问题如下图:
这道题不太理解,麻烦助教帮忙解释一下
选项:
A.
B.
C.
解释:
NO.PZ2018110601000015问题如下 A risk parity asset allocation approais useto allocate asset classes in a portfolio. Among the five asset classes, foreign equities have the highest risk, anhave the highest covarianwith other asset class returns. In this case, the weight of foreign equities shoulbe: smaller th20% equto 20% greater th20% A is correct. 考点:risk parity asset allocation 解析:在risk parity asset allocation方法中,每个资产对于组合总风险的贡献度都是相等的,总共5类资产,因此每个资产对于组合总风险的贡献度占比都为20%。由于foreign equities在5类资产中的风险最大,因此foreign equities的权重占比应当小于20%。 老师,请问equity与其他资产cov,可否理解为equty与portfolio的cov最大? 因为按照左边等于右边,如果cov(r1,rp)大,w1则小,右边不变。
NO.PZ2018110601000015 问题如下 A risk parity asset allocation approais useto allocate asset classes in a portfolio. Among the five asset classes, foreign equities have the highest risk, anhave the highest covarianwith other asset class returns. In this case, the weight of foreign equities shoulbe: smaller th20% equto 20% greater th20% A is correct. 考点:risk parity asset allocation 解析:在risk parity asset allocation方法中,每个资产对于组合总风险的贡献度都是相等的,总共5类资产,因此每个资产对于组合总风险的贡献度占比都为20%。由于foreign equities在5类资产中的风险最大,因此foreign equities的权重占比应当小于20%。 “Among the five asset classes, foreign equities have the highest risk, anhave the highest covarianwith other asset class returns. ”这句怎么理解可以不可以简单直接立即为 foreign equities 风险最大 所以应该少配?the highest covarianwith other asset class returns.的变量该怎么理解?
NO.PZ2018110601000015 equto 20% greater th20% A is correct. 考点risk parity asset allocation 解析在risk parity asset allocation方法中,每个资产对于组合总风险的贡献度都是相等的,总共5类资产,因此每个资产对于组合总风险的贡献度占比都为20%。由于foreign equities在5类资产中的风险最大,因此foreign equities的权重占比应当小于20%。 这题给相关性的条件有用嘛,是否可以直接根据highest risk判断?
从定量角度分析,σp一般是多少?,无法比较σp的平方和分母cov(Ri,Rp)的大小,没概念
问一道题:NO.PZ2018110601000015