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Zachary · 2020年10月02日

问一道题:NO.PZ2018011501000011 [ CFA III ]

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.

请问选项C想表达的是什么?可以解释一下吗?为什么不对?

1 个答案

Olive_品职助教 · 2020年10月03日

嗨,努力学习的PZer你好:


statement 3这句话说的是risk-budgeting,statement 3认为risk-budgeting最优条件是所有资产的excess return/marginal contribution to risk这个ratio都不同。

恰恰说反了risk-budgeting最优化条件是所有资产的这个ratio都相等。


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虽然现在很辛苦,但努力过的感觉真的很好,加油!