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claireyaoxu · 2024年02月17日

这种题目考试的时候公式要怎么打出来啊？

  1. CFA III
  2. Capital Market Expectations

* 问题详情，请 查看题干

NO.PZ202001210200000501

问题如下：

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：

解释：

Using the formula

we can solve for each expected industry risk premium. Te 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%


如题

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1 个答案

源_品职助教 · 2024年02月18日

嗨，爱思考的PZer你好：


公式不用打出来的，预祝同学考试顺利~

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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题干错误 没有数字，没法计算。

2024-06-28 10:17 1 · 回答

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2024-04-25 15:39 1 · 回答

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2022-12-21 16:41 1 · 回答

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