3281数学中等derivationmedium

How Much of a Single-Asset Position Comes from the Market PC?

题目

Under covariance $\Sigma=egin{pmatrix}5&4\4&5\end{pmatrix}$ , take the portfolio $p=(1,0)$ . What fraction of its variance is attributable to the first principal component?

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数值

只填写数值本身，单位 % 已固定在输入框右侧。