NO.PZ2018110601000032
问题如下：
Movements of the asset allocations outside the corridor trigger arebalancing of the portfolio. Ray explains that for a given asset class,the higher the transaction costs and the higher the correlation with the restof the portfolio, the wider the rebalancing corridor. Molly adds that thehigher the volatility of the rest of the portfolio, the wider the corridor.
Whendiscussing asset allocation corridors, which of Ray’s andMolly’s statements is the least accurate? The one regarding:
选项：
A.
volatility.
B.
correlation.
C.
transaction costs.
解释：
A is correct.
考点：影响rebalancing range的因素.
解析：rebalancing corridor width与以下因素正相关：交易成本、税收、风险容忍度、与其它资产类型的相关性。与以下因素负相关：自身的波动率，其它资产类型的波动率。
A 选项错，因为其它资产类型的波动率越大，调增的区间应当越窄。
与其他资产相关性高，意味着同涨同跌，不容易超出预设的区间，为什么设置更窄的调仓区间吗？
