开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

7777 · 2023年08月29日

contribution to portfolio variance

  1. CFA III
  2. Equity

NO.PZ2023010903000072

问题如下：

Based on Exhibit 2, the portion of total portfolio risk that is explained by the market factor in Fund 1’s existing portfolio is closest to:


选项：

A.

3%

B.

81%

C.

87%

解释：

The portion of total portfolio risk explained by the market factor is calculated in two steps. The first step is to calculate the contribution of the market factor to total portfolio variance as follows:

The second step is to divide the resulting variance attributed to the market factor by the portfolio variance of returns, which is the square of the standard deviation of returns:

Portion of total portfolio risk explained by the market factor = 0.001223/(0.0374)2

Portion of total portfolio risk explained by the market factor = 87%

为什么计算market 和其他因子的影响的时候不用乘2呢，按照用画图（类似九宫格）的方法来求组合的方差的时候，是要乘2呀，比如2*w1*w2*covariance

添加评论
1 个答案

笛子_品职助教 · 2023年08月30日

嗨，从没放弃的小努力你好：


为什么计算market 和其他因子的影响的时候不用乘2呢

这是算单因子，对portfolio风险的贡献。

例如XYZ三个因子构成portfolio

在算X因子工贡献度时，X与Y，X与Z，X与X，就是X对portfolio的风险贡献。

在算Y因子贡献度时，Y与X，Y与Z，Y与Y，属于Y对portfolio的风险贡献。

因此不需要乘以2，否则会重复计算。


按照用画图（类似九宫格）的方法来求组合的方差的时候，是要乘2呀，比如2*w1*w2*covariance

李老师在这里讲解例题的时候，推荐用九宫格的方法记忆。

九宫格里，单因子对portfolio的风险贡献不需要乘以2

如果把九宫格里的9个各自，全部加起来，那是portfolio 总风险，这个时候才有2。

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

  • 1

    回答

  • 1

    关注

  • 362

    浏览
相关问题

NO.PZ2023010903000072 问题如下 Baseon Exhibit 2, the portion of totportfolio risk this explainethe market factor in Fun1’s existing portfolio is closest to: A.3% B.81% C.87% The portion of totportfolio risk explainethe market factor is calculatein two steps. The first step is to calculate the contribution of the market factor to totportfolio varianfollows:The seconstep is to vi the resulting varianattributeto the market factor the portfolio varianof returns, whiis the square of the stanrviation of returns:Portion of totportfolio risk explainethe market factor = 0.001223/(0.0374)2Portion of totportfolio risk explainethe market factor = 87% 两个问题1.为什么coefficient可以直接作为权重weight, coefficient在统计学中应该是bet而beta=cov/(σm^2), 和weight还是有区别的，所以这里我不理解2.最终结果算risk的占比或者说risk的贡献，什么情况下用方差相除，什么情况下用标准差相除？

2024-05-21 17:05 1 · 回答

NO.PZ2023010903000072问题如下 Baseon Exhibit 2, the portion of totportfolio risk this explainethe market factor in Fun1’s existing portfolio is closest to: A.3%B.81%C.87% The portion of totportfolio risk explainethe market factor is calculatein two steps. The first step is to calculate the contribution of the market factor to totportfolio varianfollows:The seconstep is to vi the resulting varianattributeto the market factor the portfolio varianof returns, whiis the square of the stanrviation of returns:Portion of totportfolio risk explainethe market factor = 0.001223/(0.0374)2Portion of totportfolio risk explainethe market factor = 87% 因子系数咋么可以用做因子权重呢，不理解这个关联性，辛苦老师下

2024-01-28 11:45 1 · 回答

NO.PZ2023010903000072 问题如下 Baseon Exhibit 2, the portion of totportfolio risk this explainethe market factor in Fun1’s existing portfolio is closest to: A.3% B.81% C.87% The portion of totportfolio risk explainethe market factor is calculatein two steps. The first step is to calculate the contribution of the market factor to totportfolio varianfollows:The seconstep is to vi the resulting varianattributeto the market factor the portfolio varianof returns, whiis the square of the stanrviation of returns:Portion of totportfolio risk explainethe market factor = 0.001223/(0.0374)2Portion of totportfolio risk explainethe market factor = 87% 例题用的weights,这里没有，还是不太一样，老师能否演示一下？

2024-01-06 15:48 1 · 回答

NO.PZ2023010903000072 问题如下 Baseon Exhibit 2, the portion of totportfolio risk this explainethe market factor in Fun1’s existing portfolio is closest to: A.3% B.81% C.87% The portion of totportfolio risk explainethe market factor is calculatein two steps. The first step is to calculate the contribution of the market factor to totportfolio varianfollows:The seconstep is to vi the resulting varianattributeto the market factor the portfolio varianof returns, whiis the square of the stanrviation of returns:Portion of totportfolio risk explainethe market factor = 0.001223/(0.0374)2Portion of totportfolio risk explainethe market factor = 87% 这道题是按照李老师上课教的方法来计算的但是公式，李老师上课讲的会有乘以2，答案是没有的，这个是不是答案表述有问题呀？

2023-08-16 15:29 1 · 回答