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这题虽然我做对了

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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：

less than 25%.

equal to 25%.

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)= $\frac{1}{n} δ_{ρ}^{2}$

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.

但是我解析没看懂，我的理解是“the returns of the domestic bond asset class have the lowest covariance with other asset class returns. ”

因为相关性很低，所以权重可以给高点，我这么理解可以吗？

嗨，爱思考的PZer你好：

同学你好：

风险平价资产配置的基本理念是让每个资产类别对投资组合的总风险贡献相等。在一个包含多种资产类别的投资组合中，总风险是由各个资产类别共同作用产生的。

在这道题中，投资组合包含四个资产类别，假设总投资组合的方差为 25%。按照风险平价的要求，每个资产类别需要对总方差贡献相同的比例，即 (1/4×25%) = 6.25%。这意味着每个资产类别要通过调整自身权重，来实现对总风险 6.25% 的贡献。

题目中提到国内债券资产类别的预期回报率是所有资产类别中最低的，且其回报率与其他资产类别的协方差也是最低的。协方差用于衡量两个变量（这里是资产回报率）的协同变动程度，协方差低说明国内债券与其他资产类别回报率的联动性较弱。

由于风险贡献 = 资产权重 × 资产与投资组合的协方差，为了使国内债券对总风险的贡献达到 6.25%（和其他资产类别相同），在其协方差较低的情况下，就需要提高它的权重。所以国内债券的权重必然大于 25%。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

这题虽然我做对了

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