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lxwfj9 · 2024年01月03日

这是啥知识点啊？

  1. CFA III
  2. Capital Market Expectations

NO.PZ2022122601000036

问题如下：

Lastly, Perumal focuses on forecasting the expected returns of investing in direct real estate. He analyzes the previous ten years of multifamily residential real estate returns data. He is skeptical that the volatility of the observed returns reflects smoothing. Perumal uses a publicly traded REIT index to unsmooth the return stream and appropriately reflect the risk (as measured by standard deviation) of investing in multifamily residential real estate (the variance of the REIT index for the measurement period is 16; λ equals 0.8).

Perumal’s unsmoothed standard deviation for multifamily properties for the investment period is closest to:

选项：

A.12 B.18 C.24

解释：

Correct Answer: A

Var(r)={(1+λ)/(1-λ)}*var(R)

Var(r)={(1+0.80/(1-0.8)}*16=144

Standard deviation=12

中文解析：

Var (r) ={(1 +λ)/(1 -λ)}* Var(右)

Var (r) = {(1 + 0.80 / (1 - 0.8)} * 16 = 144

标准差= 12

这是啥知识点啊？

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1 个答案

源_品职助教 · 2024年01月03日

嗨，努力学习的PZer你好：


考察的就是讲义P210上的公式

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努力的时光都是限量版，加油！

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