Phyllis2019-11-06 16:38:33

（是金程邮寄的习题集的问题 ）24题。projecting a return:21%. market risk premiun is 11%, volatility:14%, rf: 4.5%, beta:1.5. 问是否高估低估。用CAPM算出是21%，和projecting a return是一致的，但是答案给的是：expecred return on the market is market risk primium Rf=11% 4.5%=15.5% 所以是这个protfolio的expected return 高于expected return of the market portfolio. 请问是说：市场的期待收益是rf market risk premium, 组合的收益再另算再比较吗？所以 projecting a return 就是多余项吗？