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sarahjia · 2020年07月19日

问一道题：NO.PZ2015121801000056

  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-averse investor is most likely to choose:

选项：

A.

Investment 1.

B.

Investment 2.

C.

Investment 3.

解释：

B  is correct.

Investment 2 provides the highest utility value (0.1836) for a risk-averse investor who has a measure of risk aversion equal to 2.

老师好，想问下这种题为什么都要代入公式呢如果厌恶风险为什么不选择sigma最小的就好了呢，还是因为风险厌恶的人可以承担风险只不过相应的要得到更多的收益所以进行utility的比较吗，谢谢

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2 个答案

丹丹_品职答疑助手 · 2020年08月03日

同学你好，就是题目中expected return,或者理解为投资者期望获得的收益

丹丹_品职答疑助手 · 2020年07月19日

嗨，从没放弃的小努力你好：


同学你好，这题考察的是utiity公式的理解，其由均值/风险偏好程度及sigma决定，尽管题干中给出的风险厌恶程度也需要考虑均值，仅仅考虑sigma是不够的。


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努力的时光都是限量版，加油！


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