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
0.0056
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:
老师,在做这道题的时候,发现和Allocation the risk budget这个经典题里代入的公式不一样?
就看到公式是:xixjCij的加总,但是我不是很理解每个的意思。(唉,我真的是数量差,看不懂这些符号)
这道题里面,是用的weight1*weight2*covariance12
然后在经典题里,代入的是,variance(market)*variance2*coefficient(market),(虽然好像解答里套用的公式写的是weight of the market factor in the portfolio,但是在表格里,它写的就是variance of the market factor return and covariances with the maket factor return,我就不懂了,就感觉是两个不同的表达呢?为啥这俩就是同一个东西了呀?)
然后老师上课的时候讲的是w1w2r1r2ρ12,这里为什么又和r,(就是李老师写的像r的东西,我也不认识怎么读,难道是r1r2ρ12=covariance吗?这是怎么解释呀?)
为啥每次都不一样呢?
portfolio variance,指的是,这个portfolio整体的方差,方差的意思,是它的波动率吗?
然后这题目里又说到了standard deviation,这个东西又有啥用呢?是不是只有求占比的时候才有用?