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Aimee · 2024年06月18日

可以解释一下AB两个选项为什么错误吗

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.

可以解释一下吗。。。。

1 个答案

Kiko_品职助教 · 2024年06月18日

嗨,爱思考的PZer你好:


A错在buy,应该是short

B这个选项错在因果,我们判断long/short不是拿portfolio的预测收益与market portfolio比,而是与它的合理收益率比。

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