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过儿 · 2022年03月29日

一张图

NO.PZ2018070201000054

问题如下:

James Simone is a risk-netural investor. He will apply utility theory to choose the investment portfolio. The table shows the expected return and expected standard deviation of several investments, he is most likely to invest:

选项:

A.

1

B.

2

C.

3

解释:

C is correct

As the investor is risk-neutral, A in the utility function is 0, risk is irrelevant to his choice, so the investment return is the only factor that should be considered. Therefore, Investment 3 has the highest return.


这题的意思是,对risk lover来说,风险越高,我要求的收益率只有越低吗

1 个答案

Kiko_品职助教 · 2022年03月30日

嗨,爱思考的PZer你好:


关于这张图中risk lover这条线,原版书中的解释:

“ The risk-loving investor’s indifference curve, however, exhibits a negative slope, implying that the risk-lover is happy to substitute risk for return. For a risk lover, the utility increases both with higher risk and higher return. ”

risk lover的无差异曲线显示出负斜率意味着risk lover乐于用风险替代回报。对于一个risk lover来说,效用随着更高的风险和更高的回报而增加。

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