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小熊猫 · 2023年05月02日

capm计算中 Em为什么带12%

NO.PZ2015121802000054

问题如下:

To evaluate the performance of an investment, an analyst has forecasted the return of an assets and market portfolio on different economic conditions and the probability.

Estimation of an asset:

Estimation of market portfolio:

Assuming the risk-free rate is 5%, the risky asset's beta is 1.2, and market portfolio is correctly priced, which investment decision should the analyst make?

选项:

A.

The analyst should buy the risky asset because its expected return is higher than its required return in equilibrium.

B.

The analyst should short the risky asset because its expected return is less than the expected return on the market portfolio.

C.

The analyst should short the risky asset because its expected return can not compensate for its systematic risk totally.

解释:

C is correct.

The estimated return of risky asset is 6%*(10%) + 10%*(45%) + 15%*(45%) = 11.85%.

The expected return of market portfolio is 3%*(10%) + 12%*(45%) + 14%*(0.45) = 12%. 

According to the CAPM, the expected return on the risky asset is 5% + 1.2*(12% - 5%) = 13.4%.

Because the analyst's forecast return on the risky asset is less than its expected return derived from CAPM, the asset is overvalued and the analyst should sell it.

“According to the CAPM, the expected return on the risky asset is 5% + 1.2*(12% - 5%) = 13.4%.”

题中不是给了Em的三个估计(3%,12%,14%)吗?

1 个答案

Kiko_品职助教 · 2023年05月04日

嗨,努力学习的PZer你好:


The expected return of market portfolio is 3%*(10%) + 12%*(45%) + 14%*(0.45) = 12%. 

12%是这里算出来的,并不是直接用的表格里面的,表格里面是estimation,要先根据他们各自的概率算出来一个expected,再代入,只不过这里算出来12%刚好跟表格里面重合了。

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