If an investor’s utility function is expressed as U=Er−12Aσ2

NO.PZ2022081802000016

问题如下：

A financial planner has created the following data to illustrate the application of utility theory to portfolio selection:

If an investor’s utility function is expressed as

U = E (r) - \frac{1}{2} A σ^{2}

and the measure for risk aversion has a value of −2, the risk-seeking investor is most likely to choose:

选项：

A.Investment 2. B.Investment 3. C.Investment 4.

解释：

Solution

C is correct. Investment 4 provides the highest utility value (0.2700) for a risk-seeking investor, who has a measure of risk aversion equal to −2.

老师，题干的公式是起什么作用的？我们计算用的公式是u=Er-0.5Aσ2

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Kiko_品职助教 · 2023年11月06日

嗨，从没放弃的小努力你好：

题干的公式就是让你带入计算Utility的。当然这个公式背下来更好，考试有的题目不会直接给出来这个公式。

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If an investor’s utility function is expressed as U=Er−12Aσ2

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