Betty-Che · 2023年12月16日
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NO.PZ201803130100000203
问题如下：
Which of Velky’s statements about risk budgeting is correct?
选项：
A.Statement 1
B.Statement 2
C.Statement 3
解释：
B is correct.
The goal of risk budgeting is to maximize return per unit of risk. A risk budget identifies the total amount of risk and attributes risk to its constituent parts. An optimum risk budget allocates risk efficiently.
如题
lynn_品职助教 · 2023年12月17日
嗨，努力学习的PZer你好：
不对的，
因为statement 1的文字陷阱不是这里
statement 1的意思是说风险均衡时整个组合的总风险最小，错在最小化总风险。
同学知道，在所有资产的excess return/MCTR都相等时，达到 optimal risk budgeting。excess return/MCTR是既考虑了风险又考虑了收益率，所以不是最小化总风险。
教材上的原文： risk budgeting：The goal of risk budgeting is to maximize return per unit of risk （每单位风险可以获得最大化的收益）
原版书 ： risk parity: each asset should contribute equally to the total risk of the portfolio for a portfolio to be well diversified. （充分分散化的组合是指，总一种资产贡献的风险相等，充分分散化也就是风险最小，所以它认为的风险最小并不是传统意义上的数字最小）
这两种方法只谈总风险都是不对的。risk budgeting考虑的既有risk又有return。risk parity虽然只关注风险，但是强调的一定先是每一种资产的风险，然后再看每一种资产的风险在总风险里面是相等的。
----------------------------------------------虽然现在很辛苦，但努力过的感觉真的很好，加油！
NO.PZ201803130100000203 问题如下 Whiof Velky’s statements about risk bueting is correct? A.Statement 1 B.Statement 2 C.Statement 3 B is correct. The goof risk bueting is to maximize return per unit of risk. A risk buet intifies the totamount of risk anattributes risk to its constituent parts. optimum risk buet allocates risk efficiently. statement3如何理解
NO.PZ201803130100000203问题如下Whiof Velky’s statements about risk bueting is correct?A.Statement 1B.Statement 2C.Statement 3B is correct. The goof risk bueting is to maximize return per unit of risk. A risk buet intifies the totamount of risk anattributes risk to its constituent parts. optimum risk buet allocates risk efficiently.老师上课讲过风险均衡时整个组合的风险最小，为什么statement1不对
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