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

조회 수: 6(최근 30일)
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.

채택된 답변

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

추가 답변(0개)

범주

Find more on Portfolio Optimization and Asset Allocation in Help Center and File Exchange

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by