xuewen
2022-08-26 16:37152題，題目說the risk-free rate is lower than the risk premium 啊，這不是還有risk premium嗎？
所屬：CFA Level I > Derivatives 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
Evian, CFA助教
2022-08-26 17:38
該回答已被題主采納
ヾ(?°?°?)??你好同學(xué)，
題目中剛出現(xiàn)了“hedged portfolio”
A perfectly hedged position指的是：現(xiàn)有的投資狀態(tài)將所有的風(fēng)險(xiǎn)對沖掉，沒有波動(dòng)和風(fēng)險(xiǎn)，可以獲得無風(fēng)險(xiǎn)收益率。也就是這個(gè)題的含義。
(原版書定義)Derivatives usually take their values from the underlying by constructing a hypothetical combination of the derivatives and the underlyings that eliminates risk. This combination is typically called a hedge portfolio.A derivative’s value is the price of the derivative that forces the hedge portfolio to earn the risk-free rate.
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