丁同學(xué)
2024-07-03 18:27resample MVO的4個(gè)缺陷，請(qǐng)老師幫忙總結(jié)一下，謝謝，直播這一小段聽(tīng)不清楚
所屬：CFA Level III > Asset Allocation and Related Decisions in 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
Johnny助教
2024-07-05 09:57
該回答已被題主采納
同學(xué)你好，可以參考講義或沖刺筆記上的總結(jié)，4個(gè)缺陷如下
(1) Some frontiers have concave “bumps” where expected return decreases as expected risk increases; 有時(shí)候會(huì)出現(xiàn)預(yù)期風(fēng)險(xiǎn)提高導(dǎo)致預(yù)期收益下降
(2) the “riskier” asset allocations are over-diversified; 高風(fēng)險(xiǎn)資產(chǎn)被過(guò)度分散化了
(3) the asset allocations inherit the estimation errors in the original inputs；輸入變量的誤差會(huì)導(dǎo)致資產(chǎn)配置結(jié)果出問(wèn)題
(4) the approach lacks a foundation in theory；缺乏理論基礎(chǔ)
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