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考拉 · 2024年01月06日

老师可否用画图的方法演示一下？

  1. CFA III
  2. Equity

NO.PZ2023010903000072

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:

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%

例题用的weights,这里没有，还是不太一样，老师能否演示一下？

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笛子_品职助教 · 2024年01月08日

嗨，努力学习的PZer你好：


李老师在这里说，可以用九宫格的方法来计算和记忆。

这道题和教材例题的解法，是一模一样的。


例题的股票权重，就是这道习题的因子系数。



以上例题红框里的公式，和本题公式：


例题与习题，使用的是同样的计算方法。


这里图就是表格，同学想画图的话，可以做出如下表格


把这些协方差加起来就是market对portfolio的方差贡献。

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[一梦千寻] · 2024年08月15日

老师，请问九宫格计算方法，为什么协方差项只计算一次？九宫格里，方差项出现1次，但相同的协方差出现2次呀。为啥在加总的时候，只加一次相同的协方差项？

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