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次第花开 · 2020年06月16日

问一道题:NO.PZ2018091901000056

问题如下:

An investor is considering adding three new securities to her internationally focused fixed income portfolio. She considers the following non-callable securities:

1-year government bond

10-year government bond

10-year BBB rated corporate bond

She plans to invest equally in all three securities being analyzed or will invest in none of them at this time. She will only make the added investment provided that the expected spread/premium of the equally weighted investment is at least 1.5 percent (150bp) over the 1-year government bond. She has gathered the following information:

Using only the information given, calculate the expected total risk premium of the three securities and determine the investor’s probable course of action.

选项:

A.

invest equally in all three securities

B.

do not invest equally in all three securities

C.

uncertain

解释:

B is correct.

The average spread (over 1-year government bond) at issue is [0 + 1 + (1 + 0.75 + 0.55)] = 3.3%/3 = 1.1%.

As the 1.1% is less than 1.5%, the investor will not make the investment.

解析:1-year government bond没有任何风险溢价,所以它的SPREAD就是0

相比较于1-year government bond10-year government bondSPREAD1%

相比较于1-year government bond10-year corporate bondSPREAD1% + 0.75% + 0.55%

又因为这三类债券投资权重相等,所以直接求算数平均就可以求得投资的SPREAD,即

[0 + 1 + (1 + 0.75 + 0.55)] = 3.3%/3 = 1.1%.又因为这个SPREAD小于投资者想要的回报率1.1%,所以投资者不会去做投资。

老师,您好!题干中提到 She will only make the added investment provided that the expected spread/premium of the equally weighted investment is at least 1.5 percent (150bp) over the 1-year government bond.。这里是指需要的投资premium是超过1年期国债 150bp吧?但为何解析中这句(“又因为这个SPREAD小于投资者想要的回报率1.1%,所以投资者不会去做投资。”)说的是1.1%呢?不应该是1.5%么?

2 个答案

源_品职助教 · 2021年02月24日

嗨,努力学习的PZer你好:


同学你的理解是对的,这里应该是1.5%.谢谢你的指正。我们稍后修改下后台。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

源_品职助教 · 2020年06月17日

嗨,爱思考的PZer你好:


如果投资至少能达到1.5%就可以投资。

但是呢,现在算的实际投资只有1.1%,就没有达到1.5%,所以就不做投资。

这里面其实涉及到一个比大小的问题。


-------------------------------
努力的时光都是限量版,加油!


Emmmmmmmua · 2021年02月23日

解析:[0 + 1 + (1 + 0.75 + 0.55)] = 3.3%/3 = 1.1%.又因为这个SPREAD小于投资者想要的回报率1.1%,所以投资者不会去做投资。 这句解析里面的第二个1.1%,应该是1.5%吧

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