凉茶325 · 2022年12月25日
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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.
statement3如何理解
lynn_品职助教 · 2022年12月26日
嗨，努力学习的PZer你好：
statement 3这句话说的是risk-budgeting，statement 3认为risk-budgeting最优条件是所有资产的excess return/marginal contribution to risk这个ratio都不同。
恰恰说反了risk-budgeting最优化条件是所有资产的这个ratio都相等，狭义risk budgeting与risk parity差不多，是风险分配达到最优的另一种均衡条件——对于所有大类资产，超额收益比上MCTR的比率相等时，风险分配达到最优。
----------------------------------------------努力的时光都是限量版，加油！
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 1B.Statement 2C.Statement 3B 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.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
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？
