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Zunniyaki · 2023年01月17日

为什么C选项不正确？

  1. CFA III
  2. Capital Market Expectations

* 问题详情，请 查看题干

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


老师您好，请问通过sharpe ratio求出的σM，相当于GIM的标准差，并非US real estate的标准差啊，exhibit 1里写的很清楚US real estate的sharpe ratio是n/a，而且题目中给了US real estate的标准差，为什么不能直接用呢？谢谢！

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1 个答案

源_品职助教 · 2023年01月17日

嗨，努力学习的PZer你好：


因为题目说的是，Using the data provided in Exhibit 1，那么就是更具表一求解该题目

表一中的SR就是n/a，那就是不可得或者提示不能用啊

至于题目中给了US real estate的标准差0.39，那是下一个小题的假设，和本题无关哦

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ202206070100000202 问题如下 Using the ta proviin Exhibit 1 anassuming perfemarkets, the calculatebeta for US reestate is closest to: A.0.58. B.1.08. C.0.38. SolutionA is correct.βi = Cov(Ri,RM)/Var(RM)Note thcovarianis given 0.0075.FinVar(RM) using the Sharpe ratio = RPM/σM ansolve for σMExpectereturn – Risk-free rate = RPM7.2% – 3.1% = 4.1% (or 0.041)σM = 0.041/0.36 = 0.1139Var(RM) = (0.1139)2 = 0.0130βi = 0.0075/0.0130 = 0.58C is incorrect. It incorrectly uses the value for varianof 0.142 baseupon the stanrviation of the globreestate asset class in the beta formula.Var(RM) = (0.14)2 = 0.0196 βiβi = 0.0075/0.0196 = 0.38B is incorrect. It incorrectly uses the ratio of the correlations.βi = 0.39 (given Grey)/0.36= 1.08βi = Cov(Ri,RM)/Var(RM) Note thcovarianis given 0.0075. FinVar(RM) using the Sharpe ratio = RPM/σM ansolve for σM Expectereturn – 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 varianof 0.142 baseupon the stanrviation of the globreestate asset class in the beta formulVar(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 Grey)/0.36= 1.08βi = 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= RPM7.2% - 3.1% = 4.1%(或0.041)σm = 0.041/0.36 = 0.1139Var(RM) = (0.1139)^2 = 0.0130βi = 0.0075/0.0130 = 0.58C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 βiβi = 0.0075/0.0196 = 0.38B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= 1.08βi = 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 这个题目考的是ST mol 吗？看了怎么感觉不是

2024-07-12 10:31 1 · 回答

NO.PZ202206070100000202问题如下Using the ta proviin Exhibit 1 anassuming perfemarkets, the calculatebeta for US reestate is closest to:A.0.58.B.1.08.C.0.38. SolutionA is correct.βi = Cov(Ri,RM)/Var(RM)Note thcovarianis given 0.0075.FinVar(RM) using the Sharpe ratio = RPM/σM ansolve for σMExpectereturn – Risk-free rate = RPM7.2% – 3.1% = 4.1% (or 0.041)σM = 0.041/0.36 = 0.1139Var(RM) = (0.1139)2 = 0.0130βi = 0.0075/0.0130 = 0.58C is incorrect. It incorrectly uses the value for varianof 0.142 baseupon the stanrviation of the globreestate asset class in the beta formula.Var(RM) = (0.14)2 = 0.0196 βiβi = 0.0075/0.0196 = 0.38B is incorrect. It incorrectly uses the ratio of the correlations.βi = 0.39 (given Grey)/0.36= 1.08βi = Cov(Ri,RM)/Var(RM) Note thcovarianis given 0.0075. FinVar(RM) using the Sharpe ratio = RPM/σM ansolve for σM Expectereturn – 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 varianof 0.142 baseupon the stanrviation of the globreestate asset class in the beta formulVar(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 Grey)/0.36= 1.08βi = 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= RPM7.2% - 3.1% = 4.1%(或0.041)σm = 0.041/0.36 = 0.1139Var(RM) = (0.1139)^2 = 0.0130βi = 0.0075/0.0130 = 0.58C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 βiβi = 0.0075/0.0196 = 0.38B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= 1.08βi = 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 这个公式是怎么推导出来的呢？谢谢老师

2024-04-20 16:16 1 · 回答

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2024-01-24 17:04 1 · 回答

NO.PZ202206070100000202问题如下Using the ta proviin Exhibit 1 anassuming perfemarkets, the calculatebeta for US reestate is closest to:A.0.58.B.1.08.C.0.38. SolutionA is correct.βi = Cov(Ri,RM)/Var(RM)Note thcovarianis given 0.0075.FinVar(RM) using the Sharpe ratio = RPM/σM ansolve for σMExpectereturn – Risk-free rate = RPM7.2% – 3.1% = 4.1% (or 0.041)σM = 0.041/0.36 = 0.1139Var(RM) = (0.1139)2 = 0.0130βi = 0.0075/0.0130 = 0.58C is incorrect. It incorrectly uses the value for varianof 0.142 baseupon the stanrviation of the globreestate asset class in the beta formula.Var(RM) = (0.14)2 = 0.0196 βiβi = 0.0075/0.0196 = 0.38B is incorrect. It incorrectly uses the ratio of the correlations.βi = 0.39 (given Grey)/0.36= 1.08βi = Cov(Ri,RM)/Var(RM) Note thcovarianis given 0.0075. FinVar(RM) using the Sharpe ratio = RPM/σM ansolve for σM Expectereturn – 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 varianof 0.142 baseupon the stanrviation of the globreestate asset class in the beta formulVar(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 Grey)/0.36= 1.08βi = 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= RPM7.2% - 3.1% = 4.1%(或0.041)σm = 0.041/0.36 = 0.1139Var(RM) = (0.1139)^2 = 0.0130βi = 0.0075/0.0130 = 0.58C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 βiβi = 0.0075/0.0196 = 0.38B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= 1.08βi = 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 如题，求相关知识点的视频讲解

2024-01-13 08:01 1 · 回答

NO.PZ202206070100000202 问题如下 Using the ta proviin Exhibit 1 anassuming perfemarkets, the calculatebeta for US reestate is closest to: A.0.58. B.1.08. C.0.38. SolutionA is correct.βi = Cov(Ri,RM)/Var(RM)Note thcovarianis given 0.0075.FinVar(RM) using the Sharpe ratio = RPM/σM ansolve for σMExpectereturn – Risk-free rate = RPM7.2% – 3.1% = 4.1% (or 0.041)σM = 0.041/0.36 = 0.1139Var(RM) = (0.1139)2 = 0.0130βi = 0.0075/0.0130 = 0.58C is incorrect. It incorrectly uses the value for varianof 0.142 baseupon the stanrviation of the globreestate asset class in the beta formula.Var(RM) = (0.14)2 = 0.0196 βiβi = 0.0075/0.0196 = 0.38B is incorrect. It incorrectly uses the ratio of the correlations.βi = 0.39 (given Grey)/0.36= 1.08βi = Cov(Ri,RM)/Var(RM) Note thcovarianis given 0.0075. FinVar(RM) using the Sharpe ratio = RPM/σM ansolve for σM Expectereturn – 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 varianof 0.142 baseupon the stanrviation of the globreestate asset class in the beta formulVar(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 Grey)/0.36= 1.08βi = 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= RPM7.2% - 3.1% = 4.1%(或0.041)σm = 0.041/0.36 = 0.1139Var(RM) = (0.1139)^2 = 0.0130βi = 0.0075/0.0130 = 0.58C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 βiβi = 0.0075/0.0196 = 0.38B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= 1.08βi = 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 如题

2023-12-19 14:45 1 · 回答