考拉女士 · 2020年02月23日
问题如下：
Based on the capital asset pricing model, please choose the security that has the highest expected return assuming the expected market risk premium if 8%.
选项：
A. Security 1.
B. Security 2.
C. Security 3.
解释：
C is correct.
E(Ri) = Rf + βi[E(Rm)–Rf]
Security 3 will have the highest expected return among all three securities because it has the highest beta.
老师，请问为什么这道题只考虑beta.不用管其他？
丹丹_品职答疑助手 · 2020年02月23日
同学你好，本题目考查的是对于CAPM定价模型的理解， 我们知道风险是指偏离预期的程度，我们可以用expected standard deviation来计量，风险又可细分为可分散化的非系统性风险和不能被分散化的系统性风险。CAPM定价模型中我们仅仅对market risk premium ---E(Rm)–Rf,即市场收益超过无风险收益部分进行补偿，补偿的大小我们体现在不同资产的beta值里，即补偿的程度只取决于资产的beta值的大小。因而在本题，因为market risk premium =6%，我们可以只依据beta的大小来判定期望收益的大小。
Kiki · 2022年12月07日
这里也没说三个security的expected return一样吧，怎么比较
NO.PZ2018070201000104问题如下 Baseon the capitasset pricing mol, please choose the security thhthe highest expectereturn assuming the expectemarket risk premium if 8%.A.Security 1.B.Security 2.C.Security 3.C is correct.E(Ri) = Rf + βi[E(Rm)–Rf]Security 3 will have the highest expectereturn among all three securities because it hthe highest beta.请问expecterisk premium到底是βi[E(Rm)–Rf]还是[E(Rm)–Rf]？前面做了个题 解析说是βi[E(Rm)–Rf]。这道题里说是[E(Rm)–Rf]。
NO.PZ2018070201000104 问题如下 Baseon the capitasset pricing mol, please choose the security thhthe highest expectereturn assuming the expectemarket risk premium if 8%. A.Security 1. B.Security 2. C.Security 3. C is correct.E(Ri) = Rf + βi[E(Rm)–Rf]Security 3 will have the highest expectereturn among all three securities because it hthe highest bet 这个=expectemarket risk premium8%
NO.PZ2018070201000104 问题如下 Baseon the capitasset pricing mol, please choose the security thhthe highest expectereturn assuming the expectemarket risk premium if 8%. A.Security 1. B.Security 2. C.Security 3. C is correct.E(Ri) = Rf + βi[E(Rm)–Rf]Security 3 will have the highest expectereturn among all three securities because it hthe highest bet 可以给下计算过程吗
NO.PZ2018070201000104 1.老师能求下1和2的结果代入分别等于多少吗？
