NO.PZ2019012201000065
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：
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:
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%
1.这个和CME中用multi factor models估计volatility的算法一样吗
2.为什么算和其他的factor的协方差的那块，没有乘以2呢？我记得CME中用multi factor models估计volatility的算法中，需要乘以2。