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Narcissus · 2018年09月12日

问一道题:NO.PZ2018070201000055 [ CFA I ]

请问根据效用函数的公式,是不是不用计算就可以判断,risk seeking investor会选方差最大的那个portfolio ?这个思路有没有什么问题?

问题如下图:

选项:

A.

B.

C.

解释:

1 个答案

Shimin_CPA税法主讲、CFA教研 · 2018年09月12日

这个思路不太对,risk seeking investor仍需要用效用函数的公式计算,选结果最大的那个。不需要计算的是risk neutral investor,但他看的不是方差而是expected return,因为risk neutral investor的A=0.

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