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miaolu27 · 2020年08月05日

问一道题:NO.PZ2019012201000066

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

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:

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%

1 个答案
已采纳答案

maggie_品职助教 · 2020年08月06日

嗨,爱思考的PZer你好:


你的提问非常好,我看了原版书的原文和例题的问法也是很矛盾的,总结了下规律:

1、看选项,如果ABC是百分比,那么就计算占比,如果是小数就不用再计算占比了

2、如果题干出现“contributed by“,像这道题一样就直接计算绝对数字,如果题干出现“ is explained by ”就是计算占比。


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