开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

苏·Xu · 2021年01月20日

问一道题:NO.PZ2018062016000101 [ CFA I ]

问题如下:

Your client asking you to creat a portfolio which could provide a minimum return level of 5.2%, because he needs to pay room rental and medical fee without invading the initial capital. The following table shows three alternative allocations, then which one should be used?

选项:

A.

Allocation A

B.

Allocation B

C.

Allocation C

解释:

B is correct. The threshold return level RL for the client is 5.2%,

allocation A: (7.1-5,2)/8=0.2375

allocation B:(8.2-5.2)/9.6=0.3125

allocation C:(10-5.2)/19=0.2526

Acording to the above calculate, allocation B has the highest safety-first ratio.

请问这题知识点在什么地方?
1 个答案

星星_品职助教 · 2021年01月21日

同学你好,

本题是safety-first ratio公式的应用,SFR=[E(Rp)-Rl]/σp。

SFR是正态分布下的知识点。