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.
对系统性风险的补偿就是CAPM计算出来的预期收益率，那为什么C选项是expected return无法补偿系统性风险，而不是estimated return呢
