NO.PZ2023041003000005
问题如下：
Jacob wants to
understand more about the carry arbitrage approach to valuation and, as part of
the discussion, Fourie describes the two fundamental rules for the arbitrageur:
Rule 1 The
arbitrageur never uses her own money to purchase the underlying security and
always invests any proceeds from short selling transactions at the risk-free
rate.
Rule 2 The
arbitrageur does not take any market price risk on the total trade, but individual
components of the trade may involve price risk.
Are Fourie’s
comments regarding fundamental rules for arbitrageurs most likely correct?
选项：
A.No, Rule 1 is incorrect
Yes
No, Rule 2 is incorrect
解释：
Fourie’s
fundamental rules for arbitrageurs are correct. The two fundamental rules of
the arbitrageur are (a) do not use your own money and (b) do not take any price
risk. The arbitrageur does not spend proceeds from short selling transactions
but invests them at the risk-free rate. The arbitrageur does not take market
price risk, even though each step of the transaction may individually involve
price risk. Because the steps are undertaken simultaneously, however, the price
risk is offset.
A is incorrect.
The arbitrageur does not use their own money. Also, they do not spend proceeds
from short selling transactions but invests them at the risk-rate.
C is incorrect.
The arbitrageur does not take market price risk but component transactions may
individually involve price risk.
第一个说法的后半句：always invests any proceeds from short selling transactions at the risk-free rate. 未必是正确的吧？例如一个资产在两个市场价格不等，卖空高价资产后，可以买入低价资产进行套利，而不是去投资一个无风险收益率的资产啊。 麻烦老师解释一下，谢谢！
