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粉红豹 · 2018年10月15日

问一道题：NO.PZ2015121802000052 [ CFA I ]

  1. CFA I
  2. Portfolio

问题如下图：

    

选项：

A.

B.

C.

解释：


老师，根据C这个句子，我可以认为   

Market index 可以衡量market risk premium     吗？

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已采纳答案

Shimin_CPA税法主讲、CFA教研 · 2018年10月15日

Market index 衡量的是market return。

market risk premium=market return-risk free rate

虽然根据CAPM，beta是market risk premium前面的系数，但是beta本身的定义是the sensitivity of an asset’s return to the return on the market index in the market model，也就是市场收益率变动1单位，资产收益率变动多少。

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