NO.PZ2022122801000018
问题如下:
Exhibit 1 shows the
expected return and standard deviation of returns for three strategic asset
allocations that apply to several of Monteo’s clients.
Exhibit 1 Strategic Asset
Allocation Alternatives
Monteo
interviews client Mary Perkins and develops a detailed assessment of her risk
preference and capacity for risk, which is needed to apply MVO to asset
allocation. Monteo estimates the risk aversion coefficient (λ) for Perkins to
be 8 and uses the following utility function to determine a preferred asset
allocation for Perkins: (原版书)
Um =E
(Rm) - 0.005λσm2
Based on Exhibit 1 and the risk aversion coefficient, the preferred asset allocation for Perkins is:
选项:
A.Asset Allocation A.
Asset Allocation B.
Asset Allocation C.
解释:
C is correct. The risk aversion coefficient (λ) for Mary Perkins is 8. The utility of each asset allocation is calculated as follows:
Asset Allocation A: UA = 10.0% – 0.005(8)(12%)2 = 4.24%
Asset Allocation B: UB = 8.0% – 0.005(8)(8%)2 = 5.44%
Asset Allocation C: UC = 6.0% – 0.005(8)(2%)2 = 5.84%
Therefore, the preferred strategic allocation is Asset Allocation C, which generates the highest utility given Perkins’s level of risk aversion.
C算出来不是5.96??不是选不对,不针对道题,而是总对计算精度摸不准,标准答案有时候是粗略保留小数以后再计算的,保留多位数精确算出来反而和答案不一致,这种情况考试主观题怎么办?