YL2023-01-22 22:06:05

Module 4-官网习题-第52题-答案中所写的：The portfolio with the highest safety-first ratio minimizes the probability that the investor’s portfolio will have a value lower than $700,000 at year end.但是教材P264所写的是，Roy’s safety-first criterion (Roy 1952) states that the optimal portfolio minimizes the probability that portfolio return, RP, will fall below the threshold level, RL. 这道题中的$700,000是threshold level RL? 另外，教材P264-Example 7上方最后一段的最后一句话，所写的：When we evaluate portfolios using the Sharpe ratio, the portfolio with the highest Sharpe ratio is the one that minimizes the probability that portfolio return will be less than the risk-free rate (given a normality assumption).这道题中的$700,000是the risk free rate(given a normality assumption)? 请问最优的Roy's Safety-First Ratio 将使什么的概率（低于什么的值）最小化？