问题如下图：
选项：
A. 
B. 
C. 
解释：
看了解答，但还是不能理解为什么因为RL=RF，且SFR最大，就说sharpe ratio也是最大的？万一存在RF’比RL还要小呢？
NO.PZ2015120601000010 问题如下 the enof the current year, investor wants to make a nation of $20,000 to charity but es not want the year-enmarket value of her portfolio to fall below $600,000. If the shortfall level is equto the risk-free rate of return anreturns from all portfolios consireare normally stribute will the portfolio thminimizes the probability of failing to achieve the investor’s objective most likely have the: highest safety-ratio?highest Sharpe ratio? A.NoYes B.YesNo C.YesYes C is correct.The portfolio with the highest safety-first ratio minimizes the probability ththe portfolio return will less ththe shortfall level (given normality). In this problem, the shortfall level is equto the risk-free rate of return anthus the highest safety-first ratio portfolio will the same the highest Sharpe ratio portfolio.这道题仍然是要从公式入手，SFR公式为 SFR=[E(Rp) – RL ] / σp 。所以可以看出，当threshol/ minimum return 也就是RL被设定为 risk free return Rf时，这个公式恰好就等于Sharpe Ratio（SR）。所以SFR等于SR是有前提的。Shortfall risk是SFR里Rp低于RL的风险(就是投资的收益率低于了最低要求的门槛收益率的风险)。所以要让shortfall risk最小，相当于让SFR最大，也就是让E(Rp)尽量的大于RL。由于这道题RL=Rf，所以也相当于让SR最大。 老师您好，我想知道这道题到底是在问什么，考察的是什么意思（前面解答的帖子我也看了，还是不明白，麻烦通俗一点）
NO.PZ2015120601000010问题如下 the enof the current year, investor wants to make a nation of $20,000 to charity but es not want the year-enmarket value of her portfolio to fall below $600,000. If the shortfall level is equto the risk-free rate of return anreturns from all portfolios consireare normally stribute will the portfolio thminimizes the probability of failing to achieve the investor’s objective most likely have the: highest safety-ratio?highest Sharpe ratio?A.NoYesB.YesNoC.YesYes C is correct.The portfolio with the highest safety-first ratio minimizes the probability ththe portfolio return will less ththe shortfall level (given normality). In this problem, the shortfall level is equto the risk-free rate of return anthus the highest safety-first ratio portfolio will the same the highest Sharpe ratio portfolio.这道题仍然是要从公式入手，SFR公式为 SFR=[E(Rp) – RL ] / σp 。所以可以看出，当threshol/ minimum return 也就是RL被设定为 risk free return Rf时，这个公式恰好就等于Sharpe Ratio（SR）。所以SFR等于SR是有前提的。Shortfall risk是SFR里Rp低于RL的风险(就是投资的收益率低于了最低要求的门槛收益率的风险)。所以要让shortfall risk最小，相当于让SFR最大，也就是让E(Rp)尽量的大于RL。由于这道题RL=Rf，所以也相当于让SR最大。 知识点都懂，不知道题干在问什么？
NO.PZ2015120601000010 问题如下 the enof the current year, investor wants to make a nation of $20,000 to charity but es not want the year-enmarket value of her portfolio to fall below $600,000. If the shortfall level is equto the risk-free rate of return anreturns from all portfolios consireare normally stribute will the portfolio thminimizes the probability of failing to achieve the investor’s objective most likely have the: highest safety-ratio?highest Sharpe ratio? A.NoYes B.YesNo C.YesYes C is correct.The portfolio with the highest safety-first ratio minimizes the probability ththe portfolio return will less ththe shortfall level (given normality). In this problem, the shortfall level is equto the risk-free rate of return anthus the highest safety-first ratio portfolio will the same the highest Sharpe ratio portfolio.这道题仍然是要从公式入手，SFR公式为 SFR=[E(Rp) – RL ] / σp 。所以可以看出，当threshol/ minimum return 也就是RL被设定为 risk free return Rf时，这个公式恰好就等于Sharpe Ratio（SR）。所以SFR等于SR是有前提的。Shortfall risk是SFR里Rp低于RL的风险(就是投资的收益率低于了最低要求的门槛收益率的风险)。所以要让shortfall risk最小，相当于让SFR最大，也就是让E(Rp)尽量的大于RL。由于这道题RL=Rf，所以也相当于让SR最大。 『……wants to make a nation of $20,000 to charity but es not want the year-enmarket value of her portfolio to fall below $600,000. 』
NO.PZ2015120601000010 问题如下 the enof the current year, investor wants to make a nation of $20,000 to charity but es not want the year-enmarket value of her portfolio to fall below $600,000. If the shortfall level is equto the risk-free rate of return anreturns from all portfolios consireare normally stribute will the portfolio thminimizes the probability of failing to achieve the investor’s objective most likely have the: highest safety-ratio?highest Sharpe ratio? A.NoYes B.YesNo C.YesYes C is correct.The portfolio with the highest safety-first ratio minimizes the probability ththe portfolio return will less ththe shortfall level (given normality). In this problem, the shortfall level is equto the risk-free rate of return anthus the highest safety-first ratio portfolio will the same the highest Sharpe ratio portfolio.这道题仍然是要从公式入手，SFR公式为 SFR=[E(Rp) – RL ] / σp 。所以可以看出，当threshol/ minimum return 也就是RL被设定为 risk free return Rf时，这个公式恰好就等于Sharpe Ratio（SR）。所以SFR等于SR是有前提的。Shortfall risk是SFR里Rp低于RL的风险(就是投资的收益率低于了最低要求的门槛收益率的风险)。所以要让shortfall risk最小，相当于让SFR最大，也就是让E(Rp)尽量的大于RL。由于这道题RL=Rf，所以也相当于让SR最大。 请问RL和Rf的区别是什么 在我看来似乎都是保证不亏损的临界值
NO.PZ2015120601000010 问题如下 the enof the current year, investor wants to make a nation of $20,000 to charity but es not want the year-enmarket value of her portfolio to fall below $600,000. If the shortfall level is equto the risk-free rate of return anreturns from all portfolios consireare normally stribute will the portfolio thminimizes the probability of failing to achieve the investor’s objective most likely have the: highest safety-ratio?highest Sharpe ratio? A.NoYes B.YesNo C.YesYes C is correct.The portfolio with the highest safety-first ratio minimizes the probability ththe portfolio return will less ththe shortfall level (given normality). In this problem, the shortfall level is equto the risk-free rate of return anthus the highest safety-first ratio portfolio will the same the highest Sharpe ratio portfolio.这道题仍然是要从公式入手，SFR公式为 SFR=[E(Rp) – RL ] / σp 。所以可以看出，当threshol/ minimum return 也就是RL被设定为 risk free return Rf时，这个公式恰好就等于Sharpe Ratio（SR）。所以SFR等于SR是有前提的。Shortfall risk是SFR里Rp低于RL的风险(就是投资的收益率低于了最低要求的门槛收益率的风险)。所以要让shortfall risk最小，相当于让SFR最大，也就是让E(Rp)尽量的大于RL。由于这道题RL=Rf，所以也相当于让SR最大。 請問因爲RL=Rf，SFR等於0? 所以是highest safety-ratio 以及highest sharp ratio?
