题目
A client holding a ￡2,000,000 portfolio wants to withdraw ￡90,000 in one year without invading the principal. According to Roy’s safety-first criterion, which of the following portfolio allocations is optimal?「huixue_img/importSubject/1564548697281400832.png」
选项
A.Allocation A
B.Allocation B
C.Allocation C
答案
B
解析
B is correct. Allocation B has the highest safety-first ratio. The threshold return level RL for the portfolio is ￡90,000/￡2,000,000 = 4.5%, thus any return less than RL = 4.5% will invade the portfolio principal. To compute the allocation that is safety-first optimal, select the alternative with the highest ratio:「huixue_img/importSubject/1564548697361092608.png」 B正确。 投资组合B的安全第一比率最高。投资组合的门槛收益率为￡90,000/￡2,000,000 = 4.5%，因此任何低于RL = 4.5%的收益率都会影响到投资组合的本金。要计算安全第一的最优配置，选择比率最高的值: Allocation A = (6.5-4.5)/8.35= 0.240 Allocation B = (7.5=4.5)/10.21= 0.294 Allocation C = (8.5-4.5)/14.34= 0.279