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Feeling · 2022年08月16日

没有看懂问题,请问这道题问的是什么?以及这道题是基础班讲义上哪一个考点?

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NO.PZ202205190400000301

问题如下:

Q. Discuss Smith’s method for estimating the increase in return expectations derived from increasing the endowment allocation to private equity.

选项:

解释:

Solution

Private equity is recognized as an illiquid alternative investment and may offer higher returns via a liquidity premium.

The illiquidity premium (also called the liquidity premium) is the expected compensation for the additional risk of tying up capital for a potentially uncertain time period. It can be estimated, as Smith has done, by using the idea that the size of a discount an investor should receive for such capital commitment is represented by the value of a put option with an exercise price equal to the hypothetical “marketable price” of the illiquid asset as estimated at the time of purchase. Smith can derive the price of the illiquid private equity asset by subtracting the put price from the “marketable price.” If both the “marketable price” and the illiquid asset price are estimated or known, then the expected return for each can be calculated, with the difference in expected returns representing the illiquidity premium (in %).

没有看懂问题,请问这道题问的是什么?以及这道题是基础班讲义上哪一个考点?

1 个答案
已采纳答案

lynn_品职助教 · 2022年08月17日

嗨,努力学习的PZer你好:


这道题是Reading 28 ■ Case Study in Portfolio Management: Institutional 的课后练习,讲的是low liquidity public equity有Liquidity premium,我们计算的时候用市场指数算有流动性补偿不一定正确,因为投资者在实际投资时只会投资一部分股票,个股是否有这个流动性补偿并不好说。这种题属于开放式的问答题,基本不会在CFA的考题里出现,CFA的考题是有明确结论的,不会是这种正反两方面讨论的题目。在其他地方没有提到了,本题大概看看即可。 

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