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
0.0056
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:
老师好，这道题我算的时候在asset2的部分用的是weight2^2*(stand. deviation 2)，其他的用的是weights*cov，算出来结果也是0.0056385（0.005639），在求absolute variance attributed的时候是不是用standard deviation也可以呢？
