NO.PZ2016071602000010
问题如下：
Suppose a portfolio consists of four assets. The risk contribution of each asset is as follows: UK large cap, 3.9%；UK small cap, 4.2%; UK bonds, 0.9%; non-UK bonds, 1.1%. Which of the following would not be a possible explanation for the relatively high risk contribution values for UK equities?
选项：
A.
High expected returns on UK equities
B.
High weights on UK equities
C.
High volatilities of UK equities
D.
High correlation of UK equities with all other assets in the portfolio
解释：
A is correct. The risk contribution is proportional to the weight times the beta. The latter involves the correlation between the asset and the portfolio, as well as the volatility of the asset. Higher weight, correlation, and volatility would create higher risk contribution. In contrast, high expected returns would explain a high weight, but not a high risk contribution.
risk contribution=CVAR/VAR，所以CVAR越大，结果越高，那么MVAR越大，就是波动率应该越小越好
