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kevinzhu · 2019年11月24日

问一道题:NO.PZ2018070201000055

问题如下:

Belen Zapata is a risk-seeking investor. He will apply utility theory to choose the investment portfolio. The table shows the expected return and expected standard deviation of several investments, assuming the measure of risk aversion is -3, he is most likely to invest:

选项:

A.

2

B.

3

C.

4

解释:

C is correct

Investment 4 has the highest Utility Value(0.3738).

U=E(R)-0.5*A*(standard deviation)^2

0.19-0.5*3*(0.03)^2=0.18865

0.21-0.5*3*(0.09)^2=0.19785


是我算错了吗?所有的U的结果都不对

2 个答案

星星_品职助教 · 2019年11月24日

同学你好,

看了下你的列式,这道题里面A=-3。至于为什么A为负数不是考点,直接代入-3就行,加油

bodane · 2019年11月24日

注意A应该带入-3

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