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果儿 · 2019年12月01日

问一道题:NO.PZ2018062001000010

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?

1 个答案
已采纳答案

星星_品职助教 · 2019年12月01日

同学你好,

这里面的15,000是年末一次性取出的,用途是用于“日常”花销(daily expense)。所以不是每天取15000的意思,也就不涉及复利了~

如果是每天取15,000的描述应该是 withdraw 15,000 daily/everyday。不过也不会这么考的,加油。