问题
单项选择题
The mean and standard deviation of four portfolios are listed below in percentage terms. Using Roy’s safety- first criteria and a threshold of 4 percent, select the mean and standard deviation that corresponds to the optimal portfolio. Mean Standard Deviation（）①A. 14 20 ②B. 8 10 ③C. 19 28
A. ①
B. ②
C. ③
答案
参考答案：C
解析：
According to the safety -first criterion, the optimal portfolio is the one that has the largest value for the SFRatio = (mean - threshold)/Standard Deviation. A mean = 19 and Standard Deviation =28 yields the largest SFRatio from the choices given: (19-4)/28=0.5357.
