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stevenxing · 2022年04月18日

In this example, there are four asset classes, and the variance of the total portfolio is assumed to be 25%;这个是怎么得来的？谢谢

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

NO.PZ201803130100000107

问题如下：

In the risk parity asset allocation approach that Müller uses, the weight that Müller places on domestic bonds should be:

选项：

A.

less than 25%.

B.

equal to 25%.

C.

greater than 25%.

解释：

C is correct.

A risk parity asset allocation is based on the notion that each asset class should contribute equally to the total risk of the portfolio. Bonds have the lowest risk level and must contribute 25% of the portfolio’s total risk, so bonds must be overweighted (greater than 25%). The equal contribution of each asset class is calculated as:

wi* Cov(ri,rp)=1nδρ2

where

wi = weight of asset i

Cov(ri,rp) = covariance of asset i with the portfolio

n = number of assets

σ2= variance of the portfolio

In this example, there are four asset classes, and the variance of the total portfolio is assumed to be 25%; therefore, using a risk parity approach, the allocation to each asset class is expected to contribute (1/4 × 25%) = 6.25% of the total variance. Because bonds have the lowest covariance, they must have a higher relative weight to achieve the same contribution to risk as the other asset classes.

In this example, there are four asset classes, and the variance of the total portfolio is assumed to be 25%;这个是怎么得来的？谢谢

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1 个答案

lynn_品职助教 · 2022年04月20日

嗨，努力学习的PZer你好：


因为题干中“ risk parity asset allocation approach that Müller uses”，看到risk parity这个关键词可知每个资产占比相等。

Risk parity是风险分配达到最优（广义risk budgeting）的均衡条件——每个大类资产贡献的风险在组合中是相等的。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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