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三言午寺 · 2021年04月03日

这道题的结论和之前讲的 

  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.

​这道题的结论和之前讲的 风险越高收益越大 都能明白，但这两个结论为什么得出相反的结论？

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1 个答案

丹丹_品职答疑助手 · 2021年04月05日

嗨，爱思考的PZer你好：


同学你好，可以这么理解对于现金流相同的两只债券，如果一个风险高，一个风险低，那么大家都会买风险低的产品，所以是负相关。

但是如果一个是国债 一个公司债券，不违约的情况下，公司债券会给投资者更多的现金流，所以投资公司债券得到的收益会高于国债。

同学可以理解为都是风险溢价，一个是体现在分子 一个体现在分母。

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