NO.PZ202206210100000201
问题如下：
Which of the portfolios provided in Exhibit 1 has the highest probability of enabling Shipman to meet his goal for the vacation home?
选项：
A.Portfolio 1
B.Portfolio 2
C.Portfolio 3
解释：
Solution
B is correct. Portfolio 2 has the highest probability of enabling Shipman to meet his goal for the vacation home. All three of the portfolios’ expected returns over the next year exceed the 6.0% (see calculations below) required return threshold to avoid reducing the portfolio. However, on a risk-adjusted basis, Portfolio 2 (probability ratio of 0.231) has a higher probability of meeting and surpassing the threshold than either Portfolio 1 (probability ratio of 0.175) or Portfolio 3 (probability ratio of 0.225).
RP = The return for the portfolio
RL = The required return threshold
σP = The standard deviation of the portfolio
Portfolio 1: (10.50% – 6.0%) ÷ 20.0% = 4.50% ÷ 20.0% = 0.225.
Portfolio 2: (9.00% – 6.0%) ÷ 13.0% = 3.00% ÷ 13.0% = 0.231. (Highest)
Portfolio 3: (7.75% – 6.0%) ÷ 10.0% = 1.75% ÷ 10.0% = 0.175.
A is incorrect. Portfolio 1 was chosen because it has the highest projected return.
C is incorrect. Portfolio 3 was chosen because it has the lowest projected standard deviation.
题中也没有说是否用Sharpe ratio
那我更应该用哪个比率呢
