标题: Market 1 & 2 Covariance question. Question 29 of the free ex [打印本页] 作者: DoubleDip 时间: 2013-4-3 09:02 标题: Market 1 & 2 Covariance question. Question 29 of the free ex
Question 29 of the Free sample exam on the CFA website
M12 = (1.2 * 0.9 *0.0225) + (0*0*0.0025)+ ((1.2*0)+(0*0.9)) = 0.0243
I got the answer right, but it was a bit of a fluke. Can someone explain this equation to me. I am too tired at this stage to dig through the books and try to locate it.
Thanks作者: Rasec 时间: 2013-4-3 09:06
First part of the equation is sensitivity to factor 1.
Second part of the equation is sensitivity to factor 2.
Third part is the sensitivity to the covariance of the factors.
(A * B * Factor 1) + (C * D * Factor 2) + [(A * D * Covariance Factor) + (B * C * Covariance Factor)]
The book never showed an example where a country had exposure to factor 1 and factor 2.
They used Global Stocks and Global Bonds as the factor and covariance between stocks and bonds.作者: Muddahudda 时间: 2013-4-3 09:10
one factor model extension…
Cov(i,j)=b(i)*b(j)*cov(M,M) — one factor model
Cov(i,j)=sum[b(im)*b(jn)*cov(Fm,Fn)] — two factor model
i,j markets
m,n factors {1,2}作者: Analyze_This 时间: 2013-4-3 09:14
I think this is left over from multifactor models. Took 2003 today and saw a bunch of quant essays. I was glad those are gone.
