豆同學(xué)
2024-02-08 19:02【官網(wǎng)題】Alternative -LM2- Ava Chan Q3
In his comments on portfolio optimization, Gill is least likely correct regarding the:normality of asset class returns.accuracy of risk estimates for alternative investments.common way portfolio optimization can incorporate alternative investments.請(qǐng)老師講一下這題為什么選A不選其他，謝謝！
所屬：CFA Level III > Alternative Investments for Portfolio Management 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Simon助教
2024-02-13 15:33
該回答已被題主采納
同學(xué)，上午好。這道題比較牽強(qiáng)，了解下就好。
錯(cuò)在Returns to traditional asset classes are normally distributed, whereas returns to alternative investments tend to exhibit non-normality. 傳統(tǒng)上來(lái)說(shuō)確實(shí)絕大部分的傳統(tǒng)資產(chǎn)都是正態(tài)分布的，但是確實(shí)有一部分傳統(tǒng)資產(chǎn)是非正態(tài)分布的，比如投機(jī)級(jí)債券、所以A的表述錯(cuò)誤。
剩下B和C分別對(duì)應(yīng)原文：
For alternative investments, even the most basic estimate of risk, the standard deviation of returns, is likely to be measured incorrectly, because of the way returns are calculated and reported.
A common approach to portfolio optimization when alternative assets are involved is a two-step process that first uses a mean-variance analysis for the traditional asset classes and then incorporates alternative assets using more sophisticated techniques, such as Monte Carlo simulation.
他們表述都是正確的。
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