问一道题：NO.PZ201809170400000604

* 问题详情，请查看题干

问题如下：

Based on Exhibit 1, the proportion of Manager C’s total portfolio variance contributed by Asset 2 is closest to:

选项：

0.0025.

0.0056.

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 (x_j), and the covariance between the asset being measured and each asset (C_ij), as follows:

Contribution of each asset to portfolio variance = CV_i

_{$={\textstyle\sum_{j=1}^n}X_jX_iC_{i,j}$}

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

这道题问的是proportion，是不是还得除以总风险？感觉答案给的是contribution的数字呢？

到底什么问法是除以总风险的结果，什么问法是不用除呢？

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maggie_品职助教 · 2020年01月15日

嗨，努力学习的PZer你好：

你的提问非常好，我看了原版书的原文和例题的问法也是很矛盾的，总结了下规律：

1、看选项，如果ABC是百分比，那么就计算占比，如果是小数就不用再计算占比了

2、如果题干出现“contributed by“，想这道题就直接计算绝对数字，如果题干出现“ is explained by ”就是计算占比。

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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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NO.PZ201809170400000604 问题如下 Baseon Exhibit 1, the contribution of Asset 2 to Manager C’s portfolio varianis closest to: A.0.0025. B.0.0056. C.0.0088. B is correct. The contribution of asset to totportfolio varianequals the summation of the multiplication between the weight of the asset whose contribution is being measure the weight of eaasset (xj), anthe covarianbetween the asset being measureaneaasset (Cij), follows:Contribution of eaasset to portfolio varian= CVi=∑j=1nXjXiCi,j={\textstyle\sum_{j=1}^n}X_jX_iC_{i,j}=∑j=1nXjXiCi,jThe contribution of Asset 2 to portfolio varianis computethe sum of the following procts: 分母应该怎么算？列一个3*3的表格然后把所有框里的相加吗

2022-05-21 16:10 1 · 回答

NO.PZ201809170400000604 问题如下 Baseon Exhibit 1, the contribution of Asset 2 to Manager C’s portfolio varianis closest to: A.0.0025. B.0.0056. C.0.0088. B is correct. The contribution of asset to totportfolio varianequals the summation of the multiplication between the weight of the asset whose contribution is being measure the weight of eaasset (xj), anthe covarianbetween the asset being measureaneaasset (Cij), follows:Contribution of eaasset to portfolio varian= CVi=∑j=1nXjXiCi,j={\textstyle\sum_{j=1}^n}X_jX_iC_{i,j}=∑j=1nXjXiCi,jThe contribution of Asset 2 to portfolio varianis computethe sum of the following procts: 为什么这里用了w2的平方乘上asset2和自己的covariance？为什么不是w2的平方*asset2的方差

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

看不见答案里面解析的图

2019-03-21 22:32 1 · 回答

问一道题：NO.PZ201809170400000604

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