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开泰-王飞 · 2022年10月06日

题目要求的不是资产2占总资产风险贡献的比值吗？

  1. CFA III
  2. Equity

NO.PZ2019012201000066

问题如下：

Selected data on Manager C’s portfolio, which contains three assets, is presentedin Exhibit 1.

Based on Exhibit 1, the proportion of Manager C’s total portfolio variance con tributed by Asset 2 is closest to:

选项：

A.

0.0025

B.

0.0056

C.

0.0088

解释：

B is correct. The contribution of an asset to total portfolio variance equals the summation of the multiplication between the weight of the asset whose contribution is being measured, the weight of each asset (xj), and the covariance between the asset being measured and each asset (Cij), as follows:

The contribution of Asset 2 to portfolio variance is computed as the sum of the following products:

如题      

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1 个答案

笛子_品职助教 · 2022年10月07日

嗨，爱思考的PZer你好：


题目要求的不是资产2占总资产风险贡献的比值吗？


Hello，亲爱的同学！同学很棒，看得很仔细哇。


这道题的问题，确实是在问比值。

但是这道题的选项，给的全部都是绝对值。


所以这道题需要把题干的问题改一下就更好了。


同学还是按照书本例题的方式来区分绝对值和比值，考试的时候不会出现这类问题。






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