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一只可爱的猪 · 2022年07月10日

为什么不是用(expected return-rf)来计算premium

Walker Patel is a portfolio manager at an investment management firm. After successfully implementing mean–variance optimization (MVO), he wants to apply reverse optimization to his portfolio. For each asset class in the portfolio, Patel obtains market capitalization data, betas computed relative to a global market portfolio, and expected returns. This information, along with the MVO asset allocation results, are presented in Exhibit 1.




The risk-free rate is 2.0%, and the global market risk premium is 5.5%.

Contrast, using the information provided above, the results of a reverse optimization approach with that of the MVO approach for each of the following:

i. The asset allocation mix

ii. The values of the expected returns for US equities and global bonds

Justify your response.

答案:Return on Global Bonds = 2.0% + (0.6) (5.5%) = 5.3%

Return on US Equities = 2.0% + (1.4) (5.5%) = 9.7%

为什么不是用(expected return-rf)来计算premium?

Return on Global Bonds = 2.0% + (0.6) (8.6%-2%) = 5.3%这不也是市场的观点吗

1 个答案
已采纳答案

lynn_品职助教 · 2022年07月10日

嗨,爱思考的PZer你好:


首先reverse optimization方法用的是 implied returns ,所以我们用CAPM分别计算资产的return。

global market risk premium × Global Bonds的 beta是符合CAPM的,

那么 Global Bonds的expected return查表是4.7%哈,(不是同学写的8.6),再×Global Bonds的 beta,单单从公式上看也是解释不通的。

 

最后,题目表格里的 4.7% 和 8.6%(分别是global bonds 和 US equities),是正向MVO算出来的,并不是市场的观点

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