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biguo · 2024年05月30日

计算

NO.PZ2019012201000065

问题如下:

Based on Exhibit 2, theportion of total portfolio risk that is explained by the market factor in Fund1’s existing portfolio is closest to:

选项:

A.

3%

B.

81%

C.

87%

解释:

The portion oftotal 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 totalportfolio variance as follows:


Where

CVmarket factor = contribution of the market factor to totalportfolio variance

xmarket factor = weight of the market factor in theportfolio

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 isto divide the resulting variance attributed to the market factor by theportfolio variance of returns, which is the square of the standard deviation ofreturns:

Portion of totalportfolio risk explained by the market factor = 0.001223/(0.0374)2

Portion of totalportfolio risk explained by the market factor = 87%

这个是不是其实和资产方差计算是一样的,beta对应wi,其他和资产套路一样呢?考试还会有什么变形吗?

1 个答案

笛子_品职助教 · 2024年05月30日

嗨,努力学习的PZer你好:


这个是不是其实和资产方差计算是一样的,beta对应wi,其他和资产套路一样呢?考试还会有什么变形吗?

Hello,亲爱的同学~

这道习题,是仿照基础班的一道例题,是同类型的题型。

应该说,和基础班例题的套路是一样的。


老师找一下基础班例题的视频,位置如下:在equity的module4下,较为靠后的位置,有个名为“allocating risk budget"的视频。

同学点开这个视频,就可以看到关于这道题知识点的详细讲解了。

大概在以下截图的位置。



基础班例题是股票收益和股票权重。

这道习题是因子收益和因子权重(因子权重就是coefficient)。

公式代入以及计算方法,都是完全一样的,是同一个套路模式。

考试的时候不会有任何变形,如果考到这个知识点,就是一模一样的套路。


同学可以先看一下相关视频。如果看完视频后还有其他问题,也欢迎随时提问。

祝学习顺利~

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

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