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lea · 2024年01月17日

什么时候求出risk explained by the XXX时要除以portfolio stdev, 什么时候不用?

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NO.PZ201809170400000504

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:

C is correct.

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:

CVmarket  factor=j=1nXmarket  factorXjCmf,jCV_{market\;factor}={\textstyle\sum_{j=1}^n}X_{market\;factor}X_jC_{mf,j}

=Xmarket  factorj=1nXjCmf,j=X_{market\;factor}{\textstyle\sum_{j=1}^n}X_jC_{mf,j}

Where

CVmarket factor = contribution of the market factor to total portfolio variance

xmarket factor = weight of the market factor in the portfolio

xj = weight of factor j in the portfolio

Cmf,j = covariance between the market factor and factor j

The variance attributed to the market factor is as follows:

CVmarket factor = (1.080 × 0.00109 × 1.080) + (1.080 × 0.00053 × 0.098) + (1.080 × 0.00022 × –0.401) + (1.080 × –0.00025 × 0.034)

CVmarket factor = 0.001223

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%

什么时候求出risk explained by the XXX时要除以portfolio stdev, 什么时候不用?


举个例子,

在画了九宫格以后,求出了 CV (contribution of themarket factor to total portfolio cariance), 有时候就结束了(情况1)

但比如这道题里,还要除以“portfolio standarddeviation of return" =3.74%.“ (情况2)


我的疑问:

请问怎么区分什么时候是情况“1”什么时候情况”2”?

1 个答案
已采纳答案

笛子_品职助教 · 2024年01月18日

嗨,爱思考的PZer你好:


Hello,亲爱的同学~


本题的阐述为:the portion of total portfolio risk that is explained by the market factor。

有portion这个词,因此需要除。因为portion就是比例的意思。


如果没有portion,只是total portfolio risk that is explained by the market factor,那么就不需要除。

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