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mashirolee · 2022年12月09日

请问计算中间值应该保留几位小数？

  1. CFA III
  2. Capital Market Expectations

* 问题详情，请 查看题干

NO.PZ202001210200000501

问题如下：

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：

解释：

Using the formula

we can solve for each expected industry risk premium. Te 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%


这道题的Sharpe ratio =3.5/8.5 =0.4118，我在计算过程中保留两位小数，取值0.41，最终算出来第一个premium是0.12*0.7*0.41=3.44%，但是答案中算Sharpe ratio时保留了三位小数也就是0.412，算出来第一个premium是0.12*0.7*0.412=3.46%。由于现在考试已经取消了计算编辑器，在看不到计算过程的情况下，计算中间值保留的小数位数直接决定了最终答案的对错。请问一般应该保留几位小数合适？

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源_品职助教 · 2022年12月12日

嗨，从没放弃的小努力你好：


一般情况下，我们建议保留4为小数（转换成在带百分号的情况下，2位小数就差不多了）

这个时候，计算出来的数值和标准答案不会偏离太多，一般都是会被判定为正确的。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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