On 1 January 2004, the value of an investor’s portfolio is $ 89000. The investor plans to donate $ 4000 to charity organization and pay $ 2000 to his insurance account on 31 December of 2004, but meanwhile he does not want the year-end portfolio value to be below $ 89000. If the expected return on the existing portfolio is 12 percent with a variance of 125, the safety-first ratio that would be used to evaluate the portfolio based on Roy’ s criterion is closest to:（）
A. 0.236.
B. 0.365.
C. 0.471.
参考答案：C
解析：
Roy’s safety-first criterion states that the optimal portfolio minimizes the probability that the return of the portfolio fails below some minimum acceptable level. This minimum acceptable level is called the "threshold" level. Symbolically, Roy’s safety-first criterion can be stated as: Maximize the SFRatio where SFRatio=[E(Rp)-RL]/Sp
Where:
RP=portfolio return
RL=threshold level return
RL=6000/89000=6.74%, (12%-6.74%)/(1251/2)%=0.471