jellyfsh_1

38题

 

感觉你是对的。相信你知道如果考试时遇到这种情况你知道会怎么做。

 

55题

 

我问过cfa insititute 同样的问题，因为在他们教材的例子中，也有混着写的情况。他们的答案也是比较模糊，基本上的意思是有很多model,你不要太较真。如果问你macroeconomic model 的intercept 是什么，你就回答camp计算的expected rate of return. 如果没问你，那你就给出一个最接近的答案吧。 因为另外的两个选项更不对。

 

[此贴子已经被作者于2010-6-3 16:24:06编辑过]

jellyfsh_1

Assume the following model is applying to an asset

 

APT

E(Ri)=Rf+b1(Rm-Rf)+b2a2+b3a3+...+bnan+e

 

Macroeconomic model

Ri=E(Ri)+b'1a'1+b'2a'2+...+b'na'n+e

 

"where E(Rp) is the expected return from APT equilibrium in the absence of any surprises (of course market premium is included as well, so using CAPM will result the same.)"

 

the absence of any surprise do not apply to the market risk premium.

In the APT model , the market risk premium = Rm- Rf

In the macro economic model, there is no market risk premium,only hava'1,a'2, which are the surpriese = actural factor figure- predicted factor figure ( which is not the Rf)

 

So if there is no surprise in any other factor, assum a'1,a'2..=zero

 

Macroecomoic model Ri=E(Ri)=Rf+b1(Rm-Rf)+b2a2+b3a3+...+bnan+e