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邮票LL · 2021年05月04日

什么时候用percentage

NO.PZ2019012201000065

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%

B.

81%

C.

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%

因为这道题算出来方差是3.4%左右,其实也可以选a;

究竟如何判断题目问的是方差还是对总风险的比例呢,我仔细对比了下,发现问的方式都是一样的

1 个答案
已采纳答案

maggie_品职助教 · 2021年05月05日

嗨,爱思考的PZer你好:


对这个知识点的问法确实很让人迷惑,不过别担心,可以通过选项的问法来判断。

说说这道题,题干有个关键词是“the portion of”,这个说正是在计算占比,另外如果你还是分不清是要求算占比还是只算市场风险的贡献,可以看下选项,如果选项是%,那么我们计算的就是占比。

 注意如果是计算市场风险因子的贡献,那么肯定没有百分号,我不太清楚你的3.4%是怎么来的,你可以看下这道题的解析中有市场风险因子的贡献,它等于0.001223。因此如果你看到选项不是%,而是小数的时候,就是让你计算绝对的风险贡献量。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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