公式出错

问题如下：

The expected returns and standard deviations for three strategic asset allocation are in the table below:

If risk aversion coefficient λ=5,use the utility function in the mean-variance optimization approach, which portfolio is preferred?

选项：

Asset allocation 1

Asset allocation 2

Asset allocation 3

解释：

B is correct.

考点：mean-variance optimization

解析：utility function： $U_m^{}=E(R_m)-0.005\lambda\sigma^2(R_m)$。将表格中数字代入公式，得：

Asset allocation 1: U=9-0.005(5)(144)=5.4,

Asset allocation 2: U=8-0.005(5)(64)=6.4

Asset allocation 3: U=7-0.005(5)(100)=4.5

因此Asset allocation 2所得值最大。