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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The expected return of each asset can be calculated by multiplying the mean portfolio weight with the expected return of the asset. Expected return of Asset 1 = 0.25 * 8% = 2% Expected return of Asset 2 = 0.40 * 10% = 4% Expected return of Asset 3 = 0.35 * 6% = Show more…
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