NO.PZ2018011501000011
问题如下：
Velky and Monteo discuss the considerations involved in applying many of the common asset allocation techniques, such as MVO, to these asset classes. Before making any changes to the portfolio, Monteo asks Velky about his knowledge of risk budgeting. Velky makes the following statements:
Statement 1 An optimum risk budget minimizes total risk.
Statement 2 Risk budgeting decomposes total portfolio risk into its constituent parts.
Statement 3 An asset allocation is optimal from a risk-budgeting perspective when the ratio of excess return to marginal contribution to risk is different for all assets in the portfolio.
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.
考点：risk budgeting
解析：risk budgeting既考虑了风险又考虑了收益率，所以risk budgeting的目标是使得每单位风险对应的收益率最大化，此时组合中excess return1/MCTR1=excess return2/MCTR2=...。
Statement 1说risk budgeting的目标是最小化总风险，错。
Statement 3说每个资产的excess return/MCTR不相等才能达到最优，错。
所以正确选项B。
可以认为前者既考虑风险又考虑收益，这点跟MVO一样；后者仅考虑风险吗？
