作者londor (I, 萝卜)
看板CFAiafeFSA
标题请问一题CFA lv1的问题~
时间Tue Nov 18 10:42:32 2008
Portfolia A has a safety-first ratio of 1.3 with a threshold return of 2%.
What is the shortfall risk for a target return of 2%?
A. 90.30%
B. 40.30%
C. 9.68%
D. 49.68%
Ans: C, using the tables, the cdf for -1.3 is 9.68%, which is the
probability of returns less than 2%.
可以解释一下吗？
SFRatio = [E(Rp)-Threshold return] / STDp
↑这是SFRatio的定义，那这题的计算过程是什麽...我看不懂 冏a
感谢~~~~~~~~~~~~~~~
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