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matthew6448 · 2020年02月26日

问一道题:NO.PZ2018091901000057

问题如下:

An Australian investor currently holds a A$240 million equity portfolio. He is considering rebalancing the portfolio based on an assessment of the risk and return prospects facing the Australian economy. Information relating to the Australian investment markets and the economy has been collected in the following table:

Using the information in the table, calculate the historical Australian equity risk premium by the “equity-vs-bonds” premium method.

选项:

A.

4.6%

B.

2.7%

C.

1.8 %

解释:

C is correct.

The historical equity risk premium is 1.8%, calculated as follows:

Historical equity returns – Historical 10-year government bond yield = Historical equity risk premium

4.6% – 2.8% = 1.8%

解析:

Historical equity returns=historical 10-year government bond yield + Historical equity risk premium,根据此等式,我们就可以反求出Historical equity risk premium= 4.6% – 2.8% = 1.8%注意到题目要求的是历史数据 所以求解此题时都应该用表格第一列的数据

这题是考什么知识点

1 个答案

源_品职助教 · 2020年02月26日

嗨,爱思考的PZer你好:


Risk Premium Approaches:Building Block Approach

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努力的时光都是限量版,加油!


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