NO.PZ2018011501000004
问题如下:
Beade uses a surplus optimization approach to liability-relative asset allocation based on the objective function UmLR = E(Rs,m) - 0.005λσ2(Rs,m)
where E(Rs,m) is the expected surplus return for portfolio m, λ is the risk aversion coefficient, and σ2(Rs,m) is the variance of the surplus return. Beade establishes the expected surplus return and surplus variance for three different asset allocations, shown in Exhibit 2. Given λ = 1.50, she chooses the optimal asset mix.
Exhibit2 Expected Surplus Return and Volatility for Three Portfolios
Based on Exhibit 2, which portfolio provides the greatest objective function expected value?
选项:
A.Portfolio 1
B.Portfolio 2
C.Portfolio 3
解释:
B is correct.
The objective function expected value is UmLR = E(Rs,m) - 0.005λσ2(Rs,m)
λ is equal to 1.5, and the expected value of the objective function is shown in the right most column below.
Portfolio 2 generates the highest value, or utility, in the objective function.
考点:surplus optimization
解析:surplus optimization方法下objective function的应用。将每个组合的Expected Surplus Return和Volatility代入公式,计算后比大小,选结果最大的一个。
原版书公式为UmLR = E(Rs,m) - 0.005λσ2(Rs,m),λ=1.5, Expected Surplus Return和Volatility代入数字时不加%,举例:U1 = 13 - 0.005*1.5*576=8.68。
分别计算三个组合的utility,结果为8.68,9.57,8.29,因此B选项结果最大。
按照课上何老师讲得方法,A算出来是0.0868,,而用公式算出来的是8.68,如果真的计算,到底用哪种方法,两种方法计算出来的数字差了100倍啊?