问题如下:
A risk parity asset allocation approach is used to allocate asset classes in a portfolio. Among the five asset classes, foreign equities have the highest risk, and have the highest covariance with other asset class returns. In this case, the weight of foreign equities should be:
选项:
A.smaller than 20%
B.equal to 20%
C.greater than 20%
解释:
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%。
请问这道题的答案是否不够严谨?该资产与整个组合的相关性最大才是最重要的原因。