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Luckyman · 2022年07月03日

组合总的variance怎么算？

  1. CFA III
  2. Equity

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:

你老师帮忙写一下组合总的variance的计算

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1 个答案

笛子_品职助教 · 2022年07月04日

嗨，努力学习的PZer你好：


总的组合variance，就把各个资产的贡献加起来即可。见下图红框。




例题见基础讲义248-249页


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虽然现在很辛苦，但努力过的感觉真的很好，加油！

Luckyman · 2022年07月04日

这里不用算总的variance 我理解错了 谢谢老师

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