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%
81%
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%
李老师例题我听的非常明白。但是这道题看不懂。关键问题是：
1⃣️，第三行数据是啥，前面那么长的一堆咋翻译，我真的没理解到第三行数据的意义。？？
2⃣️，答案中的计算为啥每一项都乘以1.08????
