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"Portfolio Management": annualized return
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Questions 1:
The return measure that best allows one to compare asset returns earned over different length time periods is the:
A、 holding period return.
B 、annualized return.
C 、net portfolio return.
Questions 2:
When considering a portfolio that is optimal for one investor, a second investor with a higher risk aversion would most likely:
A、 expect a higher variance for the portfolio.
B、 derive a lower utility from the portfolio.
C、 have a lower return expectation for the portfolio.
View answer resolution
【Answer to question 1】B
【analysis】
B is correct. The annualized return is an average return measure that can be calculated using return data for a period that is shorter (or longer) than one year. In many cases, it is most convenient to annualize all available returns in order to compare returns when the time periods during which a return is earned or computed vary. It reflects the return that would be earned over a one-year period, assuming that money can be reinvested repeatedly while earning a similar return.
A is incorrect. The holding period return is defined as the return earned from holding an asset for a single specified period of time.
C is incorrect. The portfolio return is simply a weighted average of the returns of the individual investments or assets in a portfolio. Returns to different portfolios may be calculated over different time periods and may not be comparable.
【Answer to question 2】B
【analysis】
B is correct. Utility has two terms: the expected return and a negative term based on the portfolio risk weighted by risk aversion. For an identical portfolio, the investor with a higher risk aversion (A) would calculate a lower utility (U).
A is incorrect. The expected variance of the portfolio is fixed. It does not change based on the preferences of different investors. C is incorrect. The expected return of the portfolio is fixed. It does not change based on the preferences of different investors.
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