8. You have a portfolio with three assets. The forecasted inputs are showed in following table....
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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) 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 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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