請問一題CFA lv1的問題~ - 金融分析師

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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