开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

claireyaoxu · 2024年02月17日

这种题目考试的时候公式要怎么打出来啊？

  1. CFA III
  2. Capital Market Expectations

* 问题详情，请 查看题干

NO.PZ202001210200000501

问题如下：

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：

解释：

Using the formula

we can solve for each expected industry risk premium. Te 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%


如题

添加评论
1 个答案

源_品职助教 · 2024年02月18日

嗨，爱思考的PZer你好：


公式不用打出来的，预祝同学考试顺利~

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

  • 1

    回答

  • 0

    关注

  • 172

    浏览
相关问题

题干错误 没有数字，没法计算。

2024-06-28 10:17 1 · 回答

NO.PZ202001210200000501 问题如下 Basing your answers only upon the ta presentein the table above anusing the internationcapitasset pricing mol—in particular, the Singer–Terhaapproach—estimate the expecterisk premium for the following:i. Swiss Health Care Instryii. Swiss WatInstryiii. Swiss Consumer Procts Instry Using the formula we csolve for eaexpecteinstry risk premium. Te term in brackets is the Sharpe ratio for the GIM, compute3.5/8.5 = 0.412 i. RPHealthcare = (12)(0.7)(0.412) = 3.46%ii. RPWat= (6)(0.8)(0.412) = 1.98%iii. RPConsumer Procts = (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. RPWat= (6)(0.8)(0.412) = 1.98%iii. RPConsumer Procts = (7.5)(0.8)(0.412) = 2.47% 考试的时候公式角标会不会很不好打。公式不打但是计算对，有分么？会扣分么？

2024-04-25 15:39 1 · 回答

NO.PZ202001210200000501 问题如下 Basing your answers only upon the ta presentein the table above anusing the internationcapitasset pricing mol—in particular, the Singer–Terhaapproach—estimate the expecterisk premium for the following:i. Swiss Health Care Instryii. Swiss WatInstryiii. Swiss Consumer Procts Instry Using the formula we csolve for eaexpecteinstry risk premium. Te term in brackets is the Sharpe ratio for the GIM, compute3.5/8.5 = 0.412 i. RPHealthcare = (12)(0.7)(0.412) = 3.46%ii. RPWat= (6)(0.8)(0.412) = 1.98%iii. RPConsumer Procts = (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. RPWat= (6)(0.8)(0.412) = 1.98%iii. RPConsumer Procts = (7.5)(0.8)(0.412) = 2.47% 老师请问写答案的时候需要列公式(含字母那种)吗？直接写成下面的内容会被扣分吗？the expecterisk premium for the following: i. Swiss Health Care Instry = 0.7 x 12% x (3.5%/8.5%) =3.45%ii. Swiss WatInstry = 0.8 x 6% x (3.5%/8.5%) = 1.98%iii. Swiss Consumer Procts Instry = 0.8 x 7.5% x (3.5%/8.5%) = 2.47%

2022-12-21 16:41 1 · 回答

NO.PZ202001210200000501 问题如下 Basing your answers only upon the ta presentein the table above anusing the internationcapitasset pricing mol—in particular, the Singer–Terhaapproach—estimate the expecterisk premium for the following:i. Swiss Health Care Instryii. Swiss WatInstryiii. Swiss Consumer Procts Instry Using the formula we csolve for eaexpecteinstry risk premium. Te term in brackets is the Sharpe ratio for the GIM, compute3.5/8.5 = 0.412 i. RPHealthcare = (12)(0.7)(0.412) = 3.46%ii. RPWat= (6)(0.8)(0.412) = 1.98%iii. RPConsumer Procts = (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. RPWat= (6)(0.8)(0.412) = 1.98%iii. RPConsumer Procts = (7.5)(0.8)(0.412) = 2.47% 这道题的Sharpe ratio =3.5/8.5 =0.4118，我在计算过程中保留两位小数，取值0.41，最终算出来第一个premium是0.12*0.7*0.41=3.44%，但是答案中算Sharpe ratio时保留了三位小数也就是0.412，算出来第一个premium是0.12*0.7*0.412=3.46%。由于现在考试已经取消了计算编辑器，在看不到计算过程的情况下，计算中间值保留的小数位数直接决定了最终答案的对错。请问一般应该保留几位小数合适？

2022-12-09 22:43 1 · 回答