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露露66 · 2023年12月12日

老师 我有点晕 既然完全融合，为啥还乘以0.7？另外什么时候要把那个0.3考虑进去？

  1. CFA III
  2. Capital Market Expectations

NO.PZ2018091901000060

问题如下：

An analyst is reviewing various asset alternatives and is presented with the following information relating to the broad equity market of Switzerland and various industries within the Swiss market that are of particular investment interest.

Assume that the Swiss market is perfectly integrated with the world markets. Swiss Healthcare has a correlation of 0.7 with the GIM portfolio.

Swiss Watch has a correlation of 0.8 with the GIM portfolio.

Swiss Consumer Products has a correlation of 0.8 with the GIM portfolio.

A Basing your answers only upon the data presented in the table above and using the international capital asset pricing model—in particular, the Singer–Terhaar approach—estimate the expected risk premium for the following:

i. Swiss Health Care Industry

ii. Swiss Watch Industry

iii. Swiss Consumer Products Industry

选项：

A.

A. 3.46% for Health Care Industry,1.98% for Swiss Watch Industry, and 2.47% for Consumer Products Industry

B.

B. 1.98% for Health Care Industry,3.46% for Swiss Watch Industry, and 2.47% for Consumer Products Industry

C.

C. 2.47% for Health Care Industry,1.98% for Swiss Watch Industry, and 3.46% for Consumer Products Industry

解释：

A is correct.

Using the formula RPiG=ρi,GM σi(RPGM/σGM)，we can solve for each expected industry risk premium. The term in brackets is the Sharpe ratio for the GIM, computed as 3.5/8.5 = 0.412.

i. RPHealthcare = (12)(0.7)(0.412) = 3.46%

ii. RPWatch = (6)(0.8)(0.412) = 1.98%

iii. RPConsumer Products = (7.5)(0.8)(0.412) = 2.47%

解析：

注意到本题假设市场完全整合，所以我们无需再按权重求解市场整合程度。并且该题不涉及对于资产流动性的补偿。因此我们直接套用公式RPiG=ρi,GM σi(RPGM/σGM)，其中Sharpe ratio =3.5/8.5 =0.412. 。

那么，

i. RPHealth Care = (12)(0.7)(0.412) = 3.46%

ii. RPWatch = (6)(0.8)(0.412) = 1.98%

iii. RPConsumer Products = (7.5)(0.8)(0.412) = 2.47%

老师 我有点晕 既然完全融合，为啥还乘以0.7？另外什么时候要把那个0.3考虑进去？

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1 个答案

笛子_品职助教 · 2023年12月12日

嗨，从没放弃的小努力你好：


Hello，亲爱的同学~

我们先看这道题的知识点：在强化讲义25页这里。红框部分。


我们先要计算RP（G），随后计算RP (S)，最后把这两者联合起来得出最终的RP。

RP(G)是指full integration，计算RP（G)的这一步，需要用到相关系数。

同学注意：完全融合，不代表本地市场和国际市场完全一致哦，还是会有一个相关系数的关系。

同学需要记忆这个原版书上讲到的公式哦~


我们记忆住了原版书上的公式后，再看这道题。

信息点：Swiss Healthcare has a correlation of 0.7 with the GIM portfolio

因此：RPG里的相关系数，就是0.7，我们要乘以0.7。

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

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