问题如下:
Tim has an investment portfolio of $500,000 at the beginning of 2016. At the end of that year, Tim wants to withdraw $15,000 for daily expenses but maintain the original value of the portfolio. Assume that return of the portfolio is 5% and normally distributed, risk-free rate is 2% and standard deviation of the return is 16%. The Sharpe ratio and Safety-first ratio are:
选项:
A.Sharpe ratio: 12.5%, Safety-first ratio:18.75%
B.Sharpe ratio: 18.75%, Safety-first ratio: 31.25%
C.Sharpe ratio: 18.75%, Safety-first ratio: 12.5%
解释:
C is correct.
Sharpe ratio =(Rp-Rf)/ σ=(5%-2%)/16%=18.75%.
15,000/500,000=3%. For any return lower than 3%, Tim has to withdraw from the orginial value of the portfolio. Therefore,
Safety-first ratio= (Rp-RL)/ σ=(5%-3%)/16%=12.5%
每天収益1500应该用复利算么?