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陈Shelly · 2022年05月11日

range

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

NO.PZ201805280100000303

问题如下：

The broker suggests that Young rebalance her $5.5 million money market account and the $3.0 million tax-deferred retirement account periodically in order to maintain their targeted allocations. The broker proposes the same risk profile for the equity positions with two potential target equity allocations and rebalancing ranges for the two accounts as follows:
■ Alternative 1: 80% equities +/– 8.0% rebalancing range
■ Alternative 2: 75% equities +/– 10.7% rebalancing range

选项：

解释：

税→税后波动率小→range宽

请问下老师， volatility大 的会更容易跑出range所以要设置更宽的corridor，防止要跳来跳去，不是吗？为什么题目中是volatility小 range更宽呢

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1 个答案

lynn_品职助教 · 2022年05月13日

嗨，爱思考的PZer你好：


关于Rebalance range这一知识点我们主要掌握老师讲到的几点，我这里有一个总结的方法，所有的因素都可以归总到两个方面，第一需要不需要，第二能不能（一般是看成本）。


比如波动率越大，range越窄。因为波动性比较高，说明资产的风险比较大，所以需要做频繁调整，那么就要设定一个比较窄的调整区间。


再比如税收越高，range越宽。税收高成本就高，越不能频繁调整，那么就要设定一个比较宽的调整区间。


所有的因素都可以代入这两个方面来进行分析，掌握原理就很好记忆了。

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