开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

咩咩 · 2021年12月05日

为什么Portfolio B 是overvalued portfolio

  1. CFA II
  2. Portfolio

NO.PZ2021101401000003

问题如下：

Assume that the following one-factor model describes the expected return for portfolios:

E(Rp)=0.10+0.12βp,1E{(R_p)}=0.10+0.12\beta_{p,1}

Also assume that all investors agree on the expected returns and factor sensitivity of the three highly diversified Portfolios A, B, and C given in the following table:

Assuming the one-factor model is correct and based on the data provided for Portfolios A, B, and C, determine if an arbitrage opportunity exists and explain how it might be exploited.

选项：

解释：

According to the one-factor model for expected returns, the portfolio should have these expected returns if they are correctly priced in terms of their risk:

Portfolio A

E(RA) = 0.10 + 0.12βA,1 = 0.10 + (0.12)(0.80) = 0.10 + 0.10 = 0.20

Portfolio B

E(RB) = 0.10 + 0.12βB,1 = 0.10 + (0.12)(1.00) = 0.10 + 0.12 = 0.22

Portfolio C

E(RC) = 0.10 + 0.12βC,1 = 0.10 + (0.12)(1.20) = 0.10 + 0.14 = 0.24

In the table below, the column for expected return shows that Portfolios A and C are correctly priced but Portfolio B offers too little expected return for its risk, 0.15 or 15%. By shorting Portfolio B (selling an overvalued portfolio) and using the proceeds to buy a portfolio 50% invested in A and 50% invested in C with a sensitivity of 1 that matches the sensitivity of B, for each monetary unit shorted (say each euro), an arbitrage profit of €0.22 -€0.15 = €0.07 is earned.

为什么Portfolio B 是overvalued portfolio

添加评论
1 个答案

星星_品职助教 · 2021年12月05日

同学你好，

按照题干中给出的APT公式，将A、B、C的β逐个代入，得到的就是这个portfolio应该有的合理收益率。然后再和目前的expected return进行比较，可以发现A、C定价合理。

只有B的合理定价应为0.22，但实际的expected return却是0.156，即return比合理的要低。

这说明这个portfolio被卖的太贵了，才把收益率压低了。即价格被高估，也就是overvalued。

  • 1

    回答

  • 3

    关注

  • 494

    浏览
相关问题

NO.PZ2021101401000003 问题如下 Assume ththe following one-factor mol scribes the expectereturn for portfolios:E(Rp)=0.10+0.12βp,1E{(R_p)}=0.10+0.12\beta_{p,1}E(Rp​)=0.10+0.12βp,1​Also assume thall investors agree on the expectereturns anfactor sensitivity of the three highly versifiePortfolios anC given in the following table:Assuming the one-factor mol is correanbaseon the ta provifor Portfolios antermine if arbitrage opportunity exists anexplain how it might exploite（备注课后题原题，虽然题目形式是问答题，但是建议不用纠结题目形式，了解题目考查角度即可） Accorng to the one-factor mol for expectereturns, the portfolio shoulhave these expectereturns if they are correctly pricein terms of their risk: Portfolio AE(R= 0.10 + 0.12βA,1 = 0.10 + (0.12)(0.80) = 0.10 + 0.096 = 0.196Portfolio BE(R= 0.10 + 0.12βB,1 = 0.10 + (0.12)(1.00) = 0.10 + 0.12 = 0.22Portfolio CE(R= 0.10 + 0.12βC,1 = 0.10 + (0.12)(1.20) = 0.10 + 0.144 = 0.244In the table below, the column for expectereturn shows thPortfolios A anC are correctly pricebut Portfolio B offers too little expectereturn for its risk, 0.15 or 15%. shorting Portfolio B (selling overvalueportfolio) anusing the procee to buy a portfolio 50% investein A an50% investein C with a sensitivity of 1 thmatches the sensitivity of for eamonetary unit shorte(seaeuro), arbitrage profit of €0.22 -€0.15 = €0.07 is earne 比如这题 Portfolio B 的E(rp）是0.22，市场的E(rp)是0.156,那么如果去long Portfolio 最后获得的收益是0.156还是0.22？

2024-01-05 21:12 2 · 回答

NO.PZ2021101401000003 问题如下 Assume ththe following one-factor mol scribes the expectereturn for portfolios:E(Rp)=0.10+0.12βp,1E{(R_p)}=0.10+0.12\beta_{p,1}E(Rp​)=0.10+0.12βp,1​Also assume thall investors agree on the expectereturns anfactor sensitivity of the three highly versifiePortfolios anC given in the following table:Assuming the one-factor mol is correanbaseon the ta provifor Portfolios antermine if arbitrage opportunity exists anexplain how it might exploite Accorng to the one-factor mol for expectereturns, the portfolio shoulhave these expectereturns if they are correctly pricein terms of their risk: Portfolio AE(R= 0.10 + 0.12βA,1 = 0.10 + (0.12)(0.80) = 0.10 + 0.096 = 0.196Portfolio BE(R= 0.10 + 0.12βB,1 = 0.10 + (0.12)(1.00) = 0.10 + 0.12 = 0.22Portfolio CE(R= 0.10 + 0.12βC,1 = 0.10 + (0.12)(1.20) = 0.10 + 0.144 = 0.244In the table below, the column for expectereturn shows thPortfolios A anC are correctly pricebut Portfolio B offers too little expectereturn for its risk, 0.15 or 15%. shorting Portfolio B (selling overvalueportfolio) anusing the procee to buy a portfolio 50% investein A an50% investein C with a sensitivity of 1 thmatches the sensitivity of for eamonetary unit shorte(seaeuro), arbitrage profit of €0.22 -€0.15 = €0.07 is earne In the table below, the column for expectereturn shows thPortfolios A anC are correctly pricebut Portfolio B offers too little expectereturn for its risk, 0.15 or 15%.老师这个0.15 怎么来的？

2023-09-04 09:02 1 · 回答

NO.PZ2021101401000003 问题如下 Assume ththe following one-factor mol scribes the expectereturn for portfolios:E(Rp)=0.10+0.12βp,1E{(R_p)}=0.10+0.12\beta_{p,1}E(Rp​)=0.10+0.12βp,1​Also assume thall investors agree on the expectereturns anfactor sensitivity of the three highly versifiePortfolios anC given in the following table:Assuming the one-factor mol is correanbaseon the ta provifor Portfolios antermine if arbitrage opportunity exists anexplain how it might exploite Accorng to the one-factor mol for expectereturns, the portfolio shoulhave these expectereturns if they are correctly pricein terms of their risk: Portfolio AE(R= 0.10 + 0.12βA,1 = 0.10 + (0.12)(0.80) = 0.10 + 0.10 = 0.20Portfolio BE(R= 0.10 + 0.12βB,1 = 0.10 + (0.12)(1.00) = 0.10 + 0.12 = 0.22Portfolio CE(R= 0.10 + 0.12βC,1 = 0.10 + (0.12)(1.20) = 0.10 + 0.14 = 0.24In the table below, the column for expectereturn shows thPortfolios A anC are correctly pricebut Portfolio B offers too little expectereturn for its risk, 0.15 or 15%. shorting Portfolio B (selling overvalueportfolio) anusing the procee to buy a portfolio 50% investein A an50% investein C with a sensitivity of 1 thmatches the sensitivity of for eamonetary unit shorte(seaeuro), arbitrage profit of €0.22 -€0.15 = €0.07 is earne 请问为什么是50% 50%?

2022-07-23 16:15 1 · 回答

NO.PZ2021101401000003问题如下 Assume ththe following one-factor mol scribes the expectereturn for portfolios:E(Rp)=0.10+0.12βp,1E{(R_p)}=0.10+0.12\beta_{p,1}E(Rp​)=0.10+0.12βp,1​Also assume thall investors agree on the expectereturns anfactor sensitivity of the three highly versifiePortfolios anC given in the following table:Assuming the one-factor mol is correanbaseon the ta provifor Portfolios antermine if arbitrage opportunity exists anexplain how it might exploite Accorng to the one-factor mol for expectereturns, the portfolio shoulhave these expectereturns if they are correctly pricein terms of their risk: Portfolio AE(R= 0.10 + 0.12βA,1 = 0.10 + (0.12)(0.80) = 0.10 + 0.10 = 0.20Portfolio BE(R= 0.10 + 0.12βB,1 = 0.10 + (0.12)(1.00) = 0.10 + 0.12 = 0.22Portfolio CE(R= 0.10 + 0.12βC,1 = 0.10 + (0.12)(1.20) = 0.10 + 0.14 = 0.24In the table below, the column for expectereturn shows thPortfolios A anC are correctly pricebut Portfolio B offers too little expectereturn for its risk, 0.15 or 15%. shorting Portfolio B (selling overvalueportfolio) anusing the procee to buy a portfolio 50% investein A an50% investein C with a sensitivity of 1 thmatches the sensitivity of for eamonetary unit shorte(seaeuro), arbitrage profit of €0.22 -€0.15 = €0.07 is earne 这里面说的protfolioB的0.15是如何算出来的？

2022-07-21 21:12 1 · 回答