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shero · 2025年07月09日

公式符号太难敲,不写公式行吗,就像我写的这个答案

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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(RPGMGM),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%


公式符号太难敲,不写公式行吗,就像我写的这个答案

1 个答案

源_品职助教 · 2025年07月09日

嗨,爱思考的PZer你好:


可以的,公式不是必须的。但要保证答案算对,要不然可能就完全没分了。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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