12694 × 14148 14661 × 16836 14148
∴ i = 10.99% (2) 对于投资者A, B0 = 0
B1 = C1 = 1000 B2 = B1 × 12694 11710
+ C2 = 3084.03 B3 = B2 × 14661 12694
+ C3 = 6561.92 B4 = B3 × 14148 14661
+ C4 = 10332.31 B5 = B4 × 16836 14148
+ C5 = 17295.36
C1(1 + r)4 + C2(1 + r)3 + C3(1 + r)2 + C4(1 + r) + C5 = 17295.36 解得：r ≈ 10.60%
北京大学数学科学学院金融数学系第13 页 版权所有，翻版必究 对于投资者B, B0 = 0
B1 = C1 = 3000 B2 = B1 × 12694 11710
+ C2 = 6252.09 B3 = B2 × 14661 12694
+ C3 = 10220.89 B4 = B3 × 14148 14661
+ C4 = 12863.25 B5 = B4 × 16836 14148
+ C5 = 18307.16
C1(1 + r)4 + C2(1 + r)3 + C3(1 + r)2 + C4(1 + r) + C5 = 18307.16 解得：r ≈ 9.98% 对于投资者C, B0 = 0
B1 = C1 = 5000 B2 = B1 × 12694
11710
+ C2 = 9420.15 B3 = B2 × 14661 12694
+ C3 = 13879.86 B4 = B3 × 14148 14661
+ C4 = 15394.19 B5 = B4 × 16836 14148
+ C5 = 19318.96
C1(1 + r)4 + C2(1 + r)3 + C3(1 + r)2 + C4(1 + r) + C5 = 19318.96 解得：r ≈ 9.68%
北京大学数学科学学院金融数学系第14 页
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