题目
In a single-factor economy, each of the following portfolios (A, B, and C) is well- diversified: 「huixue_img/importSubject/1564170579806916608.png」 Youdiscover there is NOT an arbitrage strategy among these three portfolios. Inthis case, what should be the expected return of Portfolio (C)?
选项
A.13.3%
B.16.3%
C.18.5%
D.21.0%
答案
D
解析
All three portfolios must lie on the same SML such that Portfolio C's Treynor ratio must be the same as the others.Treynor(Portfolio A) = (12.0%-3.0%)/0.60 = 0.15 Tryenor(Portfolio B) = (15.0%-3.0%)/0.80 = 0.15Treynor(Portfolio C) = (R - 3.0%)/1.20 = 0.15 We can get R = 21%, which means the return must be 21.0%. 所有三个投资组合必须位于同一SML上，以使投资组合C的特雷诺比率与其他投资组合相同。 Treynor(Portfolio A) = (12.0% - 3.0%)/0.60 = 0.15 Tryenor(Portfolio B) = (15.0% - 3.0%)/0.80 = 0.15 Treynor(Portfolio C) = (R - 3.0%)/1.20 = 0.15 可以算出R = 21%, 也就是C的预期收益率是21.0%.