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恬恬爱吃香菜 · 2018年06月19日

问一道题：NO.PZ2017092702000101 [ CFA I ]

  1. CFA I
  2. Quantitative

问题如下图：

选项：

A.

B.

C.

解释：

老师您好，这道题目考查的知识点是哪个呢？谢谢解答🙏

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2 个答案

源_品职助教 · 2018年06月22日

同学，这个知识点是在下面这个截图里提及的。

如果你是12月份的考生，我建议里看下这个视频，推过过程比较复杂，何老师说的很详细。

如果你是明天就要上考场的考生，我建议你直接背结论，比较节约时间。



源_品职助教 · 2018年06月19日

这题考察的是罗伊第一安全比率这个额知识点，可以参考下图PPT

恬恬爱吃香菜 · 2018年06月22日

老师，请问下RL的计算逻辑是什么，这个知识点在哪个reading，好像没印象，谢谢

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NO.PZ2017092702000101 问题如下 A client holng a £2,000,000 portfolio wants to with£90,000 in one yewithout invang the principal. Accorng to Roy’s safety-first criterion, whiof the following portfolio allocations is optimal? A.Allocation B.Allocation C.Allocation B is correct. Allocation B hthe highest safety-first ratio. The thresholreturn level RL for the portfolio is £90,000/£2,000,000 = 4.5%, thus any return less thRL = 4.5% will inva the portfolio principal. To compute the allocation this safety-first optimal, selethe alternative with the highest ratio:lE[(Rp−RL)]σPAllocation A =6.5−4.58.35=0.240Allocation B =7.5−4.510.21=0.294Allocation C =8.5−4.514.34=0.279{l}\frac{E{\lbrack{(R_p-R_L)}\rbrack}}{\sigma_P}\\Allocation\text{ }A\text{ =}\frac{6.5-4.5}{8.35}=0.240\\Allocation\text{ }B\text{ =}\frac{7.5-4.5}{10.21}=0.294\\Allocation\text{ }C\text{ =}\frac{8.5-4.5}{14.34}=0.279lσP​E[(Rp​−RL​)]​Allocation A =8.356.5−4.5​=0.240Allocation B =10.217.5−4.5​=0.294Allocation C =14.348.5−4.5​=0.279 1

2023-02-15 17:02 1 · 回答

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2022-05-17 20:47 2 · 回答

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2022-04-21 15:17 1 · 回答

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2021-04-22 22:51 1 · 回答

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2020-11-04 21:09 1 · 回答