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梁 · 2022年02月19日

还是不能这个结论

  1. CFA III
  2. Asset Allocation

NO.PZ2018110601000019

问题如下：

Which of the following statement regarding risk budgeting is most appropriate?

选项：

A.

An optimal risk budgeting is to minimize the total risk.

B.

Risk budgeting is on top-level rather than allocates the risk to a portfolio’s constituent parts.

C.

An asset allocation is optimal when the ratio of excess return to marginal contribution to risk is the same for all assets.

解释：

C is correct.

考点：risk budgeting

解析：risk budgeting的目标是最大化每承担一单位风险所获得的收益，而不是最小化风险，A错。risk budgeting的过程是识别所有风险并且分配风险，B错。C是risk budgeting的结论，当每个资产类型的excess return/MCTR都相同时，资产配置是最优的。

risk budgeting的结论，当每个资产类型的excess return/MCTR都相同时，资产配置是最优的。

这个是怎么推倒出来的 我先把它当结论背了其实没有理解



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郭静_品职助教 · 2022年02月20日

嗨，努力学习的PZer你好：


这个公式可以从夏普比率的角度来理解。

夏普比率表达的是承担一单位风险带来的超额回报，这个公式的excess return/MCTR也代表增加单位资产配置后，风险调整后的超额收益。

那么excess returni/MCTRi=excess returnj/MCRTj 就表示，i、j 两个资产的风险调整后的超额收益是相等的，此时是一个optimal 的状态。

否则，若excess returnj/MCTRi＞excess returnj/MCTRj，说明i资产的风险调整后收益大于j资产，那么应该继续加大对i资产的配置，降低对j资产的配置，随着i资产配置的增加，excess returni/MCTRi是下降的，excess returnj/MCTRj是上升的，直到相等。

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努力的时光都是限量版，加油！

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