Drink H · 2020年04月15日

问一道题：NO.PZ2020021002000110 [ FRM I ]

1. FRM I
2. Foundations Of Risk Management

问题如下：

Assume the riskless interest rate is r = 5% and the market portfolio is characterized by an expected return of E(R_M) = 13% and a standard deviation of return of σ_M = 15%. The expected return on a zero-beta security is 7%. Is the market in equilibrium?

解释：

E(R_i) = r + [E(R_M) - r] β_i

β_i= 0 means that in equilibrium E(R_i) = r = 5%

The market is not in equilibrium.

讲义中，capm假设市场均衡的条件是所有投资人持有的组合是无风险资产和市场组合都一致的。这样理解对不对？这是问题1。问题2是:这道题如果beta不为0，什么情况下才是市场均衡？