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醉清风 · 2019年04月09日

问一道题:NO.PZ2015121802000054 [ CFA I ]

问题如下图:

选项:

A.

B.

C.

解释:我算出来了12%和13.4%,就可以得出高估需要卖,为什么还要算11.85%?不明白,谢谢!

3 个答案
已采纳答案

Wendy_品职助教 · 2019年04月09日

同学,你这个逻辑弄错了,这是必须步骤。

12%是市场组合的expected return,13.4%是根据CAPM公司计算出的risky asset的expected return。题目中假设市场组合是合理定价的,13.4%是risky asset的合理收益率。

11.85%是市场中的risky asset的收益率,因此市场收益率偏低,收益率低价格高估,因此short。

丹丹_品职答疑助手 · 2021年06月21日

嗨,从没放弃的小努力你好:


同学你好,注意到表格一说的是一个资产的收益情况,并不是题干问的市场组合。不符合题意

----------------------------------------------
努力的时光都是限量版,加油!

snow666_6 · 2021年06月21日

为什么用11.85来判断高估不高估?那前面的市场组合的那个是不是没什么用?

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