请教胡老师safety-first ratio与shortfall risk 胡老师

violetok

我对safety-first ratio与shortfall risk的认识不太清晰，感觉书上的文字似乎看懂了，但是仍然不会做题。

能否通过下面的例子帮忙解释一下？

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

A 90.30%   B40.30%   C 9.68%  D 49.68%