The framework proposed allows for the decomposition and explanation of the strong historical performance of covered call strategies, which has been documented in several other articles. Formulas for the expected return and risk (semi-standard deviation) of the covered call strategy are derived and ...
•Focus is on variation in aggregate information and equilibrium expected return/risk.-重点关注总体信息和均衡预期收益/风险的变化。 2. Overview of the Model 1)Set up •Mean-Variance continuum of investors. 投资者的均值-方差连续体。 •N risky independent assets and risk-free asset (r). -...
The trade-off between expected return and risk among corn belt farmers », American Journal of Agricultural Economics, 60 : 259-263.Brink, Lara and B.A. McCarl, "The Tradeoff between Expected Return and Risk among Cornbelt Farmers," American Journal of Agricultural Economics, 1978, 60 (2)...
Our study analyses if the quantity of information about an asset determines its return. More precisely, we want to know if there is a systematic source of information related risk that makes assets which are highly sensitive to this risk factor present higher mean returns. Our results indicate ...
rf= therisk-free rate of return; β = the investment'sbeta; and rm=the expected market return The expected return above the risk-free rate of return depends on the investment's beta, or relative volatility compared to the broader market. The expected return andstandard deviationare two stati...
expect+that+宾语从句，中文意思是“认为/期待……”。例如：1、I expect that children can be more diligent and think in their study now.我认为现在孩子们能在学习中多一份勤奋和多一份思考。2、I have been expecting that my class football team to win the championship in this school ...
经济学2018真题Q2 B问是问GK model两个因子改变对risk premium的影响,我对这道题的问法不太明白,GK model计算出来的是expected return,并且也没有像CAPM一样可以分解计算出risk premium,这道题问risk premium的影响,只是单纯的考虑了expected return减去risk free rate就当成risk premium了是么?
题目 假设下一年expected market return(市场期望收益率)为11%,同时risk-free rate(无风险收益率)为6%。如果微软的β为1.18,下一年的expected return(期望收益率)是多少? A.5.9%B.我不确定C.18.98%D.11.9% 相关知识点: 试题来源: 解析 D 反馈 收藏 ...
___ a relationship between expected return and risk.A.APT stipulatesB.CAPM stipulatesC.Both CAPM and APT stipulateD.Neither CAPM nor APT stipulateE.No pricing model has been found.的答案是什么.用刷刷题APP,拍照搜索答疑.刷刷题(shuashuati.com)是专业的
The Time-Series Relations among Expected Return, Risk, and Book-to-Market (Digest Summary) Stock returns tend to be positively associated with a company's ratio of book equity to market equity (B/M). Two explanations are that B/M proxies for a ri... SMH Cfa 被引量: 8发表: 2006年 ...