问题
单项选择题
On 1 January 2006, an institutional investor’s portfolio is valued at $10000000. The investor wants to make a donation to charity on 31 December 2006, but does not want the year-end portfolio value to fall below $10000000. The expected annual return on the investor’s existing portfolio is 10 percent with a variance of 144. If the investor wants a safety-first ratio of at least 0.5, the maximum amount the investor should plan to donate is closest to:
A．
| A. $400000. |
B．
| B. $500000. |
C．
| C. $ 600000. |
答案
参考答案：A
解析：
(10%-RL)/12%=0.5, RL=4%, 10000000×4%=400000