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毛线 · 2020年03月17日

问一道题：NO.PZ2018062007000071

  1. CFA I
  2. Derivative

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:S0=E(ST)(1+r  +  λ)TS_0=\frac{E\left(S_T\right)}{\left(1+r\;+\;\lambda\right)^T}
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.

老师不是用无风险利率定价吗？

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xiaowan_品职助教 · 2020年03月18日

嗨，从没放弃的小努力你好：


同学你好，这道题说的是risky asste，也就是现货资产定价，不是衍生品定价，这里要区分一下哈。


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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！


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