slkly

[em01]

3975

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.