pepperhyp · 2023年06月20日
NO.PZ2019012201000037
问题如下：
Presented below is a selection of data on Matt’s portfolio, which contains three assets. Based on the table, the contribution of Matt’s total portfolio variance contributed by Asset Y is closest to:
选项：
A.
0.0025.
B.
0.0056.
C.
0.0088.
解释：
B is correct.
考点：Allocating the Risk Budget
解析：
单个资产对组合风险的贡献度
根据公式，资产Y对组合风险的绝对贡献度计算如下：
我记得计算y的时候，运用的应该是方差？答案怎么是xie方差呢？
协
请问X和X的covariance不是应该是1吗？是我和什么概念记混了啊
NO.PZ2019012201000037 问题如下 Presentebelow is a selection of ta on Matt’s portfolio, whicontains three assets. Baseon the table, the contribution of Matt’s totportfolio variancontributeAsset Y is closest to: A.0.0025. B.0.0056. C.0.0088. B is correct.考点Allocating the Risk Buet解析单个资产对组合风险的贡献度 spCVi=∑j=1nxixjCij spCV_i={\textstyle\sum_{j=1}^n}x_ix_jC_{ij} spCVi=∑j=1nxixjCij根据公式，资产Y对组合风险的绝对贡献度计算如下 老师好，这道题的答案我看懂了，但是XY和YZ这两个组合对于总风险的影响在表格里不是会出现两次么？为什么不乘以二呢？三个资产计算的组合方差，应该是三个平方和加上3个2倍交叉项才对吧？
NO.PZ2019012201000037问题如下 Presentebelow is a selection of ta on Matt’s portfolio, whicontains three assets. Baseon the table, the contribution of Matt’s totportfolio variancontributeAsset Y is closest to: A.0.0025.B.0.0056.C.0.0088. B is correct.考点Allocating the Risk Buet解析单个资产对组合风险的贡献度 spCVi=∑j=1nxixjCij spCV_i={\textstyle\sum_{j=1}^n}x_ix_jC_{ij} spCVi=∑j=1nxixjCij根据公式，资产Y对组合风险的绝对贡献度计算如下 请问什么情况要除以整个portfolio的总风险，什么时候不用呢？
NO.PZ2019012201000037 问题如下 Presentebelow is a selection of ta on Matt’s portfolio, whicontains three assets. Baseon the table, the contribution of Matt’s totportfolio variancontributeAsset Y is closest to: A.0.0025. B.0.0056. C.0.0088. B is correct.考点Allocating the Risk Buet解析单个资产对组合风险的贡献度 spCVi=∑j=1nxixjCij spCV_i={\textstyle\sum_{j=1}^n}x_ix_jC_{ij} spCVi=∑j=1nxixjCij根据公式，资产Y对组合风险的绝对贡献度计算如下 我如何判断题目是问绝对风险贡献度还是比例?
NO.PZ2019012201000037 问题如下 Presentebelow is a selection of ta on Matt’s portfolio, whicontains three assets. Baseon the table, the contribution of Matt’s totportfolio variancontributeAsset Y is closest to: A.0.0025. B.0.0056. C.0.0088. B is correct.考点Allocating the Risk Buet解析单个资产对组合风险的贡献度 spCVi=∑j=1nxixjCij spCV_i={\textstyle\sum_{j=1}^n}x_ix_jC_{ij} spCVi=∑j=1nxixjCij根据公式，资产Y对组合风险的绝对贡献度计算如下 这道题我自己算了y的风险贡献度是38.8%, 我想确认一下对吗?
