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8. You have a portfolio with three assets. The forecasted inputs are showed in following table. Calculate expected marginal contribution to total risk (MCTR)
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 Portfolio Covariance Matrix Weight Asset 1 Asset 2 Asset 3 Asset 1 8% 25% 0.00860 0.00823 0.00071 Asset 2 10% 40% 0.00823 0.00972 -0.00313 Asset 3 6% 35% 0.00071 -0.00313 0.03987
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Analysis for Financial Management
Authors: Robert Higgins
11th edition
77861787, 978-0077861780
