开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

星夜晴空 · 2019年11月11日

问一道题：NO.PZ2015121801000055

  1. CFA I
  2. Portfolio

问题如下：

A financial planner has created the following data to illustrate the application of utility theory to portfolio selection:

If an investor’s utility function is expressed as U=E(r)− 1 2 A σ 2  and the measure for risk aversion has a value of -2, the risk-seeking investor is most likely to choose:

选项：

A.

Investment 2.

B.

Investment 3.

C.

Investment 4.

解释：

C  is correct.

Investment 4 provides the highest utility value (0.2700) for a risk-seeking investor, who has a measure of risk aversion equal to −2.

这个题目显示有问题哦，公式都没显示出来

添加评论
1 个答案

星星_品职助教 · 2019年11月11日

同学你好，

这道题的公式应该是 U=E(r)- 1/2*A*σ^2, 直接代数然后找到U最大的就可以了。加油

PS，系统升级造成一些公式和图表不能显示的问题我也比较头大..已经联系技术拜托尽快解决了，谢谢理解哈~

  • 1

    回答

  • 1

    关注

  • 515

    浏览
相关问题

NO.PZ2015121801000055 问题如下 A financiplanner hcreatethe following ta to illustrate the application of utility theory to portfolio selection:If investor’s utility function is expresse U=E(r)− 1 2 A σ 2 anthe measure for risk aversion ha value of -2, the risk-seeking investor is most likely to choose: A.Investment 2. B.Investment 3. C.Investment 4. is correct.Investment 4 provis the highest utility value (0.2700) for a risk-seeking investor, who ha measure of risk aversion equto −2.

2023-03-29 10:11 1 · 回答

Investment 3. Investment 4. C  is correct. Investment 4 provis the highest utility value (0.2700) for a risk-seeking investor, who ha measure of risk aversion equto −2. 这道题第四个，应该是18+0.09，而不是27+…吧？

2020-06-22 19:49 1 · 回答

第四个组合U=18+0.5*2*0.3^2=18.09 第三个组合U=20+0.5*2*0.15^2=20.0225 选第三个组合才对吧？

2020-01-21 12:30 1 · 回答

4 hthe biggest stanrviation & biggest uyility,所以选4？ 如果4 hthe biggest stanrviation & samaller uyility,那选谁？ 除了risk neutral选择最大的return之外，risk seeker 和risk averse都选择最大的utility?

2019-11-25 22:49 1 · 回答

risk-seeking investor和risk averse investor 都要选择utility最大的组合吗?

2019-11-25 22:42 1 · 回答