If the threshold level for the portfolio return is greater than the risk-free rate, the portfolio's safety-first ratio is:
您的回答C, 正确答案是: A
A
less than its Sharpe ratio.
B
equal to its Sharpe ratio.
C
不正确greater than its Sharpe ratio.
🐚 · 2024年11月09日
hii
这道题我做的时候从公式开始理解
sharpe ratio是等于(Rm-rf)/sigma
safety first = (rm - therohold level)/sigma
所以当threshold level < rf的时候,safety first ratio就会> Sharpe
🐚 · 2024年11月09日
hii 这道题我做的时候从公式开始理解 sharpe ratio是等于(Rm-rf)/sigma safety first = (rm - therohold level)/sigma 所以当threshold level < rf的时候,safety first ratio就会> Sharpe 所以当threshold level > rf的时候,safety first ratio就会< Sharpe