问一道题：NO.PZ2017092702000101 [ CFA I ]

问题如下：

A client holding a £2,000,000 portfolio wants to withdraw £90,000 in one year without invading the principal. According to Roy’s safety-first criterion, which of the following portfolio allocations is optimal?

选项：

Allocation A

Allocation B

Allocation C

解释：

B is correct.

Allocation B has the highest safety-first ratio. The threshold return level RL for the portfolio is £90,000/£2,000,000 = 4.5%, thus any return less than RL = 4.5% will invade the portfolio principal. To compute the allocation that is safety-first optimal, select the alternative with the highest ratio:

${l}\frac{E{\lbrack{(R_p-R_L)}\rbrack}}{\sigma_P}\\Allocation\text{ }A\text{ =}\frac{6.5-4.5}{8.35}=0.240\\Allocation\text{ }B\text{ =}\frac{7.5-4.5}{10.21}=0.294\\Allocation\text{ }C\text{ =}\frac{8.5-4.5}{14.34}=0.279$

为什么RL是用9000/20000呢?

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星星_品职助教 · 2020年11月04日

同学你好，

RL指的是 threshold return ，即投资至少需要达到的收益率。题干中描述2,000,000的投资每年必须得达到9,000的收益（这样才能不动用本金的情况下withdraw £90,000 ）。所以换算成收益率就是9,000/2,000,000.

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问一道题：NO.PZ2017092702000101 [ CFA I ]

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