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涟在 · 2022年06月20日

每个asset的deviation

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:

老师请问题目中每个asset的deviation是怎么算的,要掌握吗

1 个答案

笛子_品职助教 · 2022年06月21日

嗨,爱思考的PZer你好:


老师请问题目中每个asset的deviation是怎么算的,要掌握吗


每个asset的deviation(如下图红框)会已知,不需要计算。只需要计算contribution to total portfolio variance即可。

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