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SEVEN澤🐻 · 2024年06月20日

老师好，请问题目问的是什么

  1. CFA I
  2. Quantitative

NO.PZ2022123001000072

问题如下：

At the end of the current year, an investor wants to make a donation of $20,000 to charity but does not want the year-end market value of her portfolio to fall below $600,000. If the shortfall level is equal to the risk-free rate of return and returns from all portfolios considered are normally distributed, will the portfolio that minimizes the probability of failing to achieve the investor's objective most likely have the:

选项：

Highest safety-first ratio?
Highest Sharpe ratio?
A.
no
yes
B.
yes
no
C.
yes
yes

解释：

The portfolio with the highest safety-first ratio minimizes the probability that the portfolio return will be less than the shortfall level (given normality). In this problem, the shortfall level is equal to the risk-free rate of return and thus the highest safety-first ratio portfolio will be the same as the highest Sharpe ratio portfolio.

老师好，请问题目问的是什么

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1 个答案

品职助教_七七 · 2024年06月20日

嗨，爱思考的PZer你好：


题干要求最小化该投资者无法达成目标的概率。而当safety-first ratio最大时，无法达成目标的概率是最小的。

所以本题需要首先选择最大的safety-first ratio。

由于题干中还给出此时safety-first ratio公式中的RL就是无风险利率Rf。在这个前提下，safety-first ratio就等同于Sharpe ratio。故highest safety-first ratio就也是highest SR。

所以两个指标都选Highest。

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