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005 · 2023年08月24日

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  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:

 请问这里的模型和CME里的multifactor model是一样的吗？CME里方差公式中带有残差项的方差，这里没有吗？ 

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2 个答案

笛子_品职助教 · 2023年08月24日

嗨，从没放弃的小努力你好：


主要是想从原理上了解下，如果是回归出来的模型是不是理论上应该有个残差项的，Equity里拆分Active的return也是有残差项，所以不是很理解此处

这里是因子对portfolio风险的贡献，和回归方程的残差项并没有关系。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

笛子_品职助教 · 2023年08月24日

嗨，从没放弃的小努力你好：


请问这里的模型和CME里的multifactor model是一样的吗？CME里方差公式中带有残差项的方差，这里没有吗？ 

CME的题目只能用CME的知识点来解题。

equity里的题目只能用equity的知识点来解题。

不同科目的知识点，不能混用。

如果用CME的知识点，或者ALternative、performance的知识点，去解equity的题目，就很可能会出现错误。

这是因为，CFA不同科目，作者不同，使用的参考书也不同。因此大原则就是：不同学科的知识点，不要混用。


因此，可以出现CME有残差方差，但equity里不带残差方差的情况。


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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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