NO.PZ202207040100000805
问题如下：
The proportion of the Herrick Fund’s portfolio variance contributed by Country A is closest to:
选项：
A.20.9%.
B.47.5%.
C.56.8%.
解释：
Solution
B is correct. The covariance of returns between Country A and the portfolio is provided in Exhibit 2 as 0.0276.
The contribution of Country A to total portfolio variance is calculated as follows:
Weight A × Weight A × cov(A,A) = 0.30 × 0.30 × 0.06250 = 0.005625
Weight A × Weight B × cov(A,B) = 0.03 × 0.50 × 0.15000 = 0.002250
Weight A × Weight C × cov(A,C) = 0.30 × 0.20 × 0.00675 = 0.000405
Country A’s contribution to total portfolio variance = 0.00828
The portfolio variance = (Std. dev.)2 = (0.132)2 = 0.01742.
The proportion of total portfolio variance contributed by Country A is 0.00828 ÷ 0.01742 = 47.5%.
Alternatively, Country A’s contribution to total portfolio variance
= Weight A × cov(A,Pf) = 0.30 × 0.0276 = 0.00828.
A is incorrect. It uses cov(A,Pf) but expresses it as a percentage of std(Pf): 0.0276/0.132 × 100 = 20.9%. The cov(A,Pf) of 0.0276 is calculated above in an alternative presentation.
C is incorrect. It takes Weight A × std(A)/std(Pf) = 0.30 × 25/13.2 × 100 = 56.8%.
中文解析：
本题考查的是风险贡献度的计算。
题目问A国家给组合variance贡献了多大比例。相当于是下列单元格（①+②+③）/ portfolio variance
①= 0.302 × 0.252 = 0.005625
②= 0.30 × 0.50 × 0.015000 = 0.002250
③= 0.30 × 0.20 × 0.00675 = 0.000405
①+②+③ = 0.00828
The portfolio
variance = (0.132)2 = 0.01742.
A国家队组合总方差的贡献比例= 0.00828 ÷ 0.01742 = 47.5%.
题目里给了sd有什么作用吗，还是说计算的时候只需要weight和covar
