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15288973619 · 2023年07月26日

C

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.

B.

Asset Allocation B.

C.

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?

1 个答案

lynn_品职助教 · 2023年07月27日

嗨,爱思考的PZer你好:


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?


这个同学考虑的是有道理的!我考试的时候也很苦恼!


当时也问了很多老师和同学,就我总结的经验来看,考题会非常仔细地说明要保留几位小数,除此之外我自己还总结了一点,就是在前面的计算步骤中要多留几位小数,我的计算器都是选择保留6位小数的,这样自己可以方便地选择怎么四舍五入(位数再多屏幕就显示不了啦)


同学也可以多做做题在我的基础上再补充一点自己的心得哈,希望你也一次通过!

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NO.PZ2022122801000018 问题如下 Exhibit 1 shows theexpectereturn anstanrviation of returns for three strategic assetallocations thapply to severof Monteo’s clients.Exhibit 1 Strategic AssetAllocation AlternativesMonteointerviews client Mary Perkins anvelops a taileassessment of her riskpreferenancapacity for risk, whiis neeto apply MVO to assetallocation. Monteo estimates the risk aversion coefficient (λ) for Perkins to8 anuses the following utility function to termine a preferreassetallocation for Perkins: (原版书)Um =E(Rm) - 0.005λσm2Baseon Exhibit 1anthe risk aversion coefficient, the preferreasset allocation for Perkinsis: A.Asset Allocation B.Asset Allocation C.Asset Allocation C is correct. The risk aversion coefficient (λ) for Mary Perkins is 8. The utility of eaasset allocation is calculatefollows:Asset Allocation U= 10.0% – 0.005(8)(12%)2 = 4.24%Asset Allocation UB = 8.0% – 0.005(8)(8%)2 = 5.44%Asset Allocation U= 6.0% – 0.005(8)(2%)2 = 5.84%Therefore, the preferrestrategic allocation is Asset Allocation whigenerates the highest utility given Perkins’s level of risk aversion. 计算出的结果和答案不一样,不知道哪里错了,用搜狗输入法V功能计算的。10%-0.005*8*12%^2=0.0994248%-0.005*8*8%^2=0.0797446%-0.005*8*2%^2=0.059984

2024-06-14 06:54 1 · 回答

NO.PZ2022122801000018 问题如下 Exhibit 1 shows theexpectereturn anstanrviation of returns for three strategic assetallocations thapply to severof Monteo’s clients.Exhibit 1 Strategic AssetAllocation AlternativesMonteointerviews client Mary Perkins anvelops a taileassessment of her riskpreferenancapacity for risk, whiis neeto apply MVO to assetallocation. Monteo estimates the risk aversion coefficient (λ) for Perkins to8 anuses the following utility function to termine a preferreassetallocation for Perkins: (原版书)Um =E(Rm) - 0.005λσm2Baseon Exhibit 1anthe risk aversion coefficient, the preferreasset allocation for Perkinsis: A.Asset Allocation B.Asset Allocation C.Asset Allocation C is correct. The risk aversion coefficient (λ) for Mary Perkins is 8. The utility of eaasset allocation is calculatefollows:Asset Allocation U= 10.0% – 0.005(8)(12%)2 = 4.24%Asset Allocation UB = 8.0% – 0.005(8)(8%)2 = 5.44%Asset Allocation U= 6.0% – 0.005(8)(2%)2 = 5.84%Therefore, the preferrestrategic allocation is Asset Allocation whigenerates the highest utility given Perkins’s level of risk aversion. AO里给的公式,Um = E(r) - o.5* lamb *risk^2surplus optimisation里给的是 Um = E(r) - o.005* lamb *risk^2问题1) 这道题说了是在做MVO,那么理论上来说应该用0.5的公式。但是题目给了0.005,为什么?问题2) 如果考试的时候没有给公式,应该用0.005还是0.5? 什么情况用哪个呢?谢谢

2024-04-12 16:37 1 · 回答