问题如下:
Selected data on Manager C’s portfolio, which contains three assets, is presentedin Exhibit 1.
Based on Exhibit 1, the proportion of Manager C’s total portfolio variance con tributed by Asset 2 is closest to:
选项:
A.0.0025
0.0056
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:
The contribution of Asset 2 to portfolio variance is computed as the sum of the following products:
你好请问这道题给出了asset1、2、3之间的九宫格,按照李老师上课讲的方法,求asset2的贡献度不是应该是与④+⑤+⑥/九宫格加和(即①~⑨的和)吗?可是求出来结果也不对,且题目问的是proportion,但是选项不是%