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Evan盛隆 · 2023年01月14日

integrated部分的risk premium=？

  1. CFA III
  2. Capital Market Expectations

* 问题详情，请 查看题干

NO.PZ202206070100000203

问题如下：

Using the data provided in Exhibit 1 and Grey’s recommended approach and assumed correlation, the expected return for US real estate is closest to:

选项：

A.6.9%. B.4.3%. C.6.3%.

解释：

C is correct. Grey recommends the Singer–Terhaar approach and a correlation of 0.39 between real estate and the market. Use these steps to solve for the expected return:

Fully integrated risk premium: R P i G = β i,GM R P GM = ρ i,GM σ i R P GM σ GM

  • Step 1 Fully integrated risk premium (14.0% × 0.39 × 0.36) = 1.97%
  • Fully segmented risk premium (14.0% × 0.36) = 5.04%
  • Step 2 Fully integrated and segmented risk premium, considering the degree of integration (1.97% × 0.6) + (5.04% × 0.4) = 3.20%
  • Step 3 Expected return estimate:
  • Fully integrated and segmented risk premium + Risk-free rate 3.20% + 3.1% = 6.3%

A is incorrect. The mistake is in reversing the weights for integrated and segmented.

B is incorrect. In step one, it uses the covariance 0.0075 instead of the Sharpe ratio

本题考查的ST模型：

C是正确的。格雷建议采用Singer-Terhaar方法，房地产和市场之间的相关性为0.39。使用以下步骤来求解预期收益:

完全整合风险溢价: R P i ,G = β i,GM R P GM = ρ i,GM σ i (R P GM/ σ GM)

完全分割风险溢价: R P i ,S =1×R P i, S =1× σ i( R P i S /σ i)


B是不正确的。在第一步中，它错误地使用0.0075的协方差代替夏普比率。A是不正确的。它错误在于颠倒了权重。

 β = CoV / VAR karket = 0.0075/  0.11392 =0.58

integrated 部分=0.6*0.58*(7.2%-3.1%)=1.4268%


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1 个答案

笛子_品职助教 · 2023年01月15日

嗨，爱思考的PZer你好：


integrated部分的risk premium=？大题题干：

integrated部分的risk premium（也就是本题的情形）就是步骤2（Fully integrated and segmented risk premium, considering the degree of integration ），等于3.2%


  • Step 1 Fully integrated risk premium (14.0% × 0.39 × 0.36) = 1.97%
  • Fully segmented risk premium (14.0% × 0.36) = 5.04%
  • Step 2 Fully integrated and segmented risk premium, considering the degree of integration (1.97% × 0.6) + (5.04% × 0.4) = 3.20%
  • Step 3 Expected return estimate:
  • Fully integrated and segmented risk premium + Risk-free rate 3.20% + 3.1% = 6.3%


解析中的表格数据有错误，同学看文字解析就可以。


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