NO.PZ2019012201000037
问题如下:
Presented below is a selection of data on Matt’s portfolio, which contains three assets. Based on the table, the contribution of Matt’s total portfolio variance contributed by Asset Y is closest to:
选项:
A.0.0025.
B.0.0056.
C.0.0088.
解释:
B is correct.
考点:Allocating the Risk Budget
解析:
单个资产对组合风险的贡献度
根据公式,资产Y对组合风险的绝对贡献度计算如下:
这里不需要再算出总的riisk吗,然后用Y的总risk/总的risk,算出贡献度?
为什么直接i得出了Y的方差就是贡献度