NO.PZ201805280100000106
问题如下：
6. In both of Mayer’s optimization scenarios, which of the following model inputs could be used without adjustment?
选项：
A. Expected returns
B. Correlation of returns
C. Standard deviations of returns
解释：
B is correct.
After- tax portfolio optimization requires adjusting each asset class’s expected return and risk for expected taxes. The correlation of returns is not affected by taxes and does not require an adjustment when performing after- tax portfolio optimization.
考点：taxable investor
解析： 正文中Mayer建议分别基于税前和税后做最优化，而题目问的是税前税后哪些input无需调整。也就是说，题目问的是选项中哪个input不会受到tax的影响，答案选B，correlation不会受到tax的影响。
书上的定义我知道，但老师能不能解释一下为什么不受影响？
