NO.PZ202206210100000202
问题如下：
When discussing asset allocation corridors with Shipman, which of Remington’s and Montgomery’s statements is the least accurate? The one regarding:
选项：
A.volatility.
B.correlation.
C.transaction costs.
解释：
SolutionA 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.
A volatility 选择怎么理解？
