如下

问题如下：

The covariance between a risk-averse investor’s inter-temporal rate of substitution and the expected future price of a risky asset is typically:

选项：

A.

negative.

B.

zero.

C.

positive.

解释：

A is correct.

For risk-averse investors, when the expected future price of the investment is high (low), the marginal utility of future consumption relative to that of current consumption is low (high). Hence, the covariance of the inter-temporal rate of substitution with asset price is expected to be negative for risk-averse investors.

考点：Pricing a s-Period Default-Free Bond

解析：结论，风险厌恶型投资者，covariance term<0.

这里的covariance是t+1时间的债券价格与t时间Inter-temporal rate of substitution m之间的covariance。

covariance<0，意味着考虑了风险后折现得到的价格（即资产价格）低于无风险利率折现得到的价格，价格低则return高，说明asset return>risk free rate，这是一个正常的市场状况，因为未来有风险，所以要求的回报高于无风险的情况。这也是一个风险厌恶投资者可以得到的结论，因为承担风险可以获得额外的补偿。