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Jwang · 2024年05月12日

请问回答的时候如果写出正确计算过程但结果算错了会得分吗？

  1. CFA III
  2. Asset Allocation

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%

不得分的话是不是意味着这种题不用写过程只写答案然后比较即可？

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1 个答案

lynn_品职助教 · 2024年05月13日

嗨，爱思考的PZer你好：


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%


不得分的话是不是意味着这种题不用写过程只写答案然后比较即可？


可以，除非题目说要calculate，不然都是只要求答案的

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