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王10 · 2023年11月22日

risk neutral

NO.PZ2018070201000054

问题如下:

James Simone is a risk-neutral investor. He will apply utility theory to choose the investment portfolio. The table shows the expected return and expected standard deviation of several investments, he is most likely to invest:

选项:

A.

1

B.

2

C.

3

解释:

C is correct

As the investor is risk-neutral, A in the utility function is 0, risk is irrelevant to his choice, so the investment return is the only factor that should be considered. Therefore, Investment 3 has the highest return.

这道题能不能不用计算,直接选择收益最高的那一个选项就行了?

1 个答案
已采纳答案

Kiko_品职助教 · 2023年11月22日

嗨,爱思考的PZer你好:


不可以。题目说了要运用utility theory去选择投资组合。所以不能光看收益,要算出utility,选择最高的那个。utility最高,有时候并不是收益最高。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!