8. You have a portfolio with three assets. The forecasted inputs are showed in following...
60.1K
Verified Solution
Link Copied!
Question
Finance
8. You have a portfolio with three assets. The forecasted inputs are showed in following table. Calculate expected marginal contribution to total risk (MCTR) and absolute contribution to total risk (ACTR) of each asset. Mean Covariance Matrix Asset 1 Asset 2 Asset 3 Asset 1 Asset 2 Asset 3 8% 10% 6% Portfolio Weight 25% 40% 35% 0.00860 0.00823 0.00071 0.00823 0.00972 -0.00313 0.00071 -0.00313 0.03987 8. You have a portfolio with three assets. The forecasted inputs are showed in following table. Calculate expected marginal contribution to total risk (MCTR) and absolute contribution to total risk (ACTR) of each asset. Mean Covariance Matrix Asset 1 Asset 2 Asset 3 Asset 1 Asset 2 Asset 3 8% 10% 6% Portfolio Weight 25% 40% 35% 0.00860 0.00823 0.00071 0.00823 0.00972 -0.00313 0.00071 -0.00313 0.03987
Answer & Explanation
Solved by verified expert
Get Answers to Unlimited Questions
Join us to gain access to millions of questions and expert answers. Enjoy exclusive benefits tailored just for you!
Membership Benefits:
Unlimited Question Access with detailed Answers
Zin AI - 3 Million Words
10 Dall-E 3 Images
20 Plot Generations
Conversation with Dialogue Memory
No Ads, Ever!
Access to Our Best AI Platform: Zin AI - Your personal assistant for all your inquiries!
