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灰飞翔的猫 · 2025年02月13日

risk aversion coefficient

  1. CFA I
  2. Portfolio

NO.PZ2023021601000010

问题如下：

If Investor A has a lower risk aversion coefficient than Investor B, will Investor B's optimal portfolio most likely have a higher expected return on the capital allocation line? (mock)

选项：

A.No, because Investor B has a lower risk tolerance B.Yes C.No, because Investor B has a higher risk tolerance

解释：

Investor B has a higher risk aversion coefficient, which means a lower risk tolerance and a lower expected return on the capital allocation line.

题干里的“risk aversion coefficient”是不是就是utility公式里那个A？风险厌恶程度？

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