-15 12:22老師這幾題我能得分么？還差什么關(guān)鍵詞？謝謝
所屬：CFA Level III > Asset Allocation and Related Decisions in Portfolio Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Essie助教
2024-08-15 14:27
該回答已被題主采納
你好，第一張圖對應(yīng)的題目可以得滿分，基本點(diǎn)都回答到了。
第二張圖對應(yīng)的題目，優(yōu)勢可以得滿分，但是resample MVO的缺點(diǎn)，按照原版書的原文，建議從以下四點(diǎn)中任選一條寫：Criticisms include the following: (1) Some frontiers have concave “bumps” where expected return decreases as expected risk increases; (2) the “riskier” asset allocations are over-- diversified; (3) the asset allocations inherit the estimation errors in the original inputs; and (4) the approach lacks a foundation in theory.
第三張圖對應(yīng)的題目，只解釋了為什么是optimal risk budget，沒有解釋是不是risk parity，應(yīng)該補(bǔ)充“the percent contribution to total standard deviation is different for all assets, the asset allocation is not risk parity.”
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