NO.PZ202403050400000206
问题如下：
In response to Yusuf, based on the information in Exhibit 2, the portfolio with the highest active factor risk exposure to the style factor is:选项：
A.Portfolio X. B.Portfolio Y. C.Portfolio Z.解释：
A is incorrect. Portfolio X active style risk squared ÷ Active risk squared = 28 ÷ 64 = 43.75%.
B is incorrect. Portfolio Y active style risk squared ÷ Active risk squared = 14.4 ÷ 36 = 40%.
C is correct. Portfolio Z has the highest active factor risk exposures to the style factor. Portfolio Z active style risk squared ÷ Active risk squared = 10 ÷ 16 = 62.5%. Portfolio X active style risk squared ÷ Active risk squared = 28 ÷ 64 = 43.75%. Portfolio Y active style risk squared ÷ Active risk squared = 14.4 ÷ 36 = 40%.
老师你好，为什么单个factor的exposure是除以Active Risk Square 不是除以total factor呢？那这样，会不会发生所有factor的exposure的和不等于1呀。这个公式是在课件的哪里呢？