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sion · 2021年04月08日

为什么不乘deviation？

  1. CFA III
  2. Equity

NO.PZ2019012201000066

问题如下：

Selected data on Manager C’s portfolio, which contains three assets, is presentedin Exhibit 1.

Based on Exhibit 1, the proportion of Manager C’s total portfolio variance con tributed by Asset 2 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:

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

为什么不乘deviation？

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1 个答案

maggie_品职助教 · 2021年04月09日

嗨，从没放弃的小努力你好：


因为这道题直接给了我们协方差矩阵，相当于简化计算过程了：两个资产的协方差 COV12=ρ12*(资产1的标准差*资产2的标准差)

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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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