问题已解决
請寫出紅色字體的具體計算過程,謝謝
FAILED
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主要利用CAPM模型計算:
Ra=Rf+βa(Rm-Rf)
βa=ρa*σa/σM
0.22=Rf+1.3*(Rm-Rf)
0.16=Rf+0.9*(Rm-Rf)
解出Rm=0.175, Rf=0.025
自關(guān)聯(lián)系數(shù)ρm=1,市場組合的βm=1
1.3=0.65*σa/σM=0.65*0.1/σa,σa=0.20
同樣求得其他三個紅字,ρb=0.6,σc=0.95,βc=1.9
2020 10/05 21:22
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2020 10/06 08:15
無風(fēng)險組合和市場組合那一條的紅字答案可以解釋下原因嗎
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2020 10/06 08:24
自關(guān)聯(lián)系數(shù)ρm=1,市場組合的βm=1這是定義。無風(fēng)險跟所有風(fēng)險資產(chǎn)的關(guān)聯(lián)為零,標準差為零,都是定義。
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2020 10/06 08:25
那市場組合的期望報酬率怎么算?
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2020 10/06 08:25
不是要乘以相應(yīng)概率?
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2020 10/06 08:29
市場組合的期望報酬率怎么算
0.22=Rf+1.3*(Rm-Rf)
0.16=Rf+0.9*(Rm-Rf)
解出Rm=0.175,如果 Rf=0.025
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