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MINI PP · 2025年05月05日

公式里不是W_market^2 * variance_market * covariance(market,market)吗?

NO.PZ2019012201000065

问题如下:

Based on Exhibit 2, the portion of total portfolio risk that is explained by the market factor in Fund 1’s existing portfolio is closest to:

选项:

A.

3%

B.

81%

C.

87%

解释:

The portion of total 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 total portfolio variance as follows:


Where

CVmarket factor = contribution of the market factor to total portfolio variance

xmarket factor = weight of the market factor in the portfolio

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 is to divide the resulting variance attributed to the market factor by the portfolio variance of returns, which is the square of the standard deviation of returns:

Portion of total portfolio risk explained by the market factor = 0.001223/(0.0374)2

Portion of total portfolio risk explained by the market factor = 87%

公式里不是W_market^2 * variance_market * covariance(market,market)吗?为什么答案里计算market和market自己的时候没有covariance这一项呢?

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2025-02-02 14:57 1 · 回答

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