问一道题：NO.PZ2018110601000030

问题如下：

Which of the following statement about asset allocation for taxable investor is least appropriate?

选项：

In taxable account, the after-tax asset return volatility will be less than the pre-tax asset return volatility.

In taxable account, the after-tax asset return will be less than the pre-tax asset return.

More tax favorable assets should be held in the tax-exempt accounts.

解释：

C is correct.

考点：asset allocation for taxable investor

解析：在taxable account，资产的收益率和波动率都受税收影响而减小，并且有以下公式：

$r_{at}=r_{pt}(1-t$， $sigma_{at}=\sigma_{pt}{(1-t)}$。有税收优惠的资产应当放入taxable account，例如，税率低的或者可以抵减税收的资产。