NO.PZ2018011501000002
问题如下：
The firm’s policy is to rebalance a portfolio when the asset class weight falls outside of a corridor around the target allocation. The width of each corridor is customized for each client and proportional to the target allocation. Beade recommends wider corridor widths for high-risk asset classes, narrower corridor widths for less liquid asset classes, and narrower corridor widths for taxable clients with high capital gains tax rates.
For clients concerned about rebalancing-related transactions costs, which of Beade’s suggested changes in the corridor width of the rebalancing policy is correct? The change with respect to:
选项：
A. high-risk asset classes.
B. less liquid asset classes.
C. taxable clients with high capital gains tax rates.
解释：
A is correct.
Theoretically, higher-risk assets would warrant a narrow corridor because high-risk assets are more likely to stray from the desired strategic asset allocation. However, narrow corridors will likely result in more frequent rebalancing and increased transaction costs, so in practice corridor width is often specified to be proportionally greater the higher the asset class’s volatility. Thus, higher-risk assets should have a wider corridor to avoid frequent, costly rebalancing costs. Her other suggestions are not correct. Less-liquid asset classes should have a wider, not narrower, corridor width. Less-liquid assets should have a wider corridor to avoid frequent rebalancing costs. For taxable investors, transactions trigger capital gains in jurisdictions that tax them. For such investors, higher tax rates on capital gains should be associated with wider (not narrower) corridor widths.
考点：Rebalancing range
解析：这道题目考法特殊，通常情况下，高风险的资产应当设定更窄的调整区间，但是题目强调了客户同时还考虑交易成本 “clients concerned about rebalancing-related transactions costs”。调整区间窄，则调整频率高，带来的交易成本就高。因此，在节约成本的要求下，高风险的资产反而应该设定比较宽的区间。
在考试的时候，如果涉及到一个影响因素，适用rebalancing range的相关结论，即高风险的资产应当设定更窄的调整区间。如果同时受到两个因素的影响，既要考虑cost又要考虑high risk，那么节约成本更为重要。
请问题目中high risk asset这里，可以理解为high risk tolerance asset吗？这样就不用考虑cost问题，与学习框架也能对应了。
