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

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Steven Niggebrugge 2017년 2월 8일
답변: Jan Studnicka 2017년 7월 24일
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.

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채택된 답변

Jan Studnicka 2017년 7월 24일
Hi, correct formula is in slide number 7.

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