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ruby5ltc · 2022年05月27日

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  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.

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


如果是风险偏好者，也是和level呈负相关吗？

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1 个答案

Lucky_品职助教 · 2022年05月28日

嗨，努力学习的PZer你好：


风险偏好者是正相关

我们学的资产定价，前提假设都有投资者是风险厌恶的这一条

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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