问题如下：
The firm’s policy is to rebalance a portfolio when the asset class weight falls outside of a corridor around the target allocation. The width of each corridor is customized for each client and proportional to the target allocation. Beade recommends wider corridor widths for high-risk asset classes, narrower corridor widths for less liquid asset classes, and narrower corridor widths for taxable clients with high capital gains tax rates.
For clients concerned about rebalancing-related transactions costs, which of Beade’s suggested changes in the corridor width of the rebalancing policy is correct? The change with respect to:
选项：
A.high-risk asset classes.
B.less liquid asset classes.
C.taxable clients with high capital gains tax rates.
解释：
A is correct.
Theoretically, higher-risk assets would warrant a narrow corridor because high-risk assets are more likely to stray from the desired strategic asset allocation. However, narrow corridors will likely result in more frequent rebalancing and increased transaction costs, so in practice corridor width is often specified to be proportionally greater the higher the asset class’s volatility. Thus, higher-risk assets should have a wider corridor to avoid frequent, costly rebalancing costs. Her other suggestions are not correct. Less-liquid asset classes should have a wider, not narrower, corridor width. Less-liquid assets should have a wider corridor to avoid frequent rebalancing costs. For taxable investors, transactions trigger capital gains in jurisdictions that tax them. For such investors, higher tax rates on capital gains should be associated with wider (not narrower) corridor widths.
这道题答案的解释是higher-risk assets should have a wider corridor to avoid frequent, costly rebalancing costs.
但是在老师讲义第190页提到，当volatility提高时，应是narrower range。
那么请问，考试时候，当风险上升时候，到底应该是wider还是narrower corridor呢？感谢。
