开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

三言午寺 · 2021年04月03日

这道题的结论和之前讲的 

  1. CFA I
  2. Derivative

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: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.

​这道题的结论和之前讲的 风险越高收益越大 都能明白，但这两个结论为什么得出相反的结论？

添加评论
1 个答案

丹丹_品职答疑助手 · 2021年04月05日

嗨，爱思考的PZer你好：


同学你好，可以这么理解对于现金流相同的两只债券，如果一个风险高，一个风险低，那么大家都会买风险低的产品，所以是负相关。

但是如果一个是国债 一个公司债券，不违约的情况下，公司债券会给投资者更多的现金流，所以投资公司债券得到的收益会高于国债。

同学可以理解为都是风险溢价，一个是体现在分子 一个体现在分母。

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

  • 1

    回答

  • 1

    关注

  • 549

    浏览
相关问题

NO.PZ2018062007000071 问题如下 For a risk-averse investor, the priof a risky asset, assuming no aitioncosts anbenefits of holng the asset, is: A.unrelateto the risk-free rate. rectly relateto its level of risk. inversely relateto its level of risk. C is correct. asset’s current price, S0, is terminescounting the expectefuture priof the asset r (the risk free rate) plus λ (the risk premium) over the periofrom 0 to T, illustratein the following equation:S0=E(ST)(1+r  +  λ)TS_0=\frac{E\left(S_T\right)}{\left(1+r\;+\;\lamb\right)^T}S0​=(1+r+λ)TE(ST​)​ Thus, asset’s current priinversely relates to its level of risk via the relaterisk premium, λ.A is incorrebecause asset’s current priin spot markets is calculateusing the risk- free rate plus a risk premium. B is incorrebecause asset’s current priin spot markets is inversely relate not rectly relate 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 A为什么不对？

2022-11-06 22:53 1 · 回答

NO.PZ2018062007000071 问题如下 For a risk-averse investor, the priof a risky asset, assuming no aitioncosts anbenefits of holng the asset, is: A.unrelateto the risk-free rate. rectly relateto its level of risk. inversely relateto its level of risk. C is correct. asset’s current price, S0, is terminescounting the expectefuture priof the asset r (the risk free rate) plus λ (the risk premium) over the periofrom 0 to T, illustratein the following equation:S0=E(ST)(1+r  +  λ)TS_0=\frac{E\left(S_T\right)}{\left(1+r\;+\;\lamb\right)^T}S0​=(1+r+λ)TE(ST​)​ Thus, asset’s current priinversely relates to its level of risk via the relaterisk premium, λ.A is incorrebecause asset’s current priin spot markets is calculateusing the risk- free rate plus a risk premium. B is incorrebecause asset’s current priin spot markets is inversely relate not rectly relate 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 这个公式在基本讲义哪里啊？

2022-09-11 09:40 1 · 回答

NO.PZ2018062007000071问题如下For a risk-averse investor, the priof a risky asset, assuming no aitioncosts anbenefits of holng the asset, is: A.unrelateto the risk-free rate.rectly relateto its level of risk.inversely relateto its level of risk. C is correct. asset’s current price, S0, is terminescounting the expectefuture priof the asset r (the risk free rate) plus λ (the risk premium) over the periofrom 0 to T, illustratein the following equation:S0=E(ST)(1+r  +  λ)TS_0=\frac{E\left(S_T\right)}{\left(1+r\;+\;\lamb\right)^T}S0​=(1+r+λ)TE(ST​)​ Thus, asset’s current priinversely relates to its level of risk via the relaterisk premium, λ.A is incorrebecause asset’s current priin spot markets is calculateusing the risk- free rate plus a risk premium. B is incorrebecause asset’s current priin spot markets is inversely relate not rectly relate 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 rectly是直接相关，不是正相关啊

2022-07-16 15:09 1 · 回答

NO.PZ2018062007000071 问题如下 For a risk-averse investor, the priof a risky asset, assuming no aitioncosts anbenefits of holng the asset, is: A.unrelateto the risk-free rate. rectly relateto its level of risk. inversely relateto its level of risk. C is correct. asset’s current price, S0, is terminescounting the expectefuture priof the asset r (the risk free rate) plus λ (the risk premium) over the periofrom 0 to T, illustratein the following equation:S0=E(ST)(1+r  +  λ)TS_0=\frac{E\left(S_T\right)}{\left(1+r\;+\;\lamb\right)^T}S0​=(1+r+λ)TE(ST​)​ Thus, asset’s current priinversely relates to its level of risk via the relaterisk premium, λ.A is incorrebecause asset’s current priin spot markets is calculateusing the risk- free rate plus a risk premium. B is incorrebecause asset’s current priin spot markets is inversely relate not rectly relate 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 如果是风险偏好者，也是和level呈负相关吗？

2022-05-27 23:15 1 · 回答