NO.PZ2018062007000071
问题如下:
For a risk-averse investor, the price of a risky asset, assuming no additional costs and benefits of holding the asset, is:
选项:
A.
unrelated to the risk-free rate.
B.
directly related to its level of risk.
C.
inversely related to its level of risk.
解释:
C is correct. An asset’s current price, S0, is determined by discounting the expected future price of the asset by r (the risk free rate) plus λ (the risk premium) over the period from 0 to T, as illustrated in the following equation:
Thus, an asset’s current price inversely relates to its level of risk via the related risk premium, λ.
A is incorrect because an asset’s current price in spot markets is calculated using the risk- free rate plus a risk premium. B is incorrect because an asset’s current price in spot markets is inversely related, not directly related, to its level of risk.
中文解析:
对风险资产定价的公式如下图,可知风险资产的价格与利率呈反向关系,选C
directly是直接相关,不是正相关啊