NO.PZ2015121802000054
问题如下：
To evaluate the performance of an investment, an analyst has forecasted the return of an assets and market portfolio on different economic conditions and the probability.
Estimation of an asset:
Estimation of market portfolio:
Assuming the risk-free rate is 5%, the risky asset's beta is 1.2, and market portfolio is correctly priced, which investment decision should the analyst make?
选项：
A.The analyst should buy the risky asset because its expected return is higher than its required return in equilibrium.
B.The analyst should short the risky asset because its expected return is less than the expected return on the market portfolio.
C.The analyst should short the risky asset because its expected return can not compensate for its systematic risk totally.
解释：
C is correct.
The estimated return of risky asset is 6%*(10%) + 10%*(45%) + 15%*(45%) = 11.85%.
The expected return of market portfolio is 3%*(10%) + 12%*(45%) + 14%*(0.45) = 12%.
According to the CAPM, the expected return on the risky asset is 5% + 1.2*(12% - 5%) = 13.4%.
Because the analyst's forecast return on the risky asset is less than its expected return derived from CAPM, the asset is overvalued and the analyst should sell it.
老师，我看了别的解析，不太清楚我这样的理解是否正确：
11.85%是分析师估计出来的收益率，而CAPM计算的是13.4%，所以估计的收益率比合理计算的收益率低。
低收益率就是因为资产的价格高于市场预期？所以实际上就是overvalued，需要卖出吗？
