NO.PZ201803130100000201
问题如下:
Based on Exhibit 1 and the risk aversion coefficient, the preferred asset allocation for Perkins is:
选项:
A.Asset Allocation A.
B.Asset Allocation B.
C.Asset Allocation C.
解释:
C is correct.
The risk aversion coefficient (λ) for Mary Perkins is 8. The utility of each asset allocation is calculated as follows:
Asset Allocation A:UA = 10.0% – 0.005(8)(12%)2= 4.24%
Asset Allocation B:UB = 8.0% – 0.005(8)(8%)2= 5.44%
Asset Allocation C:UC = 6.0% – 0.005(8)(2%)2= 5.84%
Therefore, the preferred strategic allocation is Asset Allocation C, which generates the highest utility given Perkins’s level of risk aversion.
我A B C 算出来的效用分别是9.94%、7.97%以及6%?