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%.
可以解釋一下嗎？
SFRatio = [E(Rp)-Threshold return] / STDp
↑這是SFRatio的定義，那這題的計算過程是什麼...我看不懂 冏a
感謝~~~~~~~~~~~~~~~
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