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dada · 2022年02月02日

price和value

NO.PZ2019103001000003

问题如下:

Cécile Perreaux is a junior analyst for an international wealth management firm. Her supervisor, Margit Daasvand, asks Perreaux to evaluate three fixed-income funds as part of the firm’s global fixed-income offerings. Selected financial data for the funds Aschel, Permot, and Rosaiso are presented in Exhibit 1. In Perreaux’s initial review, she assumes that there is no reinvestment income and that the yield curve remains unchanged.

The levered portfolio return for Aschel is closest to:

选项:

A.

7.25%

B.

7.71%

C.

8.96%

解释:

B is correct.

The return for Aschel is 7.71%, calculated as follows.

rp = [ri × (VE+VB)- VB × rB] / VE = ri + VB/VE × (ri - rB)

=6.20% + 42/94.33 × (6.2% - 2.8%)

麻烦通过此题,解释一下current average bong price和下面value of portfolio‘s equity,偏实务的角度,谢谢

1 个答案

pzqa015 · 2022年02月03日

嗨,爱思考的PZer你好:


current average bond price是portfolio中单个债券的平均价格。

value of portfolio's equity是指portfolio中用自有资金买入的债券的市值,对应value of borrowed funds是portfolio中用借到的钱买入的债券市值。

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