标题: relating to "Shotfall risk" SFR [打印本页]

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作者: nobleplato    时间: 2016-11-14 14:33     标题: relating to "Shotfall risk" SFR

Portfolio A has a SRF% of 1.3 with a threshold return of 2%. What is the shotfall risk for a threshold return of 2%?
answer is 9.68%

P233 no.29 in the book 1 of kaplan

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