胖同学 · 5小时前
此题 用中国人计算思路 计算
NO.PZ2018110601000012
问题如下:
The expected surplus return and volatility for three portfolios shows below (Given λ=2 ):
Using a surplus optimization approach, which portfolio has the highest objective function value?
选项:
A.
Portfolio 1
B.
Portfolio 2
C.
Portfolio 3
解释:
A is correct.
考点:surplus optimization approach
解析:Objective function for surplus optimization: U
m
L
R
=
E
(
R
s
,
m
)
−
0.005
λ
σ
2
(
R
s
,
m
)
Um
LR
=E(Rs,m
)−0.005λσ2
(Rs,m
)。注意本题已知σ2,而不是σ。因此代入公式,得:
Portfolio 1: U=9-0.005(2)(25)=8.75,
Portfolio 2: U=8-0.005(2)(15)=7.85
Portfolio 3: U=7-0.005(2)(20)=6.80
因此Portfolio 1所得值最大。
0.09- 0.5 *2*0.25? 哪里不对呢?
公式不就是: E(R)-0.5*r*σ2吗? 题目告诉了σ2=25%, 不是直接代入吗?