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蕾 · 2024年01月18日

表格第二行是啥

NO.PZ2019012201000065

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:


Where

CVmarket factor = contribution of the market factor to total portfolio variance

xmarket factor = weight of the market factor in the portfolio

xj = weight of factor j in the portfolio

Cmf,j = covariance between the market factor and factor j

The variance attributed to the market factor is as follows:

CVmarket factor = (1.080 × 0.00109 × 1.080) + (1.080 × 0.00053 × 0.098) + (1.080 × 0.00022 × –0.401) + (1.080 × –0.00025 × 0.034)

CVmarket factor = 0.001223

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%

表格第二行是啥

1 个答案

笛子_品职助教 · 2024年01月19日

嗨,爱思考的PZer你好:


表格第二行是啥

Hello,亲爱的同学~

表格第二行是因子的回归系数。

也被称为因子的权重。

同学在列式的时候,参考原版书的例题,把coefficient当作weight来处理,就可以了。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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