NO.PZ2018110601000008
问题如下:
Which of the following is mostly likely the reason why the equities have a wider rebalancing range than the other asset classes?
选项:
A. The investor is risk averse.
B. The equities has high correlation with other asset classes.
C. The equities has low transaction costs compared to other asset classes.
解释:
B 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。
Equities有更宽的rebalancing corridor width,所以可能的原因为:投资者风险容忍度高,与其它资产类型的相关性高,交易成本偏高。B正确。
何老师课上讲的:相关度高,A价格上涨,BC价格也上涨,A在portfolio中所占的比重变化不大,因此不需要频繁rebalance,所以是wider range。