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There are two assets in the market, A and B. With probability p, asset A will experience a total loss in value, otherwise it will retain its value. Similarly for asset B. Furthermore, the returns of asset A and B are independent.

You can make one of the following two choices:
- Allocate 100% of your wealth to A, or
- Allocate 50% of your wealth to A and 50% to B.

What allocation do you choose if your preferences are represented by Expected Utility Theory?
What allocation do you choose if your preferences are represented by Prospect Theory, with no probability weighting?

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关键词：行为金融学 行为金融 金融学 Preferences Probability

同是菲利普斯的学生哈哈哈哈， 7天了，大哥有答案了吗

babyme2 发表于 2021-6-6 04:54
同是菲利普斯的学生哈哈哈哈， 7天了，大哥有答案了吗

无啊压根没人搭理我

选Allocate 50% of your wealth to A and 50% to B.
两个均值一样，而这个方差更小，因此效用更大