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rikkisong72 · 2023年11月23日

这道题为什么一定要用文字中的0.39计算？

  1. CFA III
  2. Capital Market Expectations

* 问题详情，请 查看题干

NO.PZ202206070100000203

问题如下：

Using the data provided in Exhibit 1 and Grey’s recommended approach and assumed correlation, the expected return for US real estate is closest to:

选项：

A.6.9%. B.4.3%. C.6.3%.

解释：

C is correct. Grey recommends the Singer–Terhaar approach and a correlation of 0.39 between real estate and the market. Use these steps to solve for the expected return:

Fully integrated risk premium: R P i G = β i,GM R P GM = ρ i,GM σ i R P GM σ GM

  • Step 1 Fully integrated risk premium (14.0% × 0.39 × 0.36) = 1.97%
  • Fully segmented risk premium (14.0% × 0.36) = 5.04%
  • Step 2 Fully integrated and segmented risk premium, considering the degree of integration (1.97% × 0.6) + (5.04% × 0.4) = 3.20%
  • Step 3 Expected return estimate:
  • Fully integrated and segmented risk premium + Risk-free rate 3.20% + 3.1% = 6.3%

A is incorrect. The mistake is in reversing the weights for integrated and segmented.

B is incorrect. In step one, it uses the covariance 0.0075 instead of the Sharpe ratio

本题考查的ST模型：

C是正确的。格雷建议采用Singer-Terhaar方法，房地产和市场之间的相关性为0.39。使用以下步骤来求解预期收益:

完全整合风险溢价: R P i ,G = β i,GM R P GM = ρ i,GM σ i (R P GM/ σ GM)

完全分割风险溢价: R P i ,S =1×R P i, S =1× σ i( R P i S /σ i)


B是不正确的。在第一步中，它错误地使用0.0075的协方差代替夏普比率。A是不正确的。它错误在于颠倒了权重。

前面一小题其实已经可以通过条件求得beta，beta直接乘以市场的风险溢价，可以直接得出房地产市场的风险溢价

这里文中又提到了相关系数为0.39,那岂不是代表前一小题出题并不严谨吗？

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1 个答案

笛子_品职助教 · 2023年11月25日

嗨，从没放弃的小努力你好：


前面一小题其实已经可以通过条件求得beta，beta直接乘以市场的风险溢价，可以直接得出房地产市场的风险溢价

这里文中又提到了相关系数为0.39,那岂不是代表前一小题出题并不严谨吗？


Hello，亲爱的同学~

根据下面红框里的RP公式



我们可以用beta直接乘以市场的风险溢价，也可以用相关系数来计算。

至于用哪个公式，取决于题目已知条件是什么。


由于本题的已知条件是：相关系数、波动率、夏普。并未已知Beta等数据。


因此，针对本题的已知条件，用相关系数的公式。比用Beta的公式更方便。


在我们品职题库这里，是拆成了一道一道独立的小题。

一般来说，只使用本小题内的已知条件。


同学说上一道题已经计算出了Beta，要把上一道题计算出的数据，用于解本题。

如果上一道题与本题，是同一个大题，共用所有已知条件，那么这么做也是可以的。

如果不共用，则两题独立。上一道题的数据，不能代入本题来解。


同学不妨把上一道题也发一下，老师确认一下，这两道题的已知条件是否是共用的。


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努力的时光都是限量版，加油！

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