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Shawnxz · 2024年08月10日

如何这题用GK model去算出equity 然后- bond可以吗？

  1. CFA III
  2. Capital Market Expectations

NO.PZ2018091901000057

问题如下：

An Australian investor currently holds a A$240 million equity portfolio. He is considering rebalancing the portfolio based on an assessment of the risk and return prospects facing the Australian economy. Information relating to the Australian investment markets and the economy has been collected in the following table:

Using the information in the table, calculate the historical Australian equity risk premium by the “equity-vs-bonds” premium method.

选项：

A.

4.6%

B.

2.7%

C.

1.8 %

解释：

C is correct.

The historical equity risk premium is 1.8%, calculated as follows:

Historical equity returns – Historical 10-year government bond yield = Historical equity risk premium

4.6% – 2.8% = 1.8%

解析：

Historical equity returns=historical 10-year government bond yield + Historical equity risk premium，根据此等式，我们就可以反求出Historical equity risk premium= 4.6% – 2.8% = 1.8%注意到题目要求的是历史数据 ， 所以求解此题时都应该用表格第一列的数据 。

如何这题用GK model去算出equity 然后- bond可以吗？

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笛子_品职助教 · 2024年08月10日

嗨，努力学习的PZer你好：


Hello，亲爱的同学～


同学说用GK model来计算equity return，这个思路本身没有问题，绝大部分题目都可以用这个解题思路。


只是具体到这题，equity return的数值，题目已知了，因此也不需要我们去计算了。


而且由于题目已知equity return的数值，题目也就没有告诉GK model里各项参数的数值。缺少必要的条件，不能用GK计算。


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努力的时光都是限量版，加油！

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