NO.PZ201803130100000107
问题如下：
In the risk parity asset allocation approach that Müller uses, the weight that Müller places on domestic bonds should be:
选项：
A.less than 25%.
B.equal to 25%.
C.greater than 25%.
解释：
C is correct.
A risk parity asset allocation is based on the notion that each asset class should contribute equally to the total risk of the portfolio. Bonds have the lowest risk level and must contribute 25% of the portfolio’s total risk, so bonds must be overweighted (greater than 25%). The equal contribution of each asset class is calculated as:
wi* Cov(ri,rp)=
where
wi = weight of asset i
Cov(ri,rp) = covariance of asset i with the portfolio
n = number of assets
σ2= variance of the portfolio
In this example, there are four asset classes, and the variance of the total portfolio is assumed to be 25%; therefore, using a risk parity approach, the allocation to each asset class is expected to contribute (1/4 × 25%) = 6.25% of the total variance. Because bonds have the lowest covariance, they must have a higher relative weight to achieve the same contribution to risk as the other asset classes.
明白本题原理，对于文中提法有疑惑
1.. The expected return of the domestic bond asset class is the lowest of the asset classes,
本句只说了domestic bond return最小，没有说risk最小，是据此退出的risk最小？
2.and the returns of the domestic bond asset class have the lowest covariance with other asset class returns.
domestic bond 和其他资产的协方差最小，没有说公式里的和组合的协方差最小，怎么推出？
