Lucky_品职助教 · 2024年08月13日
嗨,爱思考的PZer你好:
同学你好:
这道题的答案并没有错误。关于utility的计算方式有两种:
Um= E(R)- 0.005λσm2,用0.005的时候,%相当于符号,不是0.01的意思,相当于 Allocation A: 6.7 – 0.005 (7) (11.9) (11.9) = 1.74,算出结果后直接加%,最终结果为1.74%。
Um= E(R)- 0.5λσm2,用0.5的时候,代入6.7%就是0.067了,这是中国人的习惯,相当于 Allocation A: 0.067 – 0.5 (7) (0.119) (0.119) = 0.0174,所以最终结果为1.74%。
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。
----------------------------------------------虽然现在很辛苦,但努力过的感觉真的很好,加油!
答案判断及提示不正确 主观题是不是可以不用写公式啊。我直接写计算结果可以吗。
NO.PZ2018031301000003问题如下John Tomb is investment aisor asset management firm. Heis veloping asset allocation for James Youngmall, a client of the firm.Tomb consirs two possible allocations for Youngmall. Allocation A consists offour asset classes: cash, US bon, US equities, anglobequities.Allocation B inclus these same four asset classes, well globbon.Youngmall ha relatively low risk toleranwith a risk aversion coefficient(λ) of 7. Tomb runs mean–varianoptimization (MVO) to maximize the followingutility function to termine the preferreallocation for Youngmall: Um= E(R)- 0.005λσm2The resulting MVO statistifor the two asset allocations arepresentein Exhibit 1.terminewhiallocation in Exhibit 1 Tomb shoulrecommento Youngmall. Justify yourresponse. Tomb shoulecommenAllocation B.The expecteutility of Allocation B is 1.89%, whiishigher thAllocation A’s expecteutility of 1.74%.MVO provis a framework to termine how mutoallocate to eaasset class or to create the optimasset mix. The givenobjective function is:Um= E(R)- 0.005λσm2Using the given objectivefunction anthe expectereturns anexpectestanrviations for AllocationsA anthe expecteutilities (certainty equivalent returns) for the twoallocations are calculateas:Allocation 6.7% – 0.005 (7) (11.9%)2 =1.74%Allocation 5.9% – 0.005 (7) (10.7%)2 =1.89%Therefore, Tomb shoulrecommenAllocation B because itresults in higher expecteutility thAllocation A.关于代入百分号的问题如果考到主观题,写公式以解析中的公式为准,将百分号%当作一个单位来理解。计算时不要带入百分号%,即按照这个公式来计算6.7 - 0.005 × 7 × 11.92 计算的结果后面直接加上%。 如上,直接用小数计算的话
NO.PZ2018031301000003 问题如下 John Tomb is investment aisor asset management firm. Heis veloping asset allocation for James Youngmall, a client of the firm.Tomb consirs two possible allocations for Youngmall. Allocation A consists offour asset classes: cash, US bon, US equities, anglobequities.Allocation B inclus these same four asset classes, well globbon.Youngmall ha relatively low risk toleranwith a risk aversion coefficient(λ) of 7. Tomb runs mean–varianoptimization (MVO) to maximize the followingutility function to termine the preferreallocation for Youngmall: Um= E(R)- 0.005λσm2The resulting MVO statistifor the two asset allocations arepresentein Exhibit 1.terminewhiallocation in Exhibit 1 Tomb shoulrecommento Youngmall. Justify yourresponse. Tomb shoulecommenAllocation B.The expecteutility of Allocation B is 1.89%, whiishigher thAllocation A’s expecteutility of 1.74%.MVO provis a framework to termine how mutoallocate to eaasset class or to create the optimasset mix. The givenobjective function is:Um= E(R)- 0.005λσm2Using the given objectivefunction anthe expectereturns anexpectestanrviations for AllocationsA anthe expecteutilities (certainty equivalent returns) for the twoallocations are calculateas:Allocation 6.7% – 0.005 (7) (11.9%)2 =1.74%Allocation 5.9% – 0.005 (7) (10.7%)2 =1.89%Therefore, Tomb shoulrecommenAllocation B because itresults in higher expecteutility thAllocation A.关于代入百分号的问题如果考到主观题,写公式以解析中的公式为准,将百分号%当作一个单位来理解。计算时不要带入百分号%,即按照这个公式来计算6.7 - 0.005 × 7 × 11.92 计算的结果后面直接加上%。 关于计算题,列出计算过程,有几个疑惑1.计算公式是要列出公式、例如预期收益率E(r),还是只要列出数字、例如6.7%即可?2.计算过程中涉及到公式,比如填写分数,需要填写分子/分母、有上下分隔符;比如平方、需要右上角的上标;比如乘法,是否可以用*星号代替?文本框里怎么编辑公式?3.本题如果按照下述作答是否可以?感觉平方就写个^2,好像不是很规范啊Utility A = 6.7%-0.5 *7 *0.119^2=1.743%Utility B = 5.9%-0.5 *7 * 0.107^2=1.8929%sinutility of B is larger thutility A,to maximize utility we shoulchoose allocation B
NO.PZ2018031301000003 问题如下 John Tomb is investment aisor asset management firm. Heis veloping asset allocation for James Youngmall, a client of the firm.Tomb consirs two possible allocations for Youngmall. Allocation A consists offour asset classes: cash, US bon, US equities, anglobequities.Allocation B inclus these same four asset classes, well globbon.Youngmall ha relatively low risk toleranwith a risk aversion coefficient(λ) of 7. Tomb runs mean–varianoptimization (MVO) to maximize the followingutility function to termine the preferreallocation for Youngmall: Um= E(R)- 0.005λσm2The resulting MVO statistifor the two asset allocations arepresentein Exhibit 1.terminewhiallocation in Exhibit 1 Tomb shoulrecommento Youngmall. Justify yourresponse. Tomb shoulecommenAllocation B.The expecteutility of Allocation B is 1.89%, whiishigher thAllocation A’s expecteutility of 1.74%.MVO provis a framework to termine how mutoallocate to eaasset class or to create the optimasset mix. The givenobjective function is:Um= E(R)- 0.005λσm2Using the given objectivefunction anthe expectereturns anexpectestanrviations for AllocationsA anthe expecteutilities (certainty equivalent returns) for the twoallocations are calculateas:Allocation 6.7% – 0.005 (7) (11.9%)2 =1.74%Allocation 5.9% – 0.005 (7) (10.7%)2 =1.89%Therefore, Tomb shoulrecommenAllocation B because itresults in higher expecteutility thAllocation A.关于代入百分号的问题如果考到主观题,写公式以解析中的公式为准,将百分号%当作一个单位来理解。计算时不要带入百分号%,即按照这个公式来计算6.7 - 0.005 × 7 × 11.92 计算的结果后面直接加上%。 直接写结果