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Olivia.W🌸 · 2024年06月26日

utility function

  1. CFA I
  2. Portfolio

NO.PZ2015121801000056

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)− 1 2 A σ 2 and the measure for risk aversion has a value of 2, the risk-averse investor is most likely to choose:

选项：

A.

Investment 1.

B.

Investment 2.

C.

Investment 3.

解释：

B is correct.

Investment 2 provides the highest utility value (0.1836) for a risk-averse investor who has a measure of risk aversion equal to 2.

If an investor’s utility function is expressed as and the measure for risk aversion has a value of 2。

这句话的意思不是utility function=2？‘

utility function的公式，A表示utility function还是U表示utility function？

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1 个答案

Kiko_品职助教 · 2024年06月26日

嗨，爱思考的PZer你好：


measure for risk avesion is 2，这句话的意思是A=2，A表示风险厌恶程度。

utility function是U，U=E(r)-1/2Aσ^2, 已知A可以求U。

以investment 1为例，U=0.18-1/2*2*（0.02)^2=0.1796。

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NO.PZ2015121801000056 问题如下 A financiplanner hcreatethe following ta to illustrate the application of utility theory to portfolio selection:If investor’s utility function is expresse U=E(r)− 1 2 A σ 2 anthe measure for risk aversion ha value of 2, the risk-averse investor is most likely to choose: A.Investment 1. B.Investment 2. C.Investment 3. is correct.Investment 2 provis the highest utility value (0.1836) for a risk-averse investor who ha measure of risk aversion equto 2. 在计算器上按19%-（8%²）时，得怎么按结果才对。我按19然后%，减去，括号，8，%，这时候结果就不对了，必须按完括号按0.08，再按²，然后括号，才能得到正确值。就是括号里的百分数必须自己计算，用%键值就不对。

2024-09-28 10:23 1 · 回答

NO.PZ2015121801000056 问题如下 A financiplanner hcreatethe following ta to illustrate the application of utility theory to portfolio selection:If investor’s utility function is expresse U=E(r)− 1 2 A σ 2 anthe measure for risk aversion ha value of 2, the risk-averse investor is most likely to choose: A.Investment 1. B.Investment 2. C.Investment 3. is correct.Investment 2 provis the highest utility value (0.1836) for a risk-averse investor who ha measure of risk aversion equto 2. 不是U越小，越risk aerse吗？怎么选了U最大的？

2024-06-26 10:37 1 · 回答

Investment 2. Investment 3. B  is correct. Investment 2 provis the highest utility value (0.1836) for a risk-averse investor who ha measure of risk aversion equto 2. 请问老师这个题的解题思路就是根据效用函数选一个效用最大的组合，不用考虑到底是风险厌恶还是风险偏好或是风险中性对吗？

2021-01-30 17:05 1 · 回答

老师好，想问下这种题为什么都要代入公式呢如果厌恶风险为什么不选择sigma最小的就好了呢，还是因为风险厌恶的人可以承担风险只不过相应的要得到更多的收益所以进行utility的比较吗，谢谢

2020-07-19 05:35 2 · 回答