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nmj1 · 2025年06月04日

这个答案不改改吗

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.

B.

Asset Allocation B.

C.

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.

有%的时候不能用0.005算

1 个答案

Lucky_品职助教 · 2025年06月04日

嗨,努力学习的PZer你好:


同学指正的正确,我们这就修改,谢谢。

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加油吧,让我们一起遇见更好的自己!

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