第二项为什么不是w2的平方*asset2的方差

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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：

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:

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

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蛋黄也酥酥 · 2022年05月04日

不好意思我懂了老师不用解答了

1 个答案

伯恩_品职助教 · 2022年05月04日

嗨，从没放弃的小努力你好：

好的

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

请问这个计算是在哪个知识点里的？

2020-03-19 20:47 3 · 回答

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？

2020-01-14 10:12 1 · 回答

看不见答案里面解析的图

2019-03-21 22:32 1 · 回答

第二项为什么不是w2的平方*asset2的方差

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