标题: Safety-First Ratio; Shortfall Risk [打印本页]

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作者: tang8885    时间: 2014-10-1 15:02     标题: Safety-First Ratio; Shortfall Risk

Portfolio A has a safety-first ratio of 1.3 with a threshold return of 2%. What is the shortfall risk for a threshold return of 2%?

A.9.68%
B. 40.30%
C. 90.30%

完全不明白要怎么算。。。求助。。。

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作者: adjani.zhang    时间: 2014-10-2 17:18

本帖最后由 adjani.zhang 于 2014-10-2 17:19 编辑

A.9.68%

baidu 查询得到 The safety-first ratio is calculated as:
     E(r) - Threshold Return
=   -------------------------------
     Standard Deviation

题意是：E(r) = 2% + 1.3σ，E(r)值<2%的概率是多少？

我只解释到这里，不多说了如何查Z table

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