单选题 An investor with $1500000 does research about Roy's safety-first criterion and gathers the following information about three portfolios with normally distributed returns:

	Portfolio 1	Portfolio 2	Portfolio 3
Expected annual return	16%	11%	8%
Standard deviation of returns	13%	8%	4%

The investor would like to withdraw $90000 per year without invading principal. According to Roy's safety-first criterion. which of the following portfolios is most appropriate?
A. Portfolio 1.
B. Portfolio 2.
C. Portfolio 3.

【正确答案】 A

【答案解析】[解析] 计算基准回报率：$90000/$1500000=6%。SFR₁=(16%-6%)/13%=0.77；
SFR₂=(11%-6%)/8%=0.625；SFR₃=(8%-6%)/4%=0.5。应该选择安全第一法则比率最大的组合，SFR₁最大，于是应选A。