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
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?