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Yan · 2022年02月24日

这计算是有问题么？

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

NO.PZ201803130100000201

问题如下：

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.

我A B C 算出来的效用分别是9.94%、7.97%以及6%？

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已采纳答案

郭静_品职助教 · 2022年02月24日

嗨，努力学习的PZer你好：


答案没问题，解析的过程有点问题，我们会在后台做修改，谢谢你的提醒。

这道题两种解法：

1、用UP = E(RP) – 0.005 λσP2这个公式，但是不代入%。计算结果后面再加回%。以上三题的计算过程为：

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%

2、用UP = E(RP) – 0.5 λσP2这个公式，代入%。以上三题的计算过程为：

Asset Allocation A:UA = 10.0% – 0.5(8)(12%)2= 4.24%

Asset Allocation B:UB = 8.0% – 0.5(8)(8%)2= 5.44%

Asset Allocation C:UC = 6.0% – 0.5(8)(2%)2= 5.84%

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努力的时光都是限量版，加油！

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NO.PZ201803130100000201 问题如下 Baseon Exhibit 1 anthe risk aversion coefficient, the preferreasset allocation for Perkins is: A.Asset Allocation B.Asset Allocation C.Asset Allocation C is correct.The risk aversion coefficient (λ) for Mary Perkins is 8. The utility of eaasset allocation is calculatefollows: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 preferrestrategic allocation is Asset Allocation whigenerates the highest utility given Perkins’s level of risk aversion. 我记得是说不管怎么样都选sharp ratio最大的。然后其他的可以用现金来调整。但是这题为什么还要计算那个公式？还是我记错了？

2022-08-15 11:02 1 · 回答