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sliang · 2024年10月03日

risk contribution

  1. CFA III
  2. Equity

* 问题详情，请 查看题干

NO.PZ201809170400000604

问题如下：

Based on Exhibit 1, the contribution of Asset 2 to Manager C’s portfolio variance 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:

Contribution of each asset to portfolio variance = CVi

=∑j=1nXjXiCi,j={\textstyle\sum_{j=1}^n}X_jX_iC_{i,j}

The contribution of Asset 2 to portfolio variance is computed as the sum of the following products:

这题是计算absolute risk contribution。 请问什么时候应该计算absolute risk contribution，什么时候是用absolute 除以 总的risk呢？

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笛子_品职助教 · 2024年10月03日

嗨，从没放弃的小努力你好：


这题是计算absolute risk contribution。 请问什么时候应该计算absolute risk contribution，什么时候是用absolute 除以 总的risk呢？

Hello，亲爱的同学~

例题是这么处理的：

如果只是问contribution to Portfolio varaince，计算absolute risk contribution。

如果问题是proportion of contribution to Portfolio varaince，计算的是比例，需要最后除以Portfolio variance。


结合本题，本题并没有问proportion（比例），因此只需要计算absolute risk contribution。

考试的时候，也可以这样处理。

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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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2022-05-21 16:10 1 · 回答

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2022-05-04 18:40 1 · 回答

请问这个计算是在哪个知识点里的？

2020-03-19 20:47 3 · 回答

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2020-01-14 10:12 1 · 回答