NO.PZ2018110601000019
问题如下:
Which of the following statement regarding risk budgeting is most appropriate?
选项:
A.
An optimal risk budgeting is to minimize the total risk.
B.
Risk budgeting is on top-level rather than allocates the risk to a portfolio’s constituent parts.
C.
An asset allocation is optimal when the ratio of excess return to marginal contribution to risk is the same for all assets.
解释:
C is correct.
考点:risk budgeting
解析:risk budgeting的目标是最大化每承担一单位风险所获得的收益,而不是最小化风险,A错。risk budgeting的过程是识别所有风险并且分配风险,B错。C是risk budgeting的结论,当每个资产类型的excess return/MCTR都相同时,资产配置是最优的。
我在考试中,应该如何判断题目考的是狭义还是广义的risk parity呢