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Level III
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Asset Allocation
Asset Allocation
Medium
In a risk budgeting framework, an asset class has a weight of 25%, a beta of 1.4 relative to the total portfolio, and the portfolio's total volatility is 12%. The asset class's absolute contribution to total risk (ACTR) is closest to:
A
4.2%
B
3.0%
C
5.6%
D
1.4%
Select an answer to continue
Tags
#risk-budgeting
#actr
#marginal-contribution
#portfolio-risk
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