NO.PZ2015120604000169
问题如下:
An analyst gathered the following information:
If the analyst want to minimize the probability of return less than 3%, which portfolio has the best risk adjusted performance according to Safety-first criterion ?
选项:
A.Portfolio 1.
B.Portfolio 2.
C.Portfolios 3.
解释:
B is correct.
The safety-first ratio of Portfolio 2 is the highest( 7.9-3/13.5)=0.3629
所以理解为风险最低的是最佳风险,是这个意思吗