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西瓜霜急需定位 · 2025年04月29日

B和C的区别是什么

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.

B和C的区别是什么

1 个答案

Kiko_品职助教 · 2025年04月30日

嗨,爱思考的PZer你好:


区别主要是在后半部分的原因描述上。

B选项有两个错误:一是risky asset expected return=13.4%, market portfolio expected return=12%,是more than;二是这两个值比大小不能决定是short/long risky asset。应该用11.85%和13.4%对比。

C选项,收益率没有完全补偿系统性风险,也就是收益率太低。符合题目描述。

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