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pseudonym · 2023年11月21日

这道题为什么不能使用Rho*sd*sharp ratio等于beta*RP的方式求出beta？

  1. CFA III
  2. Capital Market Expectations

NO.PZ2022122601000069

问题如下：

The United States-based CME Foundation has asked Pauline Cortez, chief investment officer, to analyze the benefit of adding U.S. real estate equities as a permanent asset class. To determine the appropriate risk premium and expected return for this new asset class, Cortez needs to determine the appropriate risk factor to apply to the international capital asset pricing model (ICAPM). Selected data from GloboStats is shown in Exhibit 1.

Using the data provided in Exhibit 1 and assuming perfect markets, the calculated beta for U.S. real estate is closest to:

选项：

A.1.08.

B.0.58

C.0.38

解释：

Correct Answer: B

βi = Cov (Ri,RM)/Var(RM)

Note that covariance is given as 0.0075.

Find Var(RM) by using the Sharpe ratio = RPM/σM and solve for σM

Expected return - Risk-free rate = RPM

7.2% - 3.1% = 4.1% (or 0.041)

σM = 0.041/0.36 = 0.1139

Var(RM) = (0.1139)2 = 0.0130

βi = 0.0075/0.0130 = 0.58

中文解析：

βi = Cov (Ri,RM)/Var(RM)

注意，协方差为0.0075。

用夏普比率= RPM/σM求Var(RM)，求解σM

预期收益-无风险利率= RPM

7.2% - 3.1% = 4.1%(或0.041)

σm = 0.041/0.36 = 0.1139

Var(RM) = (0.1139)2 = 0.0130

βi = 0.0075/0.0130 = 0.58

如题，求出的beta数字不对

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1 个答案

笛子_品职助教 · 2023年11月22日

嗨，爱思考的PZer你好：


夏普比率= RPM/σM

βi = Cov (Ri,RM)/Var(RM)

本题是联立了这两个公式。


之所以不能像同学说的这样做，核心原因是：

本题已知Cov (Ri,RM)的数值，因此也无需把Cov (Ri,RM)拆成相关性的形式。

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NO.PZ2022122601000069 问题如下 The UniteStates-baseCME Fountion haskePauline Cortez,chief investment officer, to analyze the benefit of aing U.S. reestateequities a permanent asset class. To termine the appropriate risk premiumanexpectereturn for this new asset class, Cortez nee to termine theappropriate risk factor to apply to the internationcapitasset pricingmol (ICAPM). Selecteta from GloboStats is shown in Exhibit 1.Using the taproviin Exhibit 1 anassuming perfemarkets, the calculatebeta forU.S. reestate is closest to: A.1.08. B.0.58 C.0.38 CorreAnswer: Bβi = Cov (Ri,RM)/Var(RM)Note thcovarianis given 0.0075.FinVar(RM) using the Sharperatio = RPM/σM ansolve for σMExpectereturn -Risk-free rate = RPM7.2% - 3.1% = 4.1% (or 0.041)σM = 0.041/0.36 = 0.1139Var(RM) = (0.1139)2 =0.0130βi = 0.0075/0.0130 = 0.58 中文解析βi = Cov (Ri,RM)/Var(RM)注意，协方差为0.0075。用夏普比率= RPM/σM求Var(RM)，求解σM预期收益-无风险利率= RPM7.2% - 3.1% = 4.1%(或0.041)σm = 0.041/0.36 = 0.1139Var(RM) = (0.1139)2 = 0.0130βi = 0.0075/0.0130 = 0.58 这道题看了答案能理解但是有一个疑问这道题知道要用market的variance，但是题目说了是perfectly integrate 这种时候market sigma还是不等于integratemarket sigma吗？

2024-07-25 19:54 1 · 回答

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2023-09-01 23:00 1 · 回答