标题: Safety First Ratio [打印本页] 作者: ASSet_MANagemen 时间: 2011-7-13 16:07 标题: Safety First Ratio
In the book Roy's Safety First is defined as:
RSF = (Rp - Rmar) / (std. dev portfolio)
However, I was just doing some Schweser practice problems and they defined it in the following way in the answer:
"The safety first ratio can be calculated as the expected portfolio return minus 2 standard deviations."
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Is there a variation of the Safety First ratio that I didn't read?作者: mcmc 时间: 2011-7-13 16:07
"Expected portfolio return minus 2 standard deviation" is the worst case return from a portfolio, at 95% confidence.
It cannot to be taken as the "Ratio" itself.作者: mar350 时间: 2011-7-13 16:07
^ correct.
a lot of times in essay q's or whatnot, you'll get a question like the pension's min acceptable risk level is E(R) - 2 std. deviations and you'll just have to use that as one of the factors to knock out what portfolios may or may not be ideal for the fund if they have too much variation. but your first formula up there is the RSF ratio.作者: aidebaobao 时间: 2011-7-13 16:07
Interesting... thanks for the responses. Not sure why Schweser called that formula what it did.
