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宝宝包包 · 2020年01月31日

问一道题:NO.PZ2018011501000011

问题如下:

Velky and Monteo discuss the considerations involved in applying many of the common asset allocation techniques, such as MVO, to these asset classes. Before making any changes to the portfolio, Monteo asks Velky about his knowledge of risk budgeting. Velky makes the following statements:

Statement 1 An optimum risk budget minimizes total risk.

Statement 2 Risk budgeting decomposes total portfolio risk into its constituent parts.

Statement 3 An asset allocation is optimal from a risk-budgeting perspective when the ratio of excess return to marginal contribution to risk is different for all assets in the portfolio.

Which of Velky’s statements about risk budgeting is correct?

选项:

A.

Statement 1

B.

Statement 2

C.

Statement 3

解释:

B is correct.

The goal of risk budgeting is to maximize return per unit of risk. A risk budget identifies the total amount of risk and attributes risk to its constituent parts. An optimum risk budget allocates risk efficiently.

请问,如果是risk parity,选项A是对的吗?risk parity的均衡条件下,就是风险最小,对吗?

2 个答案
已采纳答案

Shimin_CPA税法主讲、CFA教研 · 2020年02月12日

图片见原版书138页。现在每一种资产贡献的风险都是0.8%,所以组合的总风险是6.41%。

但如果想让组合的风险最小,只需要100%投资US bond,最后组合的风险是2.6%,最低。

所以 每一种资产对风险的贡献一样 不等于 portfolio总风险最小 。

Shimin_CPA税法主讲、CFA教研 · 2020年02月03日

嗨,从没放弃的小努力你好:


基础班讲义187页第一句话:Risk parity asset allocation: based on the notion that each asset should contribute equally to the total risk of the portfolio for a portfolio to be well diversified

Risk parity指的是每一种资产对投资组合的总风险相同,所以并不代表着投资组合的总风险是最小的。


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虽然现在很辛苦,但努力过的感觉真的很好,加油!


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