Lucky_品职助教 · 2024年07月15日
嗨，努力学习的PZer你好：
同学你好：
关于utility的计算方式有两种，分别为：
第一种：Um= E(R)- 0.005λσm2
第二种：Um= E(R)- ½ λσm2
如果用Um= E(R)- 0.005λσm2这个公式，应当代入E(R)=8，σ=14。相当于把百分号当成了一个符号。
如果用Um= E(R)- ½ λσm2 ，应当代入E(R)=0.08，σ=0.14，计算的时候直接换算成小数计算。
答案解析里的8%-0.005x5x(14%)^2，这个公式解答写得容易让人误解，应该是(14)^2%，等于只有一个百分号，而且还是以符号的形式。
所以同学在计算utility的时候，一定要注意你选择的公式，其实就是选择的系数是0.005还是0.5（二分之一），如果选择了0.005，预期收益和方差都带着百分号直接结算，如果选择了0.5，预期收益和方差都换成小数计算。
----------------------------------------------加油吧，让我们一起遇见更好的自己！
NO.PZ2022122801000023 问题如下 Sanep Sarzi is aninvestment aisor who hinstitutionanhigh net worth clients. Sarzimeets with a potentinew client, Jerry Robson, to assess his capacity forrisk. Sarzi estimates the risk aversion coefficient for Robson to 5 on ascale of 1 to 10, where 10 represents the highest risk aversion. Sarzi provisexpectereturns anstanrviations of returns for two possible portfoliosfor Robson in Exhibit 1.Exhibit 1 Portfolio ExpecteReturns anStanrviationstermine whichportfolio Sarzi shoulrecommento Robson basesolely on expecteutility.Justify your response. Basesolely on expecteutility, Sarzi shoulrecommenPortfolio B sinit results in higher expecteutility. The expecteutility for eaportfolio is calculatefollows:Um =E (Rm ) - 0.005λσm2 Where Um = the investor’s expecteutility for asset mix (allocation) mRm = return for asset mix (allocation) mλ = the investor’s risk aversion coefficient𝜎𝑚2 = the expectevarianof return for asset mix (allocation m)The expecteutility of Portfolio A is: UA = 8% – 0.005 (5) (14%)2 = 3.1%The expecteutility 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？
NO.PZ2022122801000023 问题如下 Sanep Sarzi is aninvestment aisor who hinstitutionanhigh net worth clients. Sarzimeets with a potentinew client, Jerry Robson, to assess his capacity forrisk. Sarzi estimates the risk aversion coefficient for Robson to 5 on ascale of 1 to 10, where 10 represents the highest risk aversion. Sarzi provisexpectereturns anstanrviations of returns for two possible portfoliosfor Robson in Exhibit 1.Exhibit 1 Portfolio ExpecteReturns anStanrviationstermine whichportfolio Sarzi shoulrecommento Robson basesolely on expecteutility.Justify your response. Basesolely on expecteutility, Sarzi shoulrecommenPortfolio B sinit results in higher expecteutility. The expecteutility for eaportfolio is calculatefollows:Um =E (Rm ) - 0.005λσm2 Where Um = the investor’s expecteutility for asset mix (allocation) mRm = return for asset mix (allocation) mλ = the investor’s risk aversion coefficient𝜎𝑚2 = the expectevarianof return for asset mix (allocation m)The expecteutility of Portfolio A is: UA = 8% – 0.005 (5) (14%)2 = 3.1%The expecteutility of Portfolio B is: UB = 6% – 0.005 (5) (10%)2 = 3.5% 我算的答案A8-0.025*144=4.4B6-0.025*100=3.5
NO.PZ2022122801000023 问题如下 Sanep Sarzi is aninvestment aisor who hinstitutionanhigh net worth clients. Sarzimeets with a potentinew client, Jerry Robson, to assess his capacity forrisk. Sarzi estimates the risk aversion coefficient for Robson to 5 on ascale of 1 to 10, where 10 represents the highest risk aversion. Sarzi provisexpectereturns anstanrviations of returns for two possible portfoliosfor Robson in Exhibit 1.Exhibit 1 Portfolio ExpecteReturns anStanrviationstermine whichportfolio Sarzi shoulrecommento Robson basesolely on expecteutility.Justify your response. Basesolely on expecteutility, Sarzi shoulrecommenPortfolio B sinit results in higher expecteutility. The expecteutility for eaportfolio is calculatefollows:Um =E (Rm ) - 0.005λσm2 Where Um = the investor’s expecteutility for asset mix (allocation) mRm = return for asset mix (allocation) mλ = the investor’s risk aversion coefficient𝜎𝑚2 = the expectevarianof return for asset mix (allocation m)The expecteutility of Portfolio A is: UA = 8% – 0.005 (5) (14%)2 = 3.1%The expecteutility 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。
