NO.PZ2021061002000034
问题如下:
The Pricing of Risky Assets:
选项:
A.Based on the assumption that investors are
risk neutral
Discounting the expected future price of an asset requires taking into account a risk premium of λ
C.Discounting the expected future price of an asset using the risk-free rate
解释:
B is correct
对风险资产进行定价时假设投资者是厌恶风险的,而不是风险中性的。A错
投资者将一项没有中期现金流的资产的预期未来价格E(ST)进行折现的时候,需要用无风险利率r + λ(风险溢价)来进行折现。C错,B对。
讲义里说是risk free和risk premium共同影响吧,B这么说也没说完整吧