NO.PZ2018091901000056
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 total risk premium of the three securities and determine the investor’s probable course of action.
选项：
A.invest equally in all three securities
do not invest equally in all three securities
uncertain
解释：
B is correct.
The average spread (over 1-year government bond) at issue is [0 + 1 + (1 + 0.75 + 0.55)] = 3.3%/3 = 1.1%.
As the 1.1% is less than 1.5%, the investor will not make the investment.
解析：1-year government bond没有任何风险溢价，所以它的SPREAD就是0。
相比较于1-year government bond，10-year government bond的SPREAD是1%。
相比较于1-year government bond，10-year corporate bond的SPREAD是1% + 0.75% + 0.55%。
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SPREAD，即
[0 + 1 + (1 + 0.75 + 0.55)] = 3.3%/3 = 1.1%.又因为这个SPREAD小于投资者想要的回报率1.5%，所以投资者不会去做投资。
题目中说---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.----- 在实际中，难道不是要求spread越小越好吗？
