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1. Calculate the the proportion of Marginal Contribution of risk of each sector in the index. 2. Using the forecast of market conditions, she wishes
1. Calculate the the proportion of Marginal Contribution of risk of each sector in the index.
2. Using the forecast of market conditions, she wishes to change the allocation of the proportion of risk of each sector in the index. Provide a target proportion of the MCRs for each sector with justification of those changes. You can adjust the target proportions that to deviate by a maximum of 5% (+ or -) for each sector while ensuring that no sector has a negative proportion or a proportion more than 100%. The sum should still add up to 100%.
Anna is creating a risk allocated portfolio where she wishes to take advantage of the upcoming market conditions. Using the allocation of each sector in the index, Anna, calculates the beta of each sector against the index as in the table belowStep by Step Solution
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