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沈晨🐾 · 2020年07月07日

问一道题：NO.PZ2015121801000051 [ CFA I ]

  1. CFA I
  2. Portfolio

问题如下：

With respect to risk-averse investors, a risk-free asset will generate a numerical utility that is:

选项：

A.

the same for all individuals.

B.

positive for risk-averse investors.

C.

equal to zero for risk seeking investors.

解释：

A  is correct.

A risk-free asset has a variance of zero and is not dependent on whether the investor is risk neutral, risk seeking or risk averse. That is, given that the utility function of an investment is expressed as U=E(r)− 1 2 A σ 2 , where A is the measure of risk aversion, then the sign of A is irrelevant if the variance is zero (like that of a risk-free asset).

B为什么不对？另外如果无风险 对风险偏好型投资者来说 不是损失了风险部分带来的效用了吗？所以不应该是一样的影响啊
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2 个答案

丹丹_品职答疑助手 · 2021年03月02日

嗨，爱思考的PZer你好：


同学你好，请看下我的解析，说的是无风险资产，A=0，所以utility=E(r)

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

丹丹_品职答疑助手 · 2020年07月08日

嗨，从没放弃的小努力你好：


同学你好，解析中有相关解释：

根据公式，对于无风险资产，风险厌恶的人对于无风险资产的A是0，所以其utility=E(r)，是正数，请知悉


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努力的时光都是限量版，加油！


@_@ · 2021年03月01日

老师，您说的收益率是正数，不是应该选B吗？

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