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"Derivative"exercise:Derivative Instruments
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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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