NO.PZ2024101802000013
问题如下：
An individual investor is assessing three different risky investment portfolios with the following expected characteristics:
Portfolio A has an expected return of 8% with volatility of 20%.
Portfolio B has an expected return of 9% with volatility of 25%.
Portfolio C has an expected return of 10% with volatility of 30%.
The risk-free rate is 4%. This investor can take on the risk associated with the highest risk portfolio and has been assessed as having low risk aversion. The investor chooses Portfolio A. Which one of the following concepts can lead the investor to choose Portfolio A?
选项：
A.
Risk tolerance
B.
Risk capacity
C.
Risk perception
解释：
C is the correct response. Even though each of the portfolios offers the same return-to-risk trade-off (Sharpe ratio of each portfolio is 0.2), the investor has chosen the portfolio with the lowest risk. This choice implies that the investor has a subjective assessment (i.e., perception) that the higher risk portfolios are not attractive. A is incorrect because low risk aversion reflects high risk tolerance. B is incorrect because the investor has the capacity to invest in the highest risk portfolio.
三个portfolio的SR应该都是0.2，说明风险是相同的，投资者的capacity和risk tolerance都较高，但是选了A，说明他对风险的认识不对？能这样解释吗？
