开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

Carina9999 · 2022年07月14日

statement 1怎么错啦

* 问题详情,请 查看题干

NO.PZ201803130100000203

问题如下:

Which of Velky’s statements about risk budgeting is correct?

选项:

A.

Statement 1

B.

Statement 2

C.

Statement 3

解释:

B is correct.

The goal of risk budgeting is to maximize return per unit of risk. A risk budget identifies the total amount of risk and attributes risk to its constituent parts. An optimum risk budget allocates risk efficiently.

statement 1怎么错啦

1 个答案

lynn_品职助教 · 2022年07月15日

嗨,从没放弃的小努力你好:


错在最小化总风险。

在所有资产的excess return/MCTR都相等时,达到 optimal risk budgeting。excess return/MCTR既考虑了风险又考虑了收益率,所以不是最小化总风险。


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

  • 1

    回答
  • 1

    关注
  • 429

    浏览
相关问题

NO.PZ201803130100000203 问题如下 Whiof Velky’s statements about risk bueting is correct? A.Statement 1 B.Statement 2 C.Statement 3 B is correct. The goof risk bueting is to maximize return per unit of risk. A risk buet intifies the totamount of risk anattributes risk to its constituent parts. optimum risk buet allocates risk efficiently. 如题

2023-12-16 08:03 1 · 回答

NO.PZ201803130100000203 问题如下 Whiof Velky’s statements about risk bueting is correct? A.Statement 1 B.Statement 2 C.Statement 3 B is correct. The goof risk bueting is to maximize return per unit of risk. A risk buet intifies the totamount of risk anattributes risk to its constituent parts. optimum risk buet allocates risk efficiently. statement3如何理解

2022-12-25 16:59 1 · 回答

NO.PZ201803130100000203问题如下Whiof Velky’s statements about risk bueting is correct?A.Statement 1B.Statement 2C.Statement 3B is correct. The goof risk bueting is to maximize return per unit of risk. A risk buet intifies the totamount of risk anattributes risk to its constituent parts. optimum risk buet allocates risk efficiently.老师上课讲过风险均衡时整个组合的风险最小,为什么statement1不对

2022-11-14 19:31 2 · 回答

NO.PZ201803130100000203 问题如下 Investment aiser Carl Monteo termines client asset allocations using quantitative techniques sumean–varianoptimization (MVO) anrisk buets. Monteo is reviewing the allocations of three clients. Exhibit 1 shows the expectereturn anstanrviation of returns for three strategic asset allocations thapply to severof Monteo’s clients.Exhibit1 Strategic Asset Allocation AlternativesMonteo interviews client Mary Perkins anvelops a taileassessment of her risk preferenancapacity for risk, whiis neeto apply MVO to asset allocation. Monteo estimates the risk aversion coefficient (λ) for Perkins to 8 anuses the following utility function to termine a preferreasset allocation for Perkins:Um =E (Rm) - 0.005λσm2Another client, Lars Velky, represents Velky Partners (VP), a large institutioninvestor with $500 million in investable assets. Velky is interestein aing less liquiasset classes, surereestate, infrastructure, anprivate equity, to VP’s portfolio. Velky anMonteo scuss the consirations involvein applying many of the common asset allocation techniques, suMVO, to these asset classes. Before making any changes to the portfolio, Monteo asks Velky about his knowlee of risk bueting. Velky makes the following statements:Statement 1 optimum risk buet minimizes totrisk.Statement 2 Risk bueting composes totportfolio risk into its constituent parts.Statement 3 asset allocation is optimfrom a risk-bueting perspective when the ratio of excess return to margincontribution to risk is fferent for all assets in the portfolio.Monteo meets with a thirclient, Jayanta Chaterji, inviinvestor. Monteo anChaterji scuss mean–varianoptimization. Chaterji expresses concern about using the output of MVOs for two reasons:Criticism 1: The asset allocations are highly sensitive to changes in the mol inputs.Criticism 2: The asset allocations tento highly sperseacross all available asset classes.Monteo anChaterji also scuss other approaches to asset allocation. Chaterji tells Monteo thhe unrstan the factor-baseapproato asset allocation to have two key characteristics:Characteristic 1 The factors commonly usein the factor-baseapproagenerally have low correlations with the market anwith eaother.Characteristic 2 The factors commonly usein the factor-baseapproaare typically fferent from the funmentor structurfactors usein multi-factor mols.Monteo conclus the meeting with Chaterji after sharing his views on the factor baseapproach.Whiof Velky’s statements about risk bueting is correct? A.Statement 1 B.Statement 2 C.Statement 3 B is correct. The goof risk bueting is to maximize return per unit of risk. A risk buet intifies the totamount of risk anattributes risk to its constituent parts. optimum risk buet allocates risk efficiently. Statement 2怎么理解呢?

2022-05-02 10:33 1 · 回答