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cecilia · 2020年02月06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.

为什么A不对,谢谢

1 个答案

Shimin_CPA税法主讲、CFA教研 · 2020年02月07日

嗨,从没放弃的小努力你好:


错在最小化总风险。

在所有资产的excess return/MCTR都相等时,达到 optimal risk budgeting。excess return/MCTR既考虑了风险又考虑了收益率,所以不是最小化总风险。


-------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!


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