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zj120299785 · 2020年03月19日

问一道题:NO.PZ2020021002000098 [ FRM I ]

问题如下:

The riskless rate of interest is r = 5% and the market portfolio is characterized by E(RM) = 13% and σM = 15%.
CAPM implies that the expected return of stocks A, B, and
C are

选项:

A.

E(RA) = -3%, E(RB) = 5%, E(Rc) = 21%

B.

E(RA) = -5%, E(RB) = 3%, E(Rc)= 21%

C.

E(RA) = 3%, E(RB) = 5%, E(Rc) = 16%

D.

None of the above

解释:

A is correct..

E(RA) = -3%, E(RB) = 5%, E(Rc) = 21%

In equilibrium stocks are on the same security

market line:

E(Ri) = r + [E(RM) - r]βi

这题的解题思路是什么?贝塔未知,怎么求回报率?
1 个答案

品职答疑小助手雍 · 2020年03月20日

同学你好,这道题有些奇怪,我已经建议删除了~