为什么高风险资产要设定更窄的区间？

NO.PZ201803130100000102 问题如下 For clients concerneabout rebalancing-relatetransactions costs, whiof Bea’s suggestechanges in the corrir wih of the rebalancing poliis correct? The change with respeto A.high-risk asset classes. B.less liquiasset classes. C.taxable clients with high capitgains trates. A is correct.Theoretically, higher-risk assets woulwarrant a narrow corrir because high-risk assets are more likely to strfrom the sirestrategic asset allocation. However, narrow corrirs will likely result in more frequent rebalancing anincreasetransaction costs, so in practicorrir wih is often specifeto proportionally greater the higher the asset class’s volatility. Thus, higher-risk assets shoulhave a wir corrir to avoifrequent, costly rebalancing costs. Her other suggestions are not correct. Less-liquiasset classes shoulhave a wir, not narrower, corrir wih. Less-liquiassets shoulhave a wir corrir to avoifrequent rebalancing costs. For taxable investors, transactions trigger capitgains in jurisctions thtthem. For suinvestors, higher trates on capitgains shoulassociatewith wir (not narrower) corrir wihs. 这道题只能用排除法做吧。只能说剩下两个有明显的问题而A模棱两可。毕竟原书上说的关于high volatility asset class并没有rebalancing cost和liquity的假设条件。Bitcoin相对算不算high volatility high liquity asset?

NO.PZ201803130100000102 问题如下 For clients concerneabout rebalancing-relatetransactions costs, whiof Bea’s suggestechanges in the corrir wih of the rebalancing poliis correct? The change with respeto A.high-risk asset classes. B.less liquiasset classes. C.taxable clients with high capitgains trates. A is correct.Theoretically, higher-risk assets woulwarrant a narrow corrir because high-risk assets are more likely to strfrom the sirestrategic asset allocation. However, narrow corrirs will likely result in more frequent rebalancing anincreasetransaction costs, so in practicorrir wih is often specifeto proportionally greater the higher the asset class’s volatility. Thus, higher-risk assets shoulhave a wir corrir to avoifrequent, costly rebalancing costs. Her other suggestions are not correct. Less-liquiasset classes shoulhave a wir, not narrower, corrir wih. Less-liquiassets shoulhave a wir corrir to avoifrequent rebalancing costs. For taxable investors, transactions trigger capitgains in jurisctions thtthem. For suinvestors, higher trates on capitgains shoulassociatewith wir (not narrower) corrir wihs. high asset class risk（volatility 大）不应该是越窄吗？

NO.PZ201803130100000102 问题如下 For clients concerneabout rebalancing-relatetransactions costs, whiof Bea’s suggestechanges in the corrir wih of the rebalancing poliis correct? The change with respeto A.high-risk asset classes. B.less liquiasset classes. C.taxable clients with high capitgains trates. A is correct.Theoretically, higher-risk assets woulwarrant a narrow corrir because high-risk assets are more likely to strfrom the sirestrategic asset allocation. However, narrow corrirs will likely result in more frequent rebalancing anincreasetransaction costs, so in practicorrir wih is often specifeto proportionally greater the higher the asset class’s volatility. Thus, higher-risk assets shoulhave a wir corrir to avoifrequent, costly rebalancing costs. Her other suggestions are not correct. Less-liquiasset classes shoulhave a wir, not narrower, corrir wih. Less-liquiassets shoulhave a wir corrir to avoifrequent rebalancing costs. For taxable investors, transactions trigger capitgains in jurisctions thtthem. For suinvestors, higher trates on capitgains shoulassociatewith wir (not narrower) corrir wihs. riskier assets不是应该用更narrow corrir来做风控吗

NO.PZ201803130100000102 问题如下 MegBea anHanna Müller are senior analysts for a large, multi-visionmoney management firm. Bea supports the institutionportfolio managers, anMüller es the same for the private wealth portfolio managers.Bea reviews the asset allocation in Exhibit 1, rivefrom a mean–varianoptimization (MVO) mol for institutionclient, noting thtails of the MVO are lacking.Exhibit1 Asset Allocation anMarket Weights(in percent)The firm’s poliis to rebalana portfolio when the asset class weight falls outsi of a corrir arounthe target allocation. The wih of eacorrir is customizefor eaclient anproportionto the target allocation. Bea recommen wir corrir wihs for high-risk asset classes, narrower corrir wihs for less liquiasset classes, annarrower corrir wihs for taxable clients with high capitgains trates.One client sponsors a finebenefit pension plwhere the present value of the liabilities is $241 million anthe market value of plassets is $205 million. Bea expects interest rates to rise anboth the present value of plliabilities anthe market value of plassets to crease $25 million, changing the pension plan’s funng ratio.Bea uses a surplus optimization approato liability-relative asset allocation baseon the objective function Um =E (Rm) - 0.005λσm2where E(Rs,m) is the expectesurplus return for portfolio m, λ is the risk aversion coefficient, anσ2(Rs,m) is the varianof the surplus return. Bea establishes the expectesurplus return ansurplus varianfor three fferent asset allocations, shown in Exhibit 2. Given λ = 1.50, she chooses the optimasset mix.Exhibit 2 ExpecteSurplus Return anVolatility for Three PortfoliosClient Haunani Kealoha ha large fixeobligation e in 10 years. Bea assesses thKealoha hsubstantially more fun thare requireto meet the fixeobligation. The client wants to earn a competitive risk-austerate of return while maintaining a high level of certainty ththere will sufficient assets to meet the fixeobligation.In the private wealth arethe firm hsignefive sub-portfolios with ffering asset allocations thare useto funfferent client goals over a five-yehorizon. Exhibit 3 shows the expectereturns anvolatilities of the sub-portfolios anthe probabilities ththe sub-portfolios will exceeexpecteminimum return. Client Luis Roíguez wants to satisfy two goals. Go1 requires a conservative portfolio proving the highest possible minimum return thwill met least 95% of the time. Go2 requires a riskier portfolio thprovis the highest minimum return thwill exceeleast 85% of the time.Exhibit3 Characteristiof Sub-portfoliosMüller uses a risk parity asset allocation approawith a client’s four–asset class portfolio. The expectereturn of the mestic bonasset class is the lowest of the asset classes, anthe returns of the mestic bonasset class have the lowest covarianwith other asset class returns. Müller estimates the weight thshoulplaceon mestic bon.Müller ana client scuss other approaches to asset allocation thare not baseon optimization mols or goals-basemols. Müller makes the following comments to the client:Comment 1 aantage of the \"120 minus your age\" heuristic over the 60/40 stock/bonheuristic is thit incorporates age-basestock/bonallocation.Comment 2 The Yale mol emphasizes trationinvestments ana commitment to active management.Comment 3 A client’s asset allocation using the 1/N rule pen on the investment characteristiof eaasset class. For clients concerneabout rebalancing-relatetransactions costs, whiof Bea’s suggestechanges in the corrir wih of the rebalancing poliis correct? The change with respeto A.high-risk asset classes. B.less liquiasset classes. C.taxable clients with high capitgains trates. A is correct.Theoretically, higher-risk assets woulwarrant a narrow corrir because high-risk assets are more likely to strfrom the sirestrategic asset allocation. However, narrow corrirs will likely result in more frequent rebalancing anincreasetransaction costs, so in practicorrir wih is often specifeto proportionally greater the higher the asset class’s volatility. Thus, higher-risk assets shoulhave a wir corrir to avoifrequent, costly rebalancing costs. Her other suggestions are not correct. Less-liquiasset classes shoulhave a wir, not narrower, corrir wih. Less-liquiassets shoulhave a wir corrir to avoifrequent rebalancing costs. For taxable investors, transactions trigger capitgains in jurisctions thtthem. For suinvestors, higher trates on capitgains shoulassociatewith wir (not narrower) corrir wihs. high risk asset不就是high volatilty asset吗？好像从哪个角度都行啊，到底是，wir还是narrower

NO.PZ201803130100000102 问题如下 For clients concerneabout rebalancing-relatetransactions costs, whiof Bea’s suggestechanges in the corrir wih of the rebalancing poliis correct? The change with respeto A.high-risk asset classes. B.less liquiasset classes. C.taxable clients with high capitgains trates. A is correct.Theoretically, higher-risk assets woulwarrant a narrow corrir because high-risk assets are more likely to strfrom the sirestrategic asset allocation. However, narrow corrirs will likely result in more frequent rebalancing anincreasetransaction costs, so in practicorrir wih is often specifeto proportionally greater the higher the asset class’s volatility. Thus, higher-risk assets shoulhave a wir corrir to avoifrequent, costly rebalancing costs. Her other suggestions are not correct. Less-liquiasset classes shoulhave a wir, not narrower, corrir wih. Less-liquiassets shoulhave a wir corrir to avoifrequent rebalancing costs. For taxable investors, transactions trigger capitgains in jurisctions thtthem. For suinvestors, higher trates on capitgains shoulassociatewith wir (not narrower) corrir wihs. 老师请问，可以讲解一下，为何wir corrir wihs for less liquiasset classes？流动性不好，就不用频繁调整，所以corrir wih宽一点？