NO.PZ2019042401000017
问题如下:
Which of the following statements about risk budgeting is least accurate?
选项:
A.Establish the minimum acceptable levels of RORC and ROE.
B.Simulate the portfolio performance.
C.The weight of each asset class is determined by scenario analysis.
D.Carry out sensitivity analysis to consider the change of return estimation and covariance.
解释:
C is correct.
考点:Risk Budgeting
解析:首选要注意本题是要选关于Risk Budgeting的错误描述。
选项A 确定RORC和ROE的最低可接受水平,选项B 模拟投资组合表现, 选项D 进行敏感性分析以考虑收益和协方差估计的变化,这三项都是关于Risk Budgeting正确描述。
Risk Budgeting是通过均值方差优化的方法确定每个资产类别的权重,而不是scenario analysis, 因此选项C是错误描述,本题选C。
老师我是觉得risk预算可能是和风险有关,模拟收益的表现是和return相挂钩了,不应该选这个吗