标题: 2008 CFA Level 1 - Sample 样题(3)-Q21 [打印本页]
作者: 3975 时间: 2008-11-5 16:25 标题: 2008 CFA Level 1 - Sample 样题(3)-Q21
21、An investor currently has a portfolio valued at $700,000. The investor's objective is long-term growth, but the investor will need $30,000 by the end of the year to pay her son's college tuition and another $10,000 by year-end for her annual vacation. The investor is considering four alternative portfolios:
Portfolio
Expected Return Standard Deviation of Returns
1 8% 10%
2 10% 13%
3 14% 22%
4 18% 35%
Using Roy's safety-first criterion, which of the alternative portfolios minimizes the probability that the investor's portfolio will have a value lower than $700,000 at year-end?
A. Portfolio 1.
B. Portfolio 2.
C. Portfolio 3.
D. Portfolio 4.
作者: 3975 时间: 2008-11-5 16:25
答案和详解如下:
21、Correct answer is C
"Common Probability Distributions," Richard A. Defusco, Dennis W. McLeavey, Jerald E. Pinto, and David E. Runkel
2008 Modular Level I, Vol. 1, pp. 397-400
Study Session 3-9-i
define shortfall risk, calculate the safety-first ratio, and select an optimal portfolio using Roy's safety-first criterion
The investor requires a minimum return of $40,000 / $700,000 or 5.71%. Roy's safety-first model uses the excess of each portfolio's expected return over the minimum return and divides that excess by the standard deviation for that portfolio. The highest safety-first ratio is associated with Portfolio 3:
(14% - 5.71%) / 22% = 0.3768.
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