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刘辰敏 · 2021年01月10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. His utility function is expressed as U=E(r)-1/2×A×σ^2
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).

能以investment 1 为例,计算一下嘛 谢谢

2 个答案
已采纳答案

丹丹_品职答疑助手 · 2021年01月11日

嗨,从没放弃的小努力你好:


同学你好,对于investment 1:根据公式: 0.19-0.5*2*0.03^2=0.1891


-------------------------------
加油吧,让我们一起遇见更好的自己!


刘辰敏 · 2021年01月11日

谢谢 由于我忽略了单位 导致算不对 谢谢啦

丹丹_品职答疑助手 · 2021年01月12日

好的同学

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