问一道题：NO.PZ2015121802000054 [ CFA I ]

NO.PZ2015121802000054问题如下To evaluate the performanof investment, analyst hforecastethe return of assets anmarket portfolio on fferent economic contions anthe probability.Estimation of asset:Estimation of market portfolio:Assuming the risk-free rate is 5%, the risky asset's beta is 1.2, anmarket portfolio is correctly price whiinvestment cision shoulthe analyst make?A.The analyst shoulbuy the risky asset because its expectereturn is higher thits requirereturn in equilibrium.B.The analyst shoulshort the risky asset because its expectereturn is less ththe expectereturn on the market portfolio.C.The analyst shoulshort the risky asset because its expectereturn cnot compensate for its systematic risk totally.C is correct.The estimatereturn of risky asset is 6%*(10%) + 10%*(45%) + 15%*(45%) = 11.85%. The expectereturn of market portfolio is 3%*(10%) + 12%*(45%) + 14%*(0.45) = 12%. Accorng to the CAPM, the expectereturn on the risky asset is 5% + 1.2*(12% - 5%) = 13.4%. Because the analyst's forecast return on the risky asset is less thits expectereturn rivefrom CAPM, the asset is overvalueanthe analyst shoulsell it.可以一下吗。。。。

NO.PZ2015121802000054问题如下 To evaluate the performanof investment, analyst hforecastethe return of assets anmarket portfolio on fferent economic contions anthe probability.Estimation of asset:Estimation of market portfolio:Assuming the risk-free rate is 5%, the risky asset's beta is 1.2, anmarket portfolio is correctly price whiinvestment cision shoulthe analyst make?A.The analyst shoulbuy the risky asset because its expectereturn is higher thits requirereturn in equilibrium.B.The analyst shoulshort the risky asset because its expectereturn is less ththe expectereturn on the market portfolio.C.The analyst shoulshort the risky asset because its expectereturn cnot compensate for its systematic risk totally.C is correct.The estimatereturn of risky asset is 6%*(10%) + 10%*(45%) + 15%*(45%) = 11.85%. The expectereturn of market portfolio is 3%*(10%) + 12%*(45%) + 14%*(0.45) = 12%. Accorng to the CAPM, the expectereturn on the risky asset is 5% + 1.2*(12% - 5%) = 13.4%. Because the analyst's forecast return on the risky asset is less thits expectereturn rivefrom CAPM, the asset is overvalueanthe analyst shoulsell it.C的意思明白，但是B就是我们为什么选择它的最真实原因啊

NO.PZ2015121802000054 问题如下 To evaluate the performanof investment, analyst hforecastethe return of assets anmarket portfolio on fferent economic contions anthe probability.Estimation of asset:Estimation of market portfolio:Assuming the risk-free rate is 5%, the risky asset's beta is 1.2, anmarket portfolio is correctly price whiinvestment cision shoulthe analyst make? A.The analyst shoulbuy the risky asset because its expectereturn is higher thits requirereturn in equilibrium. B.The analyst shoulshort the risky asset because its expectereturn is less ththe expectereturn on the market portfolio. C.The analyst shoulshort the risky asset because its expectereturn cnot compensate for its systematic risk totally. C is correct.The estimatereturn of risky asset is 6%*(10%) + 10%*(45%) + 15%*(45%) = 11.85%. The expectereturn of market portfolio is 3%*(10%) + 12%*(45%) + 14%*(0.45) = 12%. Accorng to the CAPM, the expectereturn on the risky asset is 5% + 1.2*(12% - 5%) = 13.4%. Because the analyst's forecast return on the risky asset is less thits expectereturn rivefrom CAPM, the asset is overvalueanthe analyst shoulsell it. 对系统性风险的补偿就是CAPM计算出来的预期收益率，那为什么C是expectereturn无法补偿系统性风险，而不是estimatereturn呢

NO.PZ2015121802000054 问题如下 To evaluate the performanof investment, analyst hforecastethe return of assets anmarket portfolio on fferent economic contions anthe probability.Estimation of asset:Estimation of market portfolio:Assuming the risk-free rate is 5%, the risky asset's beta is 1.2, anmarket portfolio is correctly price whiinvestment cision shoulthe analyst make? A.The analyst shoulbuy the risky asset because its expectereturn is higher thits requirereturn in equilibrium. B.The analyst shoulshort the risky asset because its expectereturn is less ththe expectereturn on the market portfolio. C.The analyst shoulshort the risky asset because its expectereturn cnot compensate for its systematic risk totally. C is correct.The estimatereturn of risky asset is 6%*(10%) + 10%*(45%) + 15%*(45%) = 11.85%. The expectereturn of market portfolio is 3%*(10%) + 12%*(45%) + 14%*(0.45) = 12%. Accorng to the CAPM, the expectereturn on the risky asset is 5% + 1.2*(12% - 5%) = 13.4%. Because the analyst's forecast return on the risky asset is less thits expectereturn rivefrom CAPM, the asset is overvalueanthe analyst shoulsell it. 老师，我看了别的解析，不太清楚我这样的理解是否正确11.85%是分析师估计出来的收益率，而CAPM计算的是13.4%，所以估计的收益率比合理计算的收益率低。低收益率就是因为资产的价格高于市场预期？所以实际上就是overvalue需要卖出吗？

NO.PZ2015121802000054问题如下To evaluate the performanof investment, analyst hforecastethe return of assets anmarket portfolio on fferent economic contions anthe probability.Estimation of asset:Estimation of market portfolio:Assuming the risk-free rate is 5%, the risky asset's beta is 1.2, anmarket portfolio is correctly price whiinvestment cision shoulthe analyst make?A.The analyst shoulbuy the risky asset because its expectereturn is higher thits requirereturn in equilibrium.B.The analyst shoulshort the risky asset because its expectereturn is less ththe expectereturn on the market portfolio.C.The analyst shoulshort the risky asset because its expectereturn cnot compensate for its systematic risk totally.C is correct.The estimatereturn of risky asset is 6%*(10%) + 10%*(45%) + 15%*(45%) = 11.85%. The expectereturn of market portfolio is 3%*(10%) + 12%*(45%) + 14%*(0.45) = 12%. Accorng to the CAPM, the expectereturn on the risky asset is 5% + 1.2*(12% - 5%) = 13.4%. Because the analyst's forecast return on the risky asset is less thits expectereturn rivefrom CAPM, the asset is overvalueanthe analyst shoulsell it.Accorng to the CAPM, the expectereturn on the risky asset is 5% + 1.2*(12% - 5%) = 13.4%.。这里的Rm为12%，是怎么拿到的