为什么说 The expected return of the portfolio is fixed呢？

问题如下：

Question When considering a portfolio that is optimal for one investor, a second investor with a higher risk aversion would most likely:

选项：

A.expect a higher variance for the portfolio. B.derive a lower utility from the portfolio. C.have a lower return expectation for the portfolio.

解释：

Solution

B is correct. Utility has two terms: the expected return and a negative term based on the portfolio risk weighted by risk aversion. For an identical portfolio, the investor with a higher risk aversion (A) would calculate a lower utility (U).

U=E(r)−12AσU=E(r)−12Aσ$U=E\left(r\right)-\frac{1}{2}A\sigma$

A is incorrect. The expected variance of the portfolio is fixed. It does not change based on the preferences of different investors.

C is incorrect. The expected return of the portfolio is fixed. It does not change based on the preferences of different investors.