NO.PZ2022122801000023
问题如下:
Sandeep Sarzi is an
investment advisor who has institutional and high net worth clients. Sarzi
meets with a potential new client, Jerry Robson, to assess his capacity for
risk. Sarzi estimates the risk aversion coefficient for Robson to be 5 on a
scale of 1 to 10, where 10 represents the highest risk aversion. Sarzi provides
expected returns and standard deviations of returns for two possible portfolios
for Robson in Exhibit 1.
Exhibit 1 Portfolio Expected Returns and Standard Deviations
A. Determine which portfolio Sarzi should recommend to Robson based solely on expected utility. Justify your response.
选项:
解释:
Based solely on expected utility, Sarzi should recommend Portfolio B since it results in higher expected utility. The expected utility for each portfolio is calculated as follows:
Um =E (Rm ) - 0.005λσm2
Where Um = the investor’s expected utility for asset mix (allocation) m
Rm = return for asset mix (allocation) m
λ = the investor’s risk aversion coefficient
𝜎𝑚2 = the expected variance of return for asset mix (allocation m)
The expected utility of Portfolio A is: UA = 8% – 0.005 (5) (14%)2 = 3.1%
The expected utility of Portfolio B is: UB = 6% – 0.005 (5) (10%)2 = 3.5%
我按照这个公式输入:8%-0.005x5x(14%)^2,算出来是0.07951。0.005*5*0.0196=0.00049。
只有按照8-0.005*5*14^2=3.1
就有点懵,有的时候好像算出来就是对的,但这道题就是不对的了。