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

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Steven Niggebrugge il 8 Feb 2017
Risposto: Jan Studnicka il 24 Lug 2017
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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Jan Studnicka il 24 Lug 2017
Hi, correct formula is in slide number 7.
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