颖 · 2022年11月14日
* 问题详情，请 查看题干
NO.PZ201803130100000203
问题如下：
Which of Velky’s statements about risk budgeting is correct?
选项：
A.
Statement 1
B.
Statement 2
C.
Statement 3
解释：
B is correct.
The goal of risk budgeting is to maximize return per unit of risk. A risk budget identifies the total amount of risk and attributes risk to its constituent parts. An optimum risk budget allocates risk efficiently.
老师上课讲过风险均衡时整个组合的风险最小，为什么statement1不对
lynn_品职助教 · 2022年11月15日
嗨，努力学习的PZer你好：
是因为statement 1有一个文字陷阱。
statement 1的意思是说风险均衡时整个组合的总风险最小，错在最小化总风险。
同学知道，在所有资产的excess return/MCTR都相等时，达到 optimal risk budgeting。excess return/MCTR是既考虑了风险又考虑了收益率，所以不是最小化总风险。
----------------------------------------------就算太阳没有迎着我们而来，我们正在朝着它而去，加油！
Wuyyyyyy · 2023年06月21日
请问老师的意思是说最小化了单位收益的风险，而不是总风险吗
NO.PZ201803130100000203 问题如下 Whiof Velky’s statements about risk bueting is correct? A.Statement 1 B.Statement 2 C.Statement 3 B is correct. The goof risk bueting is to maximize return per unit of risk. A risk buet intifies the totamount of risk anattributes risk to its constituent parts. optimum risk buet allocates risk efficiently. 如题
NO.PZ201803130100000203 问题如下 Whiof Velky’s statements about risk bueting is correct? A.Statement 1 B.Statement 2 C.Statement 3 B is correct. The goof risk bueting is to maximize return per unit of risk. A risk buet intifies the totamount of risk anattributes risk to its constituent parts. optimum risk buet allocates risk efficiently. statement3如何理解
NO.PZ201803130100000203 问题如下 Whiof Velky’s statements about risk bueting is correct? A.Statement 1 B.Statement 2 C.Statement 3 B is correct. The goof risk bueting is to maximize return per unit of risk. A risk buet intifies the totamount of risk anattributes risk to its constituent parts. optimum risk buet allocates risk efficiently. statement 1怎么错啦
NO.PZ201803130100000203 问题如下 Investment aiser Carl Monteo termines client asset allocations using quantitative techniques sumean–varianoptimization (MVO) anrisk buets. Monteo is reviewing the allocations of three clients. Exhibit 1 shows the expectereturn anstanrviation of returns for three strategic asset allocations thapply to severof Monteo’s clients.Exhibit1 Strategic Asset Allocation AlternativesMonteo interviews client Mary Perkins anvelops a taileassessment of her risk preferenancapacity for risk, whiis neeto apply MVO to asset allocation. Monteo estimates the risk aversion coefficient (λ) for Perkins to 8 anuses the following utility function to termine a preferreasset allocation for Perkins:Um =E (Rm) - 0.005λσm2Another client, Lars Velky, represents Velky Partners (VP), a large institutioninvestor with $500 million in investable assets. Velky is interestein aing less liquiasset classes, surereestate, infrastructure, anprivate equity, to VP’s portfolio. Velky anMonteo scuss the consirations involvein applying many of the common asset allocation techniques, suMVO, to these asset classes. Before making any changes to the portfolio, Monteo asks Velky about his knowlee of risk bueting. Velky makes the following statements:Statement 1 optimum risk buet minimizes totrisk.Statement 2 Risk bueting composes totportfolio risk into its constituent parts.Statement 3 asset allocation is optimfrom a risk-bueting perspective when the ratio of excess return to margincontribution to risk is fferent for all assets in the portfolio.Monteo meets with a thirclient, Jayanta Chaterji, inviinvestor. Monteo anChaterji scuss mean–varianoptimization. Chaterji expresses concern about using the output of MVOs for two reasons:Criticism 1: The asset allocations are highly sensitive to changes in the mol inputs.Criticism 2: The asset allocations tento highly sperseacross all available asset classes.Monteo anChaterji also scuss other approaches to asset allocation. Chaterji tells Monteo thhe unrstan the factor-baseapproato asset allocation to have two key characteristics:Characteristic 1 The factors commonly usein the factor-baseapproagenerally have low correlations with the market anwith eaother.Characteristic 2 The factors commonly usein the factor-baseapproaare typically fferent from the funmentor structurfactors usein multi-factor mols.Monteo conclus the meeting with Chaterji after sharing his views on the factor baseapproach.Whiof Velky’s statements about risk bueting is correct? A.Statement 1 B.Statement 2 C.Statement 3 B is correct. The goof risk bueting is to maximize return per unit of risk. A risk buet intifies the totamount of risk anattributes risk to its constituent parts. optimum risk buet allocates risk efficiently. Statement 2怎么理解呢？
