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徐威廉 · 2021年10月23日

E(r)

NO.PZ2018091901000055

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 return that an equal-weighted investment in the three securities could provide.

选项:

A.

4.8%

B.

4.9%

C.

6.1%

解释:

B is correct.

Estimate of the expected return of an equal-weighted investment in the three securities: (3.8% + 4.8% + 6.1%)/3 = 4.9%.

解析:首先,我们先计算出每种债券各自的收益。

1-year government bond没有任何风险溢价,所以它的收益率就是3.8%

相比较于1-year government bond10-year government bond存在期限溢价,因此它的收益是:3.8%+1%=4.8%

相比较于1-year government bond10-year corporate bond存在期限溢价,信用溢价以及流动性溢价,因此它的收益是3.8% +1% + 0.75% + 0.55%=6.1%

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回报,即

(3.8% + 4.8% + 6.1%)/3 = 4.9%.

本题条件要求risk premium不超过150bp就不投啊,所以E(r)应该等于0
3 个答案

源_品职助教 · 2022年07月19日

嗨,努力学习的PZer你好:


同学你的理解是对的,

风险组合的溢价是1.1% 小于1.5%

所以不去投资。

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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 · 2021年10月25日

嗨,从没放弃的小努力你好:


题目条件我看过,这道题是依据课后题改编的。

解题方法也是原版书给的解题思路。所以答案也是确定的。

同学你是有什么具体疑问么?


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努力的时光都是限量版,加油!

源_品职助教 · 2021年10月24日

嗨,爱思考的PZer你好:



本题意思是计算一下收益,然后决定投不投(如果超过1.5%就投)。

现在计算出的 equal-weighted investment 是4.9%(这是计算出的,和投不投没有关系,是一个客观存在)

然后这个4.9%是大于1.5%的,所以理论上也应该投。

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加油吧,让我们一起遇见更好的自己!

徐威廉 · 2021年10月24日

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. 老师您能看一下原题条件吗?你确定拿计算出的Expected return=4.9%直接和spread 1.5%对比?

wangtao19910225 · 2022年07月19日

这个风险溢价是1.1% 小于1.5%吧

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