"Derivative"exercise:Derivative Instruments

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來源: 正保會計網(wǎng)校編輯：小鞠橘桔 2020/10/20 09:45:31　字體：大小

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Questions 1:

In efficient financial markets, risk-free arbitrage opportunities:

A 、will not exist.

B 、may persist in the long run.

C 、may exist temporarily

Questions 2:

Compared with traditional investments, over longer periods, alternative investments are least likely to have:

A、 better diversifying power.

B、 higher expected returns.

C、 more efficiently priced assets.

View answer resolution

【Answer to question 1】C

【analysis】

C is correct. In efficient financial markets, risk-free arbitrage opportunities may exist temporarily, but their continuous exploitation will eliminate these arbitrage opportunities in the long run.

A is incorrect. Financial markets being efficient does not mean that risk-free arbitrage opportunities cannot exist.

B is incorrect. In efficient financial markets, any risk-free arbitrage opportunities will exist only temporarily because their continuous exploitation will result in these arbitrage opportunities being eliminated in the long run.

【Answer to question 2】C

【analysis】

C is correct. Alternative investment strategies are more likely to include securities that trade in less liquid markets than securities that trade in relatively more liquid markets in which traditional, long-only investments trade.

A is incorrect because alternative investments generally have low return correlations with traditional asset markets, providing better diversification benefits.

B is incorrect because alternative investments are expected to produce higher returns (particularly on a risk-adjusted basis) than traditional markets, in part because they focus on less efficient markets

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