NO.PZ2022122801000023
问题如下：
Sandeep Sarzi is an
investment advisor who has institutional and high net worth clients. Sarzi
meets with a potential new client, Jerry Robson, to assess his capacity for
risk. Sarzi estimates the risk aversion coefficient for Robson to be 5 on a
scale of 1 to 10, where 10 represents the highest risk aversion. Sarzi provides
expected returns and standard deviations of returns for two possible portfolios
for Robson in Exhibit 1.
Exhibit 1 Portfolio Expected Returns and Standard Deviations
A. Determine which portfolio Sarzi should recommend to Robson based solely on expected utility. Justify your response.
选项：
解释：
Based solely on expected utility, Sarzi should recommend Portfolio B since it results in higher expected utility. The expected utility for each portfolio is calculated as follows:
Um =E (Rm ) - 0.005λσm2
Where Um = the investor’s expected utility for asset mix (allocation) m
Rm = return for asset mix (allocation) m
λ = the investor’s risk aversion coefficient
𝜎𝑚2 = the expected variance of return for asset mix (allocation m)
The expected utility of Portfolio A is: UA = 8% – 0.005 (5) (14%)2 = 3.1%
The expected utility of Portfolio B is: UB = 6% – 0.005 (5) (10%)2 = 3.5%
我按照这个公式输入：8%-0.005x5x(14%)^2，算出来是0.07951。0.005*5*0.0196=0.00049。
只有按照8-0.005*5*14^2=3.1
就有点懵，有的时候好像算出来就是对的，但这道题就是不对的了。
