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秋樣 · 2024年01月10日

CME - 房地产

  1. CFA III
  2. Capital Market Expectations

NO.PZ2022122601000036

问题如下：

Lastly, Perumal focuses on forecasting the expected returns of investing in direct real estate. He analyzes the previous ten years of multifamily residential real estate returns data. He is skeptical that the volatility of the observed returns reflects smoothing. Perumal uses a publicly traded REIT index to unsmooth the return stream and appropriately reflect the risk (as measured by standard deviation) of investing in multifamily residential real estate (the variance of the REIT index for the measurement period is 16; λ equals 0.8).

Perumal’s unsmoothed standard deviation for multifamily properties for the investment period is closest to:

选项：

A.12 B.18 C.24

解释：

Correct Answer: A

Var(r)={(1+λ)/(1-λ)}*var(R)

Var(r)={(1+0.80/(1-0.8)}*16=144

Standard deviation=12

中文解析：

Var (r) ={(1 +λ)/(1 -λ)}* Var(右)

Var (r) = {(1 + 0.80 / (1 - 0.8)} * 16 = 144

标准差= 12

老师好，这个知识点是Forecasting Real Estate Returns里的哪个视频里的？

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已采纳答案

笛子_品职助教 · 2024年01月11日

嗨，努力学习的PZer你好：


Hello，亲爱的同学~

视频位置如下图：


同学找到视频听一下哦~

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

Xiaochong · 2024年07月12日

Hello, looks like many people asked about this question, is this a very important/( basic and must know) knowledge?

笛子_品职助教 · 2024年07月12日

嗨，努力学习的PZer你好：


Hello, looks like many people asked about this question, is this a very important/( basic and must know) knowledge?

Hello ,dear classmate~

Yes,you are right.

It is a very important knowledge(basic and must know).

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加油吧，让我们一起遇见更好的自己！

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NO.PZ2022122601000036 问题如下 Lastly, Perumfocuses on forecasting the expectereturns ofinvesting in rereestate. He analyzes the previous ten years ofmultifamily resintireestate returns tHe is skepticththevolatility of the observereturns reflects smoothing. Perumuses a publiclytraREIT inx to unsmooth the return streanappropriately refletherisk (measurestanrviation) of investing in multifamilyresintireestate (the varianof the REIT inx for the measurementperiois 16; λ equals 0.8).Perumal’sunsmoothestanrviation for multifamily properties for the investment perios closest to: A.12 B.18 C.24 CorreAnswer: A Var(r)={(1+λ)/(1-λ)}*var(R)Var(r)={(1+0.80/(1-0.8)}*16=144Stanreviation=12 中文解析V(r) ={(1 +λ)/(1 -λ)}* Var(右)V(r) = {(1 + 0.80 / (1 - 0.8)} * 16 = 144标准差= 12 这样smooth 后的风险才被低估了？这么思考有什么问题？

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