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PaisleyPPx · 2019年11月29日

问一道题:NO.PZ2018070201000056

问题如下:

Vishal Chandarana is a risk-averse investor. He will apply utility theory to choose the investment portfolio. The table shows the expected return and expected standard deviation of several investments, assuming the measure of risk aversion is 2, he is most likely to invest:

选项:

A.

1

B.

2

C.

3

解释:

C is correct

Investment 2 has the highest Utility Value(0.2019).

老师 这道题为什么不可以用E(R)/6?

1 个答案

星星_品职助教 · 2019年11月29日

同学你好,

这道题题干有问题,少了一个utility function U=E(r)-1/2Aσ^2

这种题目只需要直接代入进去算utility即可,A= 2。最后应该选B,我之后会修改这道题~

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