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毛线 · 2020年03月17日

问一道题：NO.PZ2018062007000102

  1. CFA I
  2. Derivative

问题如下：

Which of the following factors does not affect the spot price of an asset that has no interim costs or benefits?

选项：

A.

The time value of money

B.

The risk aversion of investors

C.

The price recently paid by other investors

解释：

C is correct. The price recently paid by other investors is past information and does not affect the spot price. The time value of money and the risk aversion of investors determine the discount rate. Only current information is relevant as investors look ahead, not back.

老师，题目不是没没影响吗?B不是没影响吗?

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1 个答案

xiaowan_品职助教 · 2020年03月18日

嗨，努力学习的PZer你好：


同学你好，这里要区分一下spot price和derivative price，这道题中的问题是spot price，也就是现货价格，它是会受到投资者风险偏好影响的，

可以参考课件中给风险资产定价的内容，另外说一下，衍生品的价格是通过无套利的方式定出来的，所以不受影响。

 

 


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