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tzdsgn · 2023年04月03日

请问下,rpi=B*rpgm中,不需要考虑rgm减去rf,是因为这里是rpgm。其实risk premium就等于global market return减去risk free rate,而这个公式中不需要拆开来这样理解对吗

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.

B. 1.98% for Health Care Industry,3.46% for Swiss Watch Industry, and 2.47% for Consumer Products Industry

C.

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(RPGMGM),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%

有点混乱,想厘清一下。

1 个答案

源_品职助教 · 2023年04月04日

嗨,爱思考的PZer你好:


同学的理解是正确的。risk premium就等于global market return减去risk free rate。

已经减去过无风险利率了,所以就不需要再拆开来考虑了。


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