请问老师，是不是可以理解这里portfolio的风险已经通过MVO等方法确定了，是一个常数了。然后risk budgeting 来分配风险到各个asset class？

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：

Statement 1

Statement 2

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。