课后题

NO.PZ201809170400000504 问题如下 Baseon Exhibit 2, the portion of totportfolio risk this explainethe market factor in Fun1’s existing portfolio is closest to: A.3%. B.81%. C.87%. C is correct.The portion of totportfolio risk explainethe market factor is calculatein two steps. The first step is to calculate the contribution of the market factor to totportfolio varianfollows:CVmarket  factor=∑j=1nXmarket  factorXjCmf,jCV_{market\;factor}={\textstyle\sum_{j=1}^n}X_{market\;factor}X_jC_{mf,j}CVmarketfactor​=∑j=1n​Xmarketfactor​Xj​Cmf,j​=Xmarket  factor∑j=1nXjCmf,j=X_{market\;factor}{\textstyle\sum_{j=1}^n}X_jC_{mf,j}=Xmarketfactor​∑j=1n​Xj​Cmf,j​WhereCVmarket factor = contribution of the market factor to totportfolio variancexmarket factor = weight of the market factor in the portfolioxj = weight of factor j in the portfolioCmf,j = covarianbetween the market factor anfactor jThe varianattributeto the market factor is 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 = 0.001223The seconstep is to vi the resulting varianattributeto the market factor the portfolio varianof returns, whiis the square of the stanrviation of returns:Portion of totportfolio risk explainethe market factor = 0.001223/(0.0374)^2Portion of totportfolio risk explainethe market factor = 87% 什么时候求出risk explainethe XXX时要除以portfolio stv, 什么时候不用？举个例子，在画了九宫格以后，求出了 （contribution of themarket factor to totportfolio cariance), 有时候就结束了（情况1）但比如这道题里，还要除以“portfolio stanreviation of return\" =3.74%.“ （情况2）我的疑问请问怎么区分什么时候是情况“1”什么时候情况”2”？

NO.PZ201809170400000504 问题如下 Baseon Exhibit 2, the portion of totportfolio risk this explainethe market factor in Fun1’s existing portfolio is closest to: A.3%. B.81%. C.87%. C is correct.The portion of totportfolio risk explainethe market factor is calculatein two steps. The first step is to calculate the contribution of the market factor to totportfolio varianfollows:CVmarket  factor=∑j=1nXmarket  factorXjCmf,jCV_{market\;factor}={\textstyle\sum_{j=1}^n}X_{market\;factor}X_jC_{mf,j}CVmarketfactor​=∑j=1n​Xmarketfactor​Xj​Cmf,j​=Xmarket  factor∑j=1nXjCmf,j=X_{market\;factor}{\textstyle\sum_{j=1}^n}X_jC_{mf,j}=Xmarketfactor​∑j=1n​Xj​Cmf,j​WhereCVmarket factor = contribution of the market factor to totportfolio variancexmarket factor = weight of the market factor in the portfolioxj = weight of factor j in the portfolioCmf,j = covarianbetween the market factor anfactor jThe varianattributeto the market factor is 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 = 0.001223The seconstep is to vi the resulting varianattributeto the market factor the portfolio varianof returns, whiis the square of the stanrviation of returns:Portion of totportfolio risk explainethe market factor = 0.001223/(0.0374)^2Portion of totportfolio risk explainethe market factor = 87% 老师，本题我计算出来CVmarket factor = 0.001223后，直接开了根号去除以组合的标准差3.74%，发现没有正确答案。totrisk只能理解为variance是么？

NO.PZ201809170400000504 问题如下 Baseon Exhibit 2, the portion of totportfolio risk this explainethe market factor in Fun1’s existing portfolio is closest to: A.3%. B.81%. C.87%. C is correct.The portion of totportfolio risk explainethe market factor is calculatein two steps. The first step is to calculate the contribution of the market factor to totportfolio varianfollows:CVmarket  factor=∑j=1nXmarket  factorXjCmf,jCV_{market\;factor}={\textstyle\sum_{j=1}^n}X_{market\;factor}X_jC_{mf,j}CVmarketfactor​=∑j=1n​Xmarketfactor​Xj​Cmf,j​=Xmarket  factor∑j=1nXjCmf,j=X_{market\;factor}{\textstyle\sum_{j=1}^n}X_jC_{mf,j}=Xmarketfactor​∑j=1n​Xj​Cmf,j​WhereCVmarket factor = contribution of the market factor to totportfolio variancexmarket factor = weight of the market factor in the portfolioxj = weight of factor j in the portfolioCmf,j = covarianbetween the market factor anfactor jThe varianattributeto the market factor is 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 = 0.001223The seconstep is to vi the resulting varianattributeto the market factor the portfolio varianof returns, whiis the square of the stanrviation of returns:Portion of totportfolio risk explainethe market factor = 0.001223/(0.0374)^2Portion of totportfolio risk explainethe market factor = 87% 老师，这道题我算了好几遍，算出来分子都是0.00113902，除以portfolio variance以后，差不多是82%。答案算的明显就是各种进位了吧？

NO.PZ201809170400000504 问题如下 Monongahela is equity funanalyst. His manager asks him to evaluate three actively manageequity fun from a single sponsor, Chiyosenko Investment Corp. Ap’s assessments of the fun baseon assets unr management (AUM), the three main builng blocks of portfolio construction, anthe fun’ approaches to portfolio management are presentein Exhibit 1. Selecteta for Fun1 is presentein Exhibit 2.learns thChiyosenko hinitiatea new equity fun It is similto Fun1 but scales up active risk ubling all of the active weights relative to Fun1. The new funaims to scale active return linearly with active risk, but implementation is problematiBecause of the cost anfficulty of borrowing some securities, the new funcannot scale up its short positions to the same extent thit cscale up its long positions.reviews quarterly holngs reports for Fun3. In comparing the two most recent quarterly reports, he notices fferences in holngs thincate thFun3 executetwo tras, with eatra involving pairs of stocks. Initially, Fun3 helactive positions in two automobile stocks—one woverweight 1 percentage point (pp), anthe other wunrweight 1pp. Fun3 trabato benchmark weights on those two stocks. In the secontra, Fun3 selectetwo fferent stocks thwere helbenchmark weights, one energy stoanone financistock. Fun3 overweightethe energy sto1pp anunrweightethe financisto1pp.In Fun3’s latest quarterly report, rea thFun3 implementea new formrisk control for its forecasting mol thconstrains the prectereturn stribution so thno more th60% of the viations from the meare negative. Baseon Exhibit 2, the portion of totportfolio risk this explainethe market factor in Fun1’s existing portfolio is closest to: A.3%. B.81%. C.87%. C is correct.The portion of totportfolio risk explainethe market factor is calculatein two steps. The first step is to calculate the contribution of the market factor to totportfolio varianfollows:CVmarket  factor=∑j=1nXmarket  factorXjCmf,jCV_{market\;factor}={\textstyle\sum_{j=1}^n}X_{market\;factor}X_jC_{mf,j}CVmarketfactor​=∑j=1n​Xmarketfactor​Xj​Cmf,j​=Xmarket  factor∑j=1nXjCmf,j=X_{market\;factor}{\textstyle\sum_{j=1}^n}X_jC_{mf,j}=Xmarketfactor​∑j=1n​Xj​Cmf,j​WhereCVmarket factor = contribution of the market factor to totportfolio variancexmarket factor = weight of the market factor in the portfolioxj = weight of factor j in the portfolioCmf,j = covarianbetween the market factor anfactor jThe varianattributeto the market factor is 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 = 0.001223The seconstep is to vi the resulting varianattributeto the market factor the portfolio varianof returns, whiis the square of the stanrviation of returns:Portion of totportfolio risk explainethe market factor = 0.001223/(0.0374)^2Portion of totportfolio risk explainethe market factor = 87% 请问老师我写的这个公式是不是错了，因为根据这个公式要除以market return的标准差——X，而不是asset return的标准差——Y。