开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

SEVEN澤🐻 · 2024年06月20日

老师好，请问题目问的是什么

  1. CFA I
  2. Quantitative

NO.PZ2022123001000072

问题如下：

At the end of the current year, an investor wants to make a donation of $20,000 to charity but does not want the year-end market value of her portfolio to fall below $600,000. If the shortfall level is equal to the risk-free rate of return and returns from all portfolios considered are normally distributed, will the portfolio that minimizes the probability of failing to achieve the investor's objective most likely have the:

选项：

Highest safety-first ratio?
Highest Sharpe ratio?
A.
no
yes
B.
yes
no
C.
yes
yes

解释：

The portfolio with the highest safety-first ratio minimizes the probability that the portfolio return will be less than the shortfall level (given normality). In this problem, the shortfall level is equal to the risk-free rate of return and thus the highest safety-first ratio portfolio will be the same as the highest Sharpe ratio portfolio.

老师好，请问题目问的是什么

添加评论
1 个答案

品职助教_七七 · 2024年06月20日

嗨，爱思考的PZer你好：


题干要求最小化该投资者无法达成目标的概率。而当safety-first ratio最大时，无法达成目标的概率是最小的。

所以本题需要首先选择最大的safety-first ratio。

由于题干中还给出此时safety-first ratio公式中的RL就是无风险利率Rf。在这个前提下，safety-first ratio就等同于Sharpe ratio。故highest safety-first ratio就也是highest SR。

所以两个指标都选Highest。

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

  • 1

    回答

  • 0

    关注

  • 147

    浏览
相关问题

NO.PZ2022123001000072问题如下 the enof the current year, investor wants tomake a nation of $20,000 to charity but es not want the year-enmarketvalue of her portfolio to fall below $600,000. If the shortfall level is equalto the risk-free rate of return anreturns from all portfolios consirearenormally stribute will the portfolio thminimizes the probability offailing to achieve the investor's objective most likely have the: Highest safety-first ratio?Highest Sharpe ratio?A.noyesB.yesnoC.yesyes The portfolio with the highest safety-first ratiominimizes the probability ththe portfolio return will less ththeshortfall level (given normality). In this problem, the shortfall level isequto the risk-free rate of return anthus the highest safety-first ratioportfolio will the same the highest Sharpe ratio portfolio. 投资者想要捐赠2万美元，不希望市值低于60万，可不可以理解为投资者的原始本金也是60万，保持本金不亏，预期收益率为2/60=0.0333333；安全第一比率SF＝（E(Rp)-Rl)÷σpSp=(Rp-Rf)÷σpRl=Rf预期收益率都一样，可以理解，两者相等，怎么理解两者最大列？

2024-06-20 10:22 1 · 回答

NO.PZ2022123001000072 问题如下 the enof the current year, investor wants tomake a nation of $20,000 to charity but es not want the year-enmarketvalue of her portfolio to fall below $600,000. If the shortfall level is equalto the risk-free rate of return anreturns from all portfolios consirearenormally stribute will the portfolio thminimizes the probability offailing to achieve the investor's objective most likely have the: Highest safety-first ratio?Highest Sharpe ratio? A.noyes B.yesno C.yesyes The portfolio with the highest safety-first ratiominimizes the probability ththe portfolio return will less ththeshortfall level (given normality). In this problem, the shortfall level isequto the risk-free rate of return anthus the highest safety-first ratioportfolio will the same the highest Sharpe ratio portfolio.

2023-04-25 09:09 1 · 回答