A

问题如下：

Remington and Montgomery discuss the importance of strategic asset allocation with Shipman. Remington states that the firm’s practice is to establish targeted asset allocations and a corridor around the target. Movements of the asset allocations outside the corridor trigger a rebalancing of the portfolio. Remington explains that for a given asset class, the higher the transaction costs and the higher the correlation with the rest of the portfolio, the wider the rebalancing corridor. Montgomery adds that the higher the volatility of the rest of the portfolio, excluding the asset class being considered, the wider the corridor.

When discussing asset allocation corridors with Shipman, which of Remington’s and Montgomery’s statements is the least accurate? The one regarding: (2019 mock AM)

选项：

A.

volatility.

B.

correlation.

C.

transaction costs.

解释：

A is correct. The statement regarding volatility is the least accurate. The higher the volatility of the rest of the portfolio, excluding the asset class being considered, the more likely a large divergence from the strategic asset allocation becomes, which should point to a narrower optimal corridor, all else being equal.

B is incorrect. The higher the correlation of an asset class with the rest of the portfolio, the wider the optimal corridor. When asset classes move in sync, further divergence from target weights is less likely.

C is incorrect. The higher the transaction costs, the wider the optimal corridor. High transaction costs set a high hurdle for rebalancing benefits to overcome.