薪伊 · 2022年05月08日
The Herrick Fund manager provides them with the information in Exhibit 2, which they use to carry out a risk attribution analysis.
Q: The proportion of the Herrick Fund’s portfolio variance contributed by Country A is closest to:
官网给的答案 B 47.5%，答案里的计算明明是错误的呀？请老师讲解一下正确的答案。多谢！
笛子_品职助教 · 2022年05月09日
嗨，爱思考的PZer你好：
这类题目一定要先写出回归方程式。
portfolio Return = 0.3 * country A return + 0.5* country B return + 0.2 * country C return
contribution to portfolio for countryA
= [(0.3^2) * 0.0625 + 0.3 * 0.5 * (0.0625^0.5) * (0.0225^0.5) + 0.5*0.2*(0.0625^0.5) * (0.0081^0.5)] / (0.132^2)=47.5%
本题按照例题（基础讲义249-250页）模仿即可
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----------------------------------------------就算太阳没有迎着我们而来，我们正在朝着它而去，加油！
