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%
老师请问写答案的时候需要列公式(含字母那种)吗？直接写成下面的内容会被扣分吗？
the expected risk premium for the following:
i. Swiss Health Care Industry = 0.7 x 12% x (3.5%/8.5%) =3.45%
ii. Swiss Watch Industry = 0.8 x 6% x (3.5%/8.5%) = 1.98%
iii. Swiss Consumer Products Industry = 0.8 x 7.5% x (3.5%/8.5%) = 2.47%
