为什么选这个

问题如下：

TOPIC: PORTFOLIO MANAGEMENT – ASSET ALLOCATION

TOTAL POINT VALUE OF THIS QUESTION SET IS 12 POINTS

Suzanne Nichols is a portfolio manager at Starlight Investment Advisers, a firm that focuses on wealth management for institutional and high-net-worth clients. Mark Lopez has recently joined Nichols’ team as a junior analyst.

Lopez has been using the mean–variance optimization (MVO) framework to analyze strategic asset allocation decisions in his client portfolios. Nichols is concerned that forward-looking inputs that are used in the framework are inherently subject to estimation errors. Nichols would like to enhance the MVO framework with the addition of Monte Carlo simulation and suggests a modified allocation technique.

Lopez has recently been reading about risk budgeting and asks Nichols to explain some of the confusing points. As a part of her explanation, Nichols makes the following statements:

Statement 1: The goal of risk budgeting is to minimize absolute risk.

Statement 2: The absolute contribution to total risk (ACTR) for an asset class measures how much it contributes to portfolio return volatility.

Statement 3: The marginal contribution to total risk (MCTR) identifies the rate at which risk would change with a small change in the asset allocation weights.

Lopez next inquires about the characteristics of different liability-relative asset allocation approaches. He is specifically interested in a multi-period model suitable for investors whose primary goal is safeguarding their surplus rather than increasing their assets. Consequently, he seeks Nichols’ expert recommendation.

Lopez also wants to understand Nichols’ view on the role of rebalancing policy within strategic asset allocation. Specifically, he asks Nichols to identify which among the following factors:

Factor 1: Transaction costs

Factor 2: Correlation with the rest of the portfolio

Factor 3: Volatility with the rest of the portfolio

The liability-relative asset allocation approach that would be most appropriate for Nichols to recommend is:

选项：

A.surplus optimization. B.hedging/return-seeking portfolios. C.integrated asset–liability portfolios.

解释：

All of the three listed liability-relative approaches are appropriate for conservative investors (investors who are more interested in protecting the surplus than growing their assets). However, integrated asset–liability portfolios are the only listed approach that can handle multiple periods.