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Marina_0122 · 2024年07月18日

proportion 不应该把2的贡献除以总风险吗？为什么没有除

  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:

proportion 不应该把2的贡献除以总风险吗？为什么没有除

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笛子_品职助教 · 2024年07月19日

嗨，从没放弃的小努力你好：


proportion 不应该把2的贡献除以总风险吗？为什么没有除

Hello，亲爱的同学~

同学的理解是正确的。

应该把2的风险贡献，除以portfolio的方差。


这里没有除，是这道题，出题出错了。

应该把题干里的proportion去掉，题目才能对。

这是一道协会出的原题，我们看后续协会是否会有勘误了。

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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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