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rikkisong72 · 2020年03月19日

问一道题:NO.PZ201809170400000604

* 问题详情,请 查看题干

问题如下:

Based on Exhibit 1, the proportion of Manager C’s total portfolio variance contributed by Asset 2 is closest to:

选项:

A.

0.0025.

B.

0.0056.

C.

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 (xj), and the covariance between the asset being measured and each asset (Cij), as follows:

Contribution of each asset to portfolio variance = CVi

=j=1nXjXiCi,j={\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:

请问这个计算是在哪个知识点里的?

3 个答案

maggie_品职助教 · 2021年04月13日

嗨,努力学习的PZer你好:


回复追问:我已经跟后台技术反馈了,今天之内会修改过来。谢谢你的指出。加油。

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加油吧,让我们一起遇见更好的自己!

maggie_品职助教 · 2020年05月21日

这道题是归在R25啊,你这边看在R24吗?

maggie_品职助教 · 2020年03月21日

嗨,努力学习的PZer你好:


请看基础班视频Allocating The Risk Budget对应讲义241页,这里部分的例题和课后题是一样的,建议先去听下李老师的讲解再来做题。


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虽然现在很辛苦,但努力过的感觉真的很好,加油!


扫地僧 · 2021年04月13日

R25的题,放在了R24里,做得一脸蒙

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