137****6108
2024-07-07 15:29說的是啥看不太懂
所屬：CFA Level III > Alternative Investments for Portfolio Management 視頻位置 相關試題
來源： 視頻位置 相關試題
1個回答
Simon助教
2024-07-11 14:21
該回答已被題主采納
同學，上午好。這道題比較牽強，了解下就好。
A選項錯在Returns to traditional asset classes are normally distributed, whereas returns to alternative investments tend to exhibit non-normality. 傳統(tǒng)上來說確實絕大部分的傳統(tǒng)資產(chǎn)都是正態(tài)分布的，但是確實有一部分傳統(tǒng)資產(chǎn)是非正態(tài)分布的，比如投機級債券、所以A的表述錯誤。
剩下B和C分別對應原文：
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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