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金珍荣 · 2023年10月22日

求解题全过程？total risk是多少？

  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:

求解题全过程？total risk是多少？

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1 个答案

笛子_品职助教 · 2023年10月23日

嗨，从没放弃的小努力你好：


求解题全过程？total risk是多少？


以下是asset2 的contribution to toal portfolio vaiance的计算方法。


要计算total risk，需要分别计算asset1‘ contribution to total porfolio variance ,asset2‘ contribution to total porfolio variance,asset3‘ contribution to total porfolio variance，加起来就是整个portfolio的variance。


老师就不带着计算了。

一是因为asset1、asset3的计算方法，与题目给出的asset2的计算方法，完全是一致的。

二是因为考试的时候，一般total risk都会已知。因为每个资产的计算方法都是一样的，CFA考试的时候，不会让一个方法重复计算3次。


关于本题知识点来自于一道例题：同学可以听一下基础讲义248-249页的例题讲解。

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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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