问题
单项选择题
An investor currently has a portfolio valued at $700 000. The investor’s objective is long-term growth, but the investor will need $ 30 000 by the end of the year to pay his son’s college tuition and another $10 000 by year-end for his annual vacation. The investor is considering three alternative portfolios.（）
A．portfolio
B．expected return
C．standard deviation of returns
D．
1
2
3
E．
8%
10%
14%
F．
10%
13%
22%
答案
参考答案：C
解析：
根据罗伊安全优先标准，最佳的证券组合应当使证券组合收益率降至可接受的最低水平以下的概率最小化。罗伊安全优先标准可以表述为下面的数学表达式：
由上述计算结果可知，投资组合3的SFR比率最大，从而投资组合3为最
佳投资组合，亦即该投资组合可以使投资组合在年末的价值低于700000美元的概率最小化。
[考点] 罗伊安全优先标准