NO.PZ2022123001000072
问题如下：
At the end of the current year, an investor wants tomake a donation of $20,000 to charity but does not want the year-end marketvalue of her portfolio to fall below $600,000. If the shortfall level is equalto the risk-free rate of return and returns from all portfolios considered arenormally distributed, will the portfolio that minimizes the probability offailing 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 ratiominimizes the probability that the portfolio return will be less than theshortfall level (given normality). In this problem, the shortfall level isequal to the risk-free rate of return and thus the highest safety-first ratioportfolio will be the same as the highest Sharpe ratio portfolio.
投资者想要捐赠2万美元，不希望市值低于60万，可不可以理解为投资者的原始本金也是60万，保持本金不亏，预期收益率为2/60=0.0333333； 安全第一比率SF＝（E(Rp)-Rl)÷σp Sp=(Rp-Rf)÷σp Rl=Rf 预期收益率都一样，可以理解，两者相等，怎么理解两者最大列？
