题目
On 1 January 2004, the value of an investor's portfolio is $89,000. The investor plans to donate $6,000 to charity organization and pay $2,000 to his insurance account on 31 December 2004, but meanwhile he does not want the year-end portfolio value to be below $89,000. If the expected return on the existing portfolio is 12% with a variance of 0.0125, the safety-first ratio that would be used to evaluate the portfolio based on Roy's criterion is closest to:
选项
A.0.269.
B.0.365.
C.0.471.
答案
A
解析
Roy's safety-first criterion states that the optimal portfolio minimizes the probability that the return of the portfolio falls below some minimum acceptable level. This minimum acceptable level is called the "threshold" level. Symbolically, Roy's safety-first criterion can be stated as: Maximize the SFR where Where:「huixue_img/importSubject/1564548696631283712.png」「huixue_img/importSubject/1564548696706781184.png」「huixue_img/importSubject/1564548696786472960.png」 罗伊第一安全比率指出，最优投资组合将投资组合的回报率降至某个最小可接受水平以下的概率最小化（最小化P（R<=RL）。 这个最小可接受的收益率称为“阈值”收益率（RL）。罗伊的安全第一标准可以表述为：最大化SFR，其中：