NO.PZ202206210100000404
问题如下：
The asset allocation choice in Exhibit 2 that has the highest probability of meeting the committee’s desired return criteria is allocation:选项：
A.3 B.1 C.2解释：
SolutionC is correct. The allocation that has the highest probability of meeting the target return of 5% annually generates the highest value for the ratio: (expected annual return – target return)/return volatility, which is Ratio 2 in Exhibit 2. Allocation 2 has the highest value for this ratio.
B is incorrect. Allocation 2 has the highest value for Ratio 2. Allocation 1 has the highest Sharpe Ratio.
A is incorrect. Allocation 2 has the highest value for this Ratio 2. Allocation 3 has the highest Treynor Measure.
助教你好：
助教在其他问题下的回复说这题的ratio 2是information ratio。
information ratio的分母是σ (Rp-Rb)；而本题表格说σ is annual volatility，annual volatility应该是σ (Rp)吧？
如果是σ (Rp)，那ratio 2应该是safety-first ratio吧？
