Question
. You have a portfolio with three assets. The forecasted inputs are showed in following table. Calculate expected marginal contribution to total risk (MCTR) and
. 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 Weight | Covariance Matrix | ||
| 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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Benchmarking Islamic Finance
Authors: Mohd Ma'Sum Billah
1st Edition
0367546469, 978-0367546465
