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reachqi · 2021年11月16日

请进一步解释选项C

  1. CFA III
  2. Asset Allocation

NO.PZ2018110601000019

问题如下：

Which of the following statement regarding risk budgeting is most appropriate?

选项：

A.

An optimal risk budgeting is to minimize the total risk.

B.

Risk budgeting is on top-level rather than allocates the risk to a portfolio’s constituent parts.

C.

An asset allocation is optimal when the ratio of excess return to marginal contribution to risk is the same for all assets.

解释：

C is correct.

考点：risk budgeting

解析：risk budgeting的目标是最大化每承担一单位风险所获得的收益，而不是最小化风险，A错。risk budgeting的过程是识别所有风险并且分配风险，B错。C是risk budgeting的结论，当每个资产类型的excess return/MCTR都相同时，资产配置是最优的。

我知道选项C是一个结论，但不理解，是否可以解释一下

为什么 资产配置是optimal when the ratio of excess return to marginal contribution to risk is the same for all assets.

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郭静_品职助教 · 2021年11月17日

嗨，爱思考的PZer你好：


同学你好～


excess return i/MCTR i=excess return j/MCRT j 就表示，i、j 两个资产的风险调整后的超额收益是相等的，此时是一个optimal 的状态。

假设excess return i/MCTR i＞excess return j/MCTR j，说明i资产的风险调整后收益大于j资产，那么应该继续加大对i资产的配置，降低对j资产的配置，随着i资产配置的增加，excess return i/MCTR i是下降的，excess return j/MCTR j是上升的，直到相等。


何老师在强化班视频Reading 13 Asset-only Asset Allocations-other methods (3) 1.5倍速15分56秒处做了推导，也可以再看看。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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