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

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Steven Niggebrugge
Steven Niggebrugge 2017 年 2 月 8 日
回答済み: Jan Studnicka 2017 年 7 月 24 日
Hi, i just watched the video
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.

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