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Wuyyyyyy · 2023年06月29日

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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

2 个答案

lynn_品职助教 · 2023年06月30日

嗨,努力学习的PZer你好:


Risk parity的均衡条件是ACTR相等还是MCTR相等


是ACTR相等。


risk parity的目标是使得每个资产对总风险的贡献度相同,表达式ACTR1=ACTR2。因为它认为贡献度相等时,资产分散化的效果越好。


但是risk parity有个缺点,只考虑了风险,没有考虑收益率,所以risk budgeting引入资产收益率,


认为当excess return1/MCTR1=excess return2/MCTR2时,资产1和2的风险达到了均衡。这个均衡条件使得投资者在每个资产上承担的风险以及获得的收益达到最优状态,也就是所说的 optimal use of risk 。

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lynn_品职助教 · 2023年06月29日

嗨,从没放弃的小努力你好:


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


是risk budgeting有广义和狭义之分,


广义risk budgeting,是指找到最优风险分配方案的过程。


而risk parity和狭义risk budgeting是广义risk budgeting的下位概念。


risk parity是风险分配达到最优(广义risk budgeting)的均衡条件——每个大类资产贡献的风险在组合中是相等的。


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。但是狭义risk budgeting比risk parity多考虑了收益。


以我观察的题目而言,提到risk budget一般是指狭义的risk budget,就是考察均衡条件excee return/MCTR这个公式


除了一些可以从题干看出来的之外,其实这两个知识点都要掌握,互相不冲突,熟悉运用即可。




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Wuyyyyyy · 2023年06月29日

Risk parity的均衡条件是ACTR相等还是MCTR相等

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