相关性

* 问题详情，请查看题干

NO.PZ201710200200000108

问题如下：

8. Raye’s approach to rebalancing global equities is consistent with:

选项：

the Laws’ being risk averse.

global equities’ having higher transaction costs than other asset classes.

global equities’ having lower correlations with other asset classes.

解释：

B is correct.

Using the cost–benefit approach, higher transaction costs for an asset class imply wider rebalancing ranges. Raye’s recommendation for a wider rebalancing range for global equities is consistent with the presence of higher transaction costs for global equities.

考点：rebalancing range

解析：导致wider rebalancing range的因素有： higher transaction cost，less risk-averse investor, more correlated assets。A和C描述反了，所以正确选项为B。

C选项相关性麻烦助教解释一下，谢谢

添加评论

1 个答案

郭静_品职助教 · 2022年03月26日

嗨，从没放弃的小努力你好：

资产之间是higher correlation时，才设置更宽的rebalancing range。题目C选项刚好说反了。

higher corrlationship不代表各个资产大类之间涨跌的变动是完全同步的，只能说他们会在一个比较短的时间区间呈现出同涨同跌。比方说A资产大类今天涨了10%，但是B资产大类一般要1-2天才能跟上A资产大类的涨幅，这时A资产的权重上升，B资产的权重下降，偏离既定的SAA。此时如果设置的是比较窄的rebalance range，那么很快他们就需要调整range。但其实你不动，第二天B资产的价格跟随上涨后，B资产的权重又会上升，A资产的权重下降，又会回到SAA。所以，这时要设置比较宽的rebalance range，允许这类higher corrlationship的资产大类价格变动不完全同步。

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

添加评论

1
回答
2
关注
458
浏览

我要回答关注问题

相关问题

NO.PZ201710200200000108 问题如下 8. Raye’s approato rebalancing globequities is consistent with: A.the Laws’ being risk averse. B.globequities’ having higher transaction costs thother asset classes. C.globequities’ having lower correlations with other asset classes. B is correct. Using the cost–benefit approach, higher transaction costs for asset class imply wir rebalancing ranges. Raye’s recommention for a wir rebalancing range for globequities is consistent with the presenof higher transaction costs for globequities. 考点rebalancing range解析导致wir rebalancing range的因素有 higher transaction cost，less risk-averse investor, more correlateassets。A和C描述反了，所以正确为导致rebalancing range 变动原因明白，但是题干中哪里可以得出globequities 的交易成本比另外资产类型要高，所以需要wir range 呢？

2024-05-07 01:36 1 · 回答

2024-04-06 17:16 1 · 回答

NO.PZ201710200200000108 globequities’ having higher transaction costs thother asset classes. globequities’ having lower correlations with other asset classes. B is correct. Using the cost–benefit approach, higher transaction costs for asset class imply wir rebalancing ranges. Raye’s recommention for a wir rebalancing range for globequities is consistent with the presenof higher transaction costs for globequities. 考点rebalancing range 解析导致wir rebalancing range的因素有 higher transaction cost，less risk-averse investor, more correlateassets。A和C描述反了，所以正确为為啥less risk aerse 會wir range 呢

2021-10-26 09:11 1 · 回答

请问老师，为什么globequity有higher transaction cost?

2019-01-06 18:15 1 · 回答

相关性

1 个答案

1

2

458

相关问题