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.
选项2是想表达什么