[CFA level 1模拟真题]Version 1 Questions－Q12 college, objective, currently, vacation

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Q12.An investor currently has a portfolio valued at.$700,000. The investor's objective is long-term growth, but the investor will need $300,000 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           Standards Deviation of Returns

1                   8%                              10%

2                  10%                              13%

3                  140%                             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 valve lower than $ 700,000 at year-end?

A. portfolio 1

B. portfolio 2

C. portfolio 3

D. portfolio 4

 

答案和详解如下：

Q12.    C    Study Session3-9.i

The investor requires a minimum return of $ 40,000 / $ 700,000 or 5.71 percent. 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 first ratio is associated with portfolio 3:

(14%-5.71%)/22%=0.3768

[此贴子已经被作者于2007-11-7 9:44:48编辑过]

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