Question about risk budgeting~

[no_ming]

Hi, David, I cannot find the answer D referred to book 4 of notes although i select the correct answer. Can you help me?^^

 

[David Harper CFA FRM]

Hi @no_ming what's the source of the question (cc: @Nicole Manley )? If it's mine, I don't like it. (D) sort of implies no rebalancing (static). 2016 FRM isn't strong on risk budgeting (Litterman, to my knowledge does not validate this Q&A). I can't think of any FRM risk budgeting reading that ever quite supporting this answer (D) .... Sorry ... Thanks,

 

[no_ming]

Hi, Mr. Harper , the question i find is in internet and they say this is past question of FRM~

 

[David Harper CFA FRM]

Hi @no_ming Yea, I just can't give you a source. I could be wrong, but I just don't know where in the last three risk budgeting readings such an assertion would be justified, at least in the way the answer is written (which to me suggest a static allocation without rebalancing). Thanks,