ROM = 20.0% +1.0(FGDP) + 1.4(FQS) + εOMRGAR = 15.0% +0.5(FGDP) + 0.8 (FQS) + εGAR
20.96%.
18.0%.
19.96%.
Since the expected factor suprises and expected errors are all 0 by definition, the macroeconomic factor model for the portfolio is:RP = [(0.6)(20.0%) + (0.4)(15.0%)]+ [(0.6)(−1.0) + (0.4)(−0.5)] (0)+ [(0.6)(1.4) + (0.4)(0.8)] (0)+ [(0.6) εOM + (0.4)εGAR]= 18.0% −0.80(0) + 1.16(0) + (0.6)(0) + (0.4)(0)
微信号：gaoduntiku
合作账户登录：
账户名：
密码：
关注官方微信
微信号:gaoduneclass
高顿网校
售前咨询(9:00-21:00)
400-168-8811
在线客服点击咨询
售后咨询(9:00-21:00)
021-31068088
fankui@gaodun.com
微信扫一扫实时资讯全掌握
Copyright © 2006- 高顿网校, All Rights Reserved.
