开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

一只可爱的猪 · 2022年04月04日

这里不需要再算出总的riisk吗,

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<span>CVi=j=1nxixjCijCV_i={\textstyle\sum_{j=1}^n}x_ix_jC_{ij}

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

1 个答案

伯恩_品职助教 · 2022年04月06日

嗨,努力学习的PZer你好:


你说的那个是the portion of total portfolio risk情况才会这么做

----------------------------------------------
努力的时光都是限量版,加油!

  • 1

    回答
  • 0

    关注
  • 356

    浏览
相关问题

NO.PZ2019012201000037 问题如下 Presentebelow is a selection of ta on Matt’s portfolio, whicontains three assets. Baseon the table, the contribution of Matt’s totportfolio variancontributeAsset Y is closest to: A.0.0025. B.0.0056. C.0.0088. B is correct.考点Allocating the Risk Buet解析单个资产对组合风险的贡献度 spCVi=∑j=1nxixjCij spCV_i={\textstyle\sum_{j=1}^n}x_ix_jC_{ij} spCVi​=∑j=1n​xi​xj​Cij​根据公式,资产Y对组合风险的绝对贡献度计算如下 老师好,这道题的答案我看懂了,但是XY和YZ这两个组合对于总风险的影响在表格里不是会出现两次么?为什么不乘以二呢?三个资产计算的组合方差,应该是三个平方和加上3个2倍交叉项才对吧?

2024-08-15 14:18 1 · 回答

NO.PZ2019012201000037问题如下 Presentebelow is a selection of ta on Matt’s portfolio, whicontains three assets. Baseon the table, the contribution of Matt’s totportfolio variancontributeAsset Y is closest to: A.0.0025.B.0.0056.C.0.0088. B is correct.考点Allocating the Risk Buet解析单个资产对组合风险的贡献度 spCVi=∑j=1nxixjCij spCV_i={\textstyle\sum_{j=1}^n}x_ix_jC_{ij} spCVi​=∑j=1n​xi​xj​Cij​根据公式,资产Y对组合风险的绝对贡献度计算如下 请问什么情况要除以整个portfolio的总风险,什么时候不用呢?

2023-07-15 12:15 1 · 回答

NO.PZ2019012201000037问题如下 Presentebelow is a selection of ta on Matt’s portfolio, whicontains three assets. Baseon the table, the contribution of Matt’s totportfolio variancontributeAsset Y is closest to: A.0.0025.B.0.0056.C.0.0088. B is correct.考点Allocating the Risk Buet解析单个资产对组合风险的贡献度 spCVi=∑j=1nxixjCij spCV_i={\textstyle\sum_{j=1}^n}x_ix_jC_{ij} spCVi​=∑j=1n​xi​xj​Cij​根据公式,资产Y对组合风险的绝对贡献度计算如下 我记得计算y的时候,运用的应该是方差?答案怎么是xie方差呢?协

2023-06-20 11:05 2 · 回答

NO.PZ2019012201000037 问题如下 Presentebelow is a selection of ta on Matt’s portfolio, whicontains three assets. Baseon the table, the contribution of Matt’s totportfolio variancontributeAsset Y is closest to: A.0.0025. B.0.0056. C.0.0088. B is correct.考点Allocating the Risk Buet解析单个资产对组合风险的贡献度 spCVi=∑j=1nxixjCij spCV_i={\textstyle\sum_{j=1}^n}x_ix_jC_{ij} spCVi​=∑j=1n​xi​xj​Cij​根据公式,资产Y对组合风险的绝对贡献度计算如下 我如何判断题目是问绝对风险贡献度还是比例?

2023-02-18 15:05 1 · 回答

NO.PZ2019012201000037 问题如下 Presentebelow is a selection of ta on Matt’s portfolio, whicontains three assets. Baseon the table, the contribution of Matt’s totportfolio variancontributeAsset Y is closest to: A.0.0025. B.0.0056. C.0.0088. B is correct.考点Allocating the Risk Buet解析单个资产对组合风险的贡献度 spCVi=∑j=1nxixjCij spCV_i={\textstyle\sum_{j=1}^n}x_ix_jC_{ij} spCVi​=∑j=1n​xi​xj​Cij​根据公式,资产Y对组合风险的绝对贡献度计算如下 这道题我自己算了y的风险贡献度是38.8%, 我想确认一下对吗?

2022-05-12 15:01 1 · 回答