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Brownie · 2020年09月13日

问一道题：NO.PZ202001210200000501 第1小题 [ CFA III ]

  1. CFA III
  2. Capital Market Expectations

* 问题详情，请 查看题干

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

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(RPGM/σGM)，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%


请问这个知识点在餐哪
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1 个答案

源_品职助教 · 2020年09月13日

嗨，努力学习的PZer你好：


基础班讲义P150起的的ST方法，具体是在P151页。


-------------------------------
加油吧，让我们一起遇见更好的自己！


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