问题
单项选择题
Evelyn Mastakis, CFA, manages a portfolio with $2000000 for a high-networth client. The client needs to withdraw $100000 for a charity in one year without invading principal. Mastakis gathers the following information about three possible allocations of assets.
| Allocation 1 | Allocation 2 | Allocation 3 | |
| Expected annual return | 13% | 8% | 26% |
| Standard deviation of retums | 9% | 4.5% | 14% |
A. Allocation 1.
B. Allocation 2.
C. Allocation 3.
答案
参考答案：C
解析：
基准收益率(threshold level return)=100000/2000000=5%，根据Roy的安全第一法则，可得：
方案1：(13%-5%)/9%=0.89
方案2：(8%-5%)/4.5%=0.67
方案3：(26%-5%)/14%=1.50
因此，选择指标最大的方案3。