请问第二例的标准差为什么不参与计算？

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NO.PZ201809170400000604

问题如下：

Based on Exhibit 1, the contribution of Asset 2 to Manager C’s portfolio variance is closest to:

选项：

0.0025.

0.0056.

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 (x_j), and the covariance between the asset being measured and each asset (C_ij), as follows:

Contribution of each asset to portfolio variance = CV_i

_{$={\textstyle\sum_{j=1}^n}X_jX_iC_{i,j}$}

The contribution of Asset 2 to portfolio variance is computed as the sum of the following products:

老师，按照李老师的公式，不是应该有三项吗，权重，coviriance和波动率。

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1 个答案

笛子_品职助教 · 2024年12月15日

嗨，爱思考的PZer你好：

老师，按照李老师的公式，不是应该有三项吗，权重，coviriance和波动率。

Hello，亲爱的同学~

coviriance是协方差的含义，协方差本身就含有了波动率。

资产1和资产2的协方差 = 资产1和资产2的相关系数 * 资产1的标准差*资产2的标准差。

因为协方差里有波动率，所以如果公式里有协方差，就不用再重复加入波动率了。

如果公式里没有协方差，那么我们需要计算出协方差，协方差的计算公式里，有波动率。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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