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王凤梅 · 2021年01月30日

问一道题：NO.PZ2015121801000056 [ CFA I ]

  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.

请问老师这个题的解题思路就是根据效用函数选一个效用最大的组合，不用考虑到底是风险厌恶还是风险偏好或是风险中性对吗？

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1 个答案

丹丹_品职答疑助手 · 2021年01月31日

嗨，努力学习的PZer你好：


同学你好，是这样的，因为表示风险厌恶程度的已经用A表示了，因为A题干给了是2，所以对于所有组合是一样的，这里我们就不用考虑了

 


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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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