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albee · 2024年07月08日

这题跟No.PZ2023021601000011考的点有啥区别

  1. CFA I
  2. Portfolio

NO.PZ2023021601000014

问题如下：

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：

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).

为什么在这道题里C选项就不对了

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1 个答案

Kiko_品职助教 · 2024年07月08日

嗨，爱思考的PZer你好：


这道题稍微有点特殊，需要单独对待一下。题目给了条件，当一个组合对one investor是最优的，那么这个同样的组合对另一个更厌恶风险的投资者来说是怎么样的。说的是同样的组合，对一个人来说是最优的，对另一个人来说是什么样的。这里暗含的意思就是对另一个人这就不是一个最优组合了。那自然这个组合对他来说的爽度更低，所以B选项是最准确的，这道题C选项，你并不能说第二个人他就是对这个组合有更低的回报期待，即使是有着更高风险厌恶的投资者，他也有一个optimal 的portfolio，也是希望在相同风险范围内预期收益是最大的。所以C说的并不准确。

2023021601000011这道题，暗含的意思其实是对于investor来说，他们厌恶风险的程度有高有低，即使是higher risk aversion的，但他们都能找到optimal的portfolio，所以对比的对象是CAL这条线上，相对更喜欢风险的，也就是更高点的那些组合。那么他们的optimal portfolio肯定有一个lower expected return和lower risk tolarance


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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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