关于债券的问题,高手的进

2024-11-09 03:42:06
推荐回答(1个)
回答1:

1.C
还有四年,债券P=10/(1.12)+10/(1.12^2)+10/(1.12^3)+110/(1.12^4)=93.922,则当期收益率=C/P=10/93.922=0.10647。^表示乘方,下同。
2.B
票面利率等于贴现率,则发行价格(合理价格)等于面值,即面值为1000元,因为是半年付息一次,则每次付息50元,半年贴现率为5%,则久期D=[(50/1.05)*0.5+(50/1.05^2)*1+(50/1.05^3)*1.5+(1050/1.05^4)*2]/1000=1.8616。*表示乘号,下同。
3.A
设D0=0.75,D1=0.75*1.25=0.9375,D2=0.75*1.25^2=1.1719,同理得,D3=1.4648,D4=1.8311,D5=2.2889,D6=D5*1.05=2.403,则由不定增长模型得,P=D1/1.22+D2/1.22^2+D3/1.22^3+D4/1.22^4+D5/1.22^5+(D6/(0.22-0.05))/1.22^5=9.266048。其中P5=D6/(0.22-0.05)是固定增长模型,算出第五年股票的内在价值。
4.C
考虑国债为无风险资产,其收益率为5%,标准差为0。
则组合的期望收益率=0.5*0.05+0.5*0.15=0.1,
用Xi表示组合i的比例,Di表示组合i的方差,C为1和2的相关系数,
则组合方差=X1^2*D1^2+X2^2*D2^2+2*X1*X2*D1*D2*C,因为D2=0,所以组合方差=X1^2*D1^2=0.01,则标准差为方差的根号=0.1。

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