单选题

An investor wants to maximize the possibility of earning at least 5% on her investments each year. Using Roy's safety-first criterion, which of the following portfolios is the most appropriate choice?

A、 Portfolio 1
B、 Portfolio 2
C、 Portfolio 3

【正确答案】 B

【答案解析】

B is correct. The portfolio with the highest SFRatio is preferred. The SFRatio is calculated by subtracting the target return from the expected return and dividing by the standard deviation.
SFRatio = [E(R_p ) - R_L ]/σ_p . For the choices given:
Portfolio 1= 0,35
Portfolio 2= 0,64
Portfolio 3 (22 - 5)/40 = 0,43
B has the highest SFRatio, so it is the most appropriate choice.