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慧ying🌟🍀🍀 · 2020年02月27日

问一道题:NO.PZ2020012201000004 [ CFA III ]

问题如下:

Noah Sota uses the CAPM to set CME. He estimates that one asset class has a beta of 0.8 in economic expansions and 1.2 in recessions. The expected return on the market is 12% in an expansion and 4% in a recession. The Rf is constant at 2%. Expansion and recession are equally likely.

Calculate the unconditional expected return and the conditional expectedreturns on the asset are

选项:

A.

The conditional expected returns on the asset are 10% in an expansion,and 4.4% in a recession.

B.

The conditional expected returns on the asset are 10% in an recession,and 4.4% in a expansion.

C.

The unconditional expected return is 9.2%

解释:

A is correct

The conditional expected returns on the asset are 10% = 2% + 0.8 × (12% – 2%) in an expansion and 4.4% = 2% + 1.2 × (4% – 2%) in a recession.所以A正确,B不正确。

The unconditional expected return is 7.2% = [(0.5 × 10%) + (0.5 × 4.4%)].所以C选项不正确。

C 为什么不用加回Rf呢
1 个答案

源_品职助教 · 2020年02月27日

嗨,努力学习的PZer你好:


expected return 的计算中就已经包含RF了。

所以对不同时期expected return加权的时候,就不用再加一次RF了,否则就重复计算了。


-------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!


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