If the client's proposal regarding Portfolio B's constraints is implemented, the portfolio's optimal level of active risk would most likely:
A decrease.
B remain the same.
C increase.
解析：
A.Correct because the additional constraint would lower the expected information ratio (IR) of the strategy by reducing the transfer coefficient (TC). Thus, the optimal level of aggressiveness (active risk) decreases. This consequence follows from the following equation for the optimal level of active risk (where IR* is the information ratio of an otherwise unconstrained portfolio, i.e. a portfolio with TC = 1): σA = TC × (IR∗ / SRB) × σB The IR for a constrained portfolio generally decreases with the aggressiveness of the strategy because portfolio constraints reduce the transfer of active return forecasts into active weights. The addition of portfolio constraints reduces the TC, thus also reducing the optimal active risk.
B.Incorrect because the added constraint reduces the transfer coefficient. If the active risk level were left unchanged, the decrease in the TC would need to be offset by a proportional increase in the IR, but skill (and other factors) are being held constant.
C.Incorrect because the added constraint reduces the transfer coefficient and so lowers the optimal level of active risk.
