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matthew6448 · 2020年02月25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.

选项2是想表达什么

1 个答案

Shimin_CPA税法主讲、CFA教研 · 2020年02月26日

嗨,爱思考的PZer你好:


风险预算主要解决需要承担的风险类型,承担的总风险是多少,以及每种风险类型的配比问题,以达到最优的风险安排。比如说投资公司决定总共可以承担的风险为100万的损失,然后再把这100万分别分配给固定收益部门10万,外汇部门30万,股票部门60万的配比,分配的这个过程就是 risk budgeting。


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