NO.PZ2018110601000032
问题如下：
Movements of the asset allocations outside the corridor trigger a rebalancing of the portfolio. Ray explains that for a given asset class, the higher the transaction costs and the higher the correlation with the rest of the portfolio, the wider the rebalancing corridor. Molly adds that the higher the volatility of the rest of the portfolio, the wider the corridor.
When discussing asset allocation corridors, which of Ray’s and Molly’s statements is the least accurate? The one regarding:
选项：
A.volatility.
B.correlation.
C.transaction costs.
解释：
A is correct.
考点：影响rebalancing range的因素.
解析：rebalancing corridor width与以下因素正相关：交易成本、税收、风险容忍度、与其它资产类型的相关性。与以下因素负相关：自身的波动率，其它资产类型的波动率。
A 选项错，因为其它资产类型的波动率越大，调增的区间应当越窄。
波动率越高，偏离越大，Rebalance频率越高，成本越大，为了减少成本，不应该把区间设宽么？
