NO.PZ2018091901000060
问题如下：
An analyst is reviewing various asset alternatives and is presented with the following information relating to the broad equity market of Switzerland and various industries within the Swiss market that are of particular investment interest.
Assume that the Swiss market is perfectly integrated with the world markets. Swiss Healthcare has a correlation of 0.7 with the GIM portfolio.
Swiss Watch has a correlation of 0.8 with the GIM portfolio.
Swiss Consumer Products has a correlation of 0.8 with the GIM portfolio.
A Basing your answers only upon the data presented in the table above and using the international capital asset pricing model—in particular, the Singer–Terhaar approach—estimate the expected risk premium for the following:
i. Swiss Health Care Industry
ii. Swiss Watch Industry
iii. Swiss Consumer Products Industry
选项：
A.
A. 3.46% for Health
Care Industry,1.98% for Swiss Watch Industry, and 2.47% for Consumer Products
Industry
B. 1.98% for Health
Care Industry,3.46% for Swiss Watch Industry, and 2.47% for Consumer Products
Industry
C. 2.47% for Health
Care Industry,1.98% for Swiss Watch Industry, and 3.46% for Consumer Products
Industry
解释：
A is correct.
Using the formula RPiG=ρi,GM σi(RPGM/σGM)，we can solve for each expected industry risk premium. The term in brackets is the Sharpe ratio for the GIM, computed as 3.5/8.5 = 0.412.
i. RPHealthcare = (12)(0.7)(0.412) = 3.46%
ii. RPWatch = (6)(0.8)(0.412) = 1.98%
iii. RPConsumer Products = (7.5)(0.8)(0.412) = 2.47%
解析：
注意到本题假设市场完全整合，所以我们无需再按权重求解市场整合程度。并且该题不涉及对于资产流动性的补偿。因此我们直接套用公式RPiG=ρi,GM σi(RPGM/σGM)，其中Sharpe ratio =3.5/8.5 =0.412. 。
那么，
i. RPHealth Care = (12)(0.7)(0.412) = 3.46%
ii. RPWatch = (6)(0.8)(0.412) = 1.98%
iii. RPConsumer Products = (7.5)(0.8)(0.412) = 2.47%
Using the formula RPiG=ρi,GM σi(RPGM/σGM)，we can solve for each expected industry risk premium. The term in brackets is the Sharpe ratio for the GIM, computed as 3.5/8.5 = 0.412.
请问这个ρi,GM是当作1了嘛
