Question: 60 quarterly return (in %) data is provided for three assets: US Government Bonds, US Corporate Bond and Emerging Market (EM) Aggregate are provided in

60 quarterly return (in %) data is provided for three assets: US Government Bonds, US Corporate Bond and Emerging Market (EM) Aggregate are provided in Excel file "Test 2.xlsx". [Please note that this is the same data set as for the question on Risk Parity]. A portfolio with allocation of 20% US Government Bonds, 30% US Corporate Bond and 50% Emerging Market (EM) Aggregate is already created, a covariance matrix, and beta of the three assets is also calculated for your convenience. Calculate the Marginal Risk Contribution of the EM Aggregate in this portfolio.

A. 0.42%

B. None are correct.

C. 0.61%

D. 0.86%

E. 0.58%

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