MATLAB Answers

Formula for calculating marginal risk contributions (video MATLAB for Advanced Portfolio Construction and Stock Selection Models)

11 ビュー (過去 30 日間)
Steven Niggebrugge
Steven Niggebrugge 2017 年 2 月 8 日
Answered: Jan Studnicka 2017 年 7 月 24 日
Hi, i just watched the video https://nl.mathworks.com/videos/matlab-for-advanced-portfolio-construction-and-stock-selection-models-120626.html?elqsid=1485902640730&potential_use=Commercial
In slide number 7, there is a formula for calculating the marginal risk contribution for an asset i, given a weights vector and the covariance matrix MC(i) = sum(w(j) * cov(i,j)) / stdev(portfolio returns) - loop j from 1:n
However, after 5min5sec in the video, it shows the m-file marginalRiskContribution. There it seems that the denominator of that formula is replaced by stdev(asset i returns).
Can anyone tell me which formula is correct to calculate the marginal risk contribution for asset i?
thanks so much.

  0 件のコメント

サインイン to comment.

採用された回答

Jan Studnicka
Jan Studnicka 2017 年 7 月 24 日
Hi, correct formula is in slide number 7.

  0 件のコメント

サインイン to comment.

More Answers (0)

サインイン してこの質問に回答します。


Translated by