NO.PZ202206070100000202
问题如下:
Using the data provided in Exhibit 1 and assuming perfect markets, the calculated beta for US real estate is closest to:选项:
A.0.58. B.1.08. C.0.38.解释:
Solution
A is correct.
βi = Cov(Ri,RM)/Var(RM)
Note that covariance is given as 0.0075.
Find Var(RM) by using the Sharpe ratio = RPM/σM and solve for σM
Expected return – Risk-free rate = RPM
7.2% – 3.1% = 4.1% (or 0.041)
σM = 0.041/0.36 = 0.1139
Var(RM) = (0.1139)2 = 0.0130
βi = 0.0075/0.0130 = 0.58
C is incorrect. It incorrectly uses the value for variance of 0.142 based upon the standard deviation of the global real estate asset class in the beta formula.
Var(RM) = (0.14)2 = 0.0196 βi
βi = 0.0075/0.0196 = 0.38
B is incorrect. It incorrectly uses the ratio of the correlations.
βi = 0.39 (given by Grey)/0.36= 1.08
βi = Cov(Ri,RM)/Var(RM) Note that covariance is given as 0.0075. Find Var(RM) by using the Sharpe ratio = RPM/σM and solve for σM Expected return – Risk-free rate = RPM 7.2% – 3.1% = 4.1% (or 0.041) σM = 0.041/0.36 = 0.1139 Var(RM) = (0.1139)^2 = 0.0130 βi = 0.0075/0.0130 = 0.58 C is incorrect. It incorrectly uses the value for variance of 0.142 based upon the standard deviation of the global real estate asset class in the beta formula. Var(RM) = (0.14)2 = 0.0196 βi βi = 0.0075/0.0196 = 0.38 B is incorrect. It incorrectly uses the ratio of the correlations. βi = 0.39 (given by Grey)/0.36= 1.08
βi = Cov(Ri,RM)/Var(RM)
注意协方差为0.0075。
用夏普比= RPM/σM求Var(RM),求出σM
预期收益-无风险率= RPM
7.2% - 3.1% = 4.1%(或0.041)
σm = 0.041/0.36 = 0.1139
Var(RM) = (0.1139)^2 = 0.0130
βi = 0.0075/0.0130 = 0.58
C是不正确的。它错误地使用了基于贝塔公式中全球房地产资产类别的标准差的方差0.142的值。
Var(RM) = (0.14)^2 = 0.0196 βi
βi = 0.0075/0.0196 = 0.38
B是不正确的。它错误地使用了相关性的比率。
βi = 0.39(由Grey给出)/0.36= 1.08
βi = Cov(Ri,RM)/Var(RM)注意,协方差为0.0075。通过Sharpe ratio = RPM/σM求Var(RM),求出σM。期望收益-无风险率= RPM 7.2% - 3.1% = 4.1%(或0.041)σM = 0.041/0.36 = 0.1139 Var(RM) = (0.1139)^2 = 0.0130 βi = 0.0075/0.0130 = 0.58 C是不正确的。它错误地使用0.142的值。Var(RM) = (0.14)^2 = 0.0196 βi βi = 0.0075/0.0196 = 0.38 B不正确。它错误地使用了相关性的比率。βi = 0.39(由Grey给出)/0.36= 1.08
能否请老师详细讲解下,这题答案没看懂