NO.PZ2022122801000018
问题如下：
Exhibit 1 shows the
expected return and standard deviation of returns for three strategic asset
allocations that apply to several of Monteo’s clients.
Exhibit 1 Strategic Asset
Allocation Alternatives
Monteo
interviews client Mary Perkins and develops a detailed assessment of her risk
preference and capacity for risk, which is needed to apply MVO to asset
allocation. Monteo estimates the risk aversion coefficient (λ) for Perkins to
be 8 and uses the following utility function to determine a preferred asset
allocation for Perkins: （原版书）
Um =E
(Rm) - 0.005λσm2
Based on Exhibit 1 and the risk aversion coefficient, the preferred asset allocation for Perkins is:
选项：
A.Asset Allocation A.
Asset Allocation B.
Asset Allocation C.
解释：
C is correct. The risk aversion coefficient (λ) for Mary Perkins is 8. The utility of each asset allocation is calculated as follows:
Asset Allocation A: UA = 10.0% – 0.005(8)(12%)2 = 4.24%
Asset Allocation B: UB = 8.0% – 0.005(8)(8%)2 = 5.44%
Asset Allocation C: UC = 6.0% – 0.005(8)(2%)2 = 5.84%
Therefore, the preferred strategic allocation is Asset Allocation C, which generates the highest utility given Perkins’s level of risk aversion.
计算出的结果和答案不一样，不知道哪里错了，用搜狗输入法V功能计算的。
10%-0.005*8*12%^2=0.099424
8%-0.005*8*8%^2=0.079744
6%-0.005*8*2%^2=0.059984
