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

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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: 这题是计算absolute risk contribution。请问什么时候应该计算absolute risk contribution，什么时候是用absolute 除以总的risk呢？

2024-10-03 06:50 1 · 回答

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2020-01-14 10:12 1 · 回答

第二项为什么不是w2的平方*asset2的方差

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