问一道题：NO.PZ2018011501000009

问题如下：

Investment adviser Carl Monteo determines client asset allocations using quantitative techniques such as mean–variance optimization (MVO) and risk budgets. Monteo is reviewing the allocations of three clients. Exhibit 1 shows the expected return and standard deviation of returns for three strategic asset allocations that apply to several of Monteo’s clients.

Exhibit1 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:

Um =E (Rm) - 0.005λσm²

Based on Exhibit 1 and the risk aversion coefficient, the preferred asset allocation for Perkins is:

选项：

Asset Allocation A.

Asset Allocation B.

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.