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七七 · 2024年07月22日

continuously compounded long-term equity returns计算

NO.PZ2020012201000007

问题如下:

Alena,CFA, was updating her firm’s projections for US equity returns.If she believed that in the long run that the US labor input would grow by 0.9% perannum and labor productivity by 1.5%, that inflation would be 2.1%, that the dividend yield would be 2.25%, and that there would be no further growth in P/E, what is likely to have been her baseline projection for continuously compounded long-term US equity returns?

选项:

A.

6.75%

B.

5.5%

C.

5.85%

解释:

A is correct

解释:

在长期,一国股票市场的CAPITAL APPRECIATION的增长率等于该国GDP的增长率(本题P/E增长率为0也证实了这一点)。那么本题CAPITAL APPRECIATION就等于计算该国GDP的增长率。此后再加上股息增长率就可以得到股权市场的增长率。

Her baseline projection is likely to have been 6.75% = 0.9% + 1.5% + 2.1% + 2.25%

依照公式可得:. 6.75% = 0.9% + 1.5% + 2.1% + 2.25%

请问这里continuously compounded long-term US equity returns中的continuously compounded体现在哪里?和直接问long-term US equity returns的求解思路有没有差别?

2 个答案
已采纳答案

源_品职助教 · 2024年07月24日

嗨,努力学习的PZer你好:



比如题目说年初投资资产价格是1,问年末资产价值是多少

那就是要用1*e^6.75去计算年末的资产价值

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源_品职助教 · 2024年07月22日

嗨,从没放弃的小努力你好:



在本题中,并没有体现出来。这里的continuously compounded,其实是指代如果按6.75%的增长率进行计算的时候,要用e^6.75%去计算而已(题目本身并不体现这一点)。

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