如何计算shortfall risk?

嗨，从没放弃的小努力你好：

先看这段最后一句话“Patel agrees to a two-standard deviation approach to monitor the shortfall risk of the portfolio”,这句话就告诉我们，我们用两倍标准差来衡量shortfall risk，再结合D问上面三段文字中的第二段的 “Third, she would like her portfolio to have only a small probability of declining more than 11% (in nominal pre-tax terms) in any one year.”，我们得到最后的意思就是：Patel 不能接受比均值低两个标准差外的return，也就是老师写的公式：μ-2σ≧11%

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！