NO.PZ2015121802000054
问题如下：
To evaluate the performance of an investment, an analyst has forecasted the return of an assets and market portfolio on different economic conditions and the probability.
Estimation of an asset:
Estimation of market portfolio:
Assuming the risk-free rate is 5%, the risky asset's beta is 1.2, and market portfolio is correctly priced, which investment decision should the analyst make?
选项：
A.The analyst should buy the risky asset because its expected return is higher than its required return in equilibrium.
B.The analyst should short the risky asset because its expected return is less than the expected return on the market portfolio.
C.The analyst should short the risky asset because its expected return can not compensate for its systematic risk totally.
解释：
C is correct.
The estimated return of risky asset is 6%*(10%) + 10%*(45%) + 15%*(45%) = 11.85%.
The expected return of market portfolio is 3%*(10%) + 12%*(45%) + 14%*(0.45) = 12%.
According to the CAPM, the expected return on the risky asset is 5% + 1.2*(12% - 5%) = 13.4%.
Because the analyst's forecast return on the risky asset is less than its expected return derived from CAPM, the asset is overvalued and the analyst should sell it.
Q1：estimated return of risky asset is 6%*(10%) + 10%*(45%) + 15%*(45%) = 11.85% expected return of market portfolio is 3%*(10%) + 12%*(45%) + 14%*(0.45) = 12%.
同样的计算公式，为啥一个叫做estimated一个叫做expected？这咋区别？
Q2：expected return on the risky asset is 5% + 1.2*(12% - 5%) = 13.4%. expected return of market portfolio is 3%*(10%) + 12%*(45%) + 14%*(0.45) = 12%. 这两个都叫做expected为啥计算公式又不一样？这咋理解？
Q3：反正判断投资者到底是买入还是卖出的标准，就是拿合理收益率（CAPM）和实际预测收益率（E(R)）作比较？前者大就买入，后者大就卖出？
