开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

惠惠 · 2025年01月06日

没看懂权重

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%

coeffcient不是指相关系数吗?而那个公司会🥶🥶

1 个答案

笛子_品职助教 · 2025年01月07日

嗨,努力学习的PZer你好:


coeffcient不是指相关系数吗?而那个公司会

Hello,亲爱的同学~

coeffcient不是相关系数。correlation是相关系数。

coeffcient是回归方程里的因子系数,而因子的回归系数,又被称为因子权重。


当分析portfolio里的股票时,使用weight。

当分析portfolio里的因子时,使用coefficient。


coefficient是回归系数,又称为因子权重。

Factor,对应coefficient 。

如果有别的单词,例如Factor weight,也可以使用,和coefficient 是一个意思。


例题和习题的回归形式是一致的

例题:R = w1*S1+ ...+ wn*Sn

习题:R = C1*F1+.....+ Cn*Fn

股票1收益S1就对应因子1的收益F1

股票1权重W1就对应因子1的权重C1。

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

  • 1

    回答
  • 0

    关注
  • 7

    浏览
相关问题

NO.PZ2019012201000065 问题如下 Baseon Exhibit 2, theportion of totportfolio risk this explainethe market factor in Fun’s existing portfolio is closest to: A.3% B.81% C.87% The portion oftotportfolio risk explainethe market factor is calculatein two steps.The first step is to calculate the contribution of the market factor to totalportfolio varianfollows:WhereCVmarket factor = contribution of the market factor to totalportfolio variancexmarket factor = weight of the market factor in theportfolioxj = 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 isto vi the resulting varianattributeto the market factor theportfolio varianof returns, whiis the square of the stanrviation ofreturns:Portion of totalportfolio risk explainethe market factor = 0.001223/(0.0374)2Portion of totalportfolio risk explainethe market factor = 87% 这题是对应PPT上面哪个考点?没找到

2024-07-14 17:52 2 · 回答

NO.PZ2019012201000065 问题如下 Baseon Exhibit 2, theportion of totportfolio risk this explainethe market factor in Fun’s existing portfolio is closest to: A.3% B.81% C.87% The portion oftotportfolio risk explainethe market factor is calculatein two steps.The first step is to calculate the contribution of the market factor to totalportfolio varianfollows:WhereCVmarket factor = contribution of the market factor to totalportfolio variancexmarket factor = weight of the market factor in theportfolioxj = 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 isto vi the resulting varianattributeto the market factor theportfolio varianof returns, whiis the square of the stanrviation ofreturns:Portion of totalportfolio risk explainethe market factor = 0.001223/(0.0374)2Portion of totalportfolio risk explainethe market factor = 87% 请问coefficient是回归系数,为什么代表了每个资产的权重?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) 答案中直接用的是coefficient数值作为权重带入计算的是吗

2024-07-06 17:32 1 · 回答

NO.PZ2019012201000065 问题如下 Baseon Exhibit 2, theportion of totportfolio risk this explainethe market factor in Fun’s existing portfolio is closest to: A.3% B.81% C.87% The portion oftotportfolio risk explainethe market factor is calculatein two steps.The first step is to calculate the contribution of the market factor to totalportfolio varianfollows:WhereCVmarket factor = contribution of the market factor to totalportfolio variancexmarket factor = weight of the market factor in theportfolioxj = 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 isto vi the resulting varianattributeto the market factor theportfolio varianof returns, whiis the square of the stanrviation ofreturns:Portion of totalportfolio risk explainethe market factor = 0.001223/(0.0374)2Portion of totalportfolio risk explainethe market factor = 87% 问的是portion of totportfolio risk, 为什么不可以把CV=0.001223开根号取Stanrviation的3.4971%, 最后3.4971/3.74=93.51%

2024-06-25 22:02 1 · 回答

NO.PZ2019012201000065问题如下 Baseon Exhibit 2, theportion of totportfolio risk this explainethe market factor in Fun’s existing portfolio is closest to:A.3% B.81% C.87% The portion oftotportfolio risk explainethe market factor is calculatein two steps.The first step is to calculate the contribution of the market factor to totalportfolio varianfollows:WhereCVmarket factor = contribution of the market factor to totalportfolio variancexmarket factor = weight of the market factor in theportfolioxj = 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 isto vi the resulting varianattributeto the market factor theportfolio varianof returns, whiis the square of the stanrviation ofreturns:Portion of totalportfolio risk explainethe market factor = 0.001223/(0.0374)2Portion of totalportfolio risk explainethe market factor = 87%组合的标准差给的是月度的,这里要不要考虑把标准差年化处理?

2024-06-22 22:08 1 · 回答