PortM P3.3: Allocating the Risk Budget

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Last updated 2:46 AM on 4/15/26
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4 Terms

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  • Absolute risk focuses on…

  • Contribution of asset i to portfolio variance (CVi) is:

  • Portfolio variance =

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  • Portfolio variance can also be separated into variance attributed to…

  • Contribution of factor i to portfolio variance (CVi) is:

  • Unexplained variance =

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  • Contribution of asset i to portfolio active variance (CAVi) is:

  • Assets contribute more if

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appropriate risk level considerations:

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