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dognmnm · 2023年02月18日

风险贡献度的比例

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:


按照原版书要求这个题目选不出答案, 没有比例, 请问题目怎么出我要回答绝对值, 怎么出我是回答比例呢?

1 个答案

笛子_品职助教 · 2023年02月19日

嗨,努力学习的PZer你好:


按照原版书要求这个题目选不出答案, 没有比例, 请问题目怎么出我要回答绝对值, 怎么出我是回答比例呢?


是的,确实按照原版书这题选不出答案。

所以这是题目本身的问题。

要把proportion去掉。

看后续协会是否会有勘误了。

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