单选题 Evelyn Mastakis, CFA, manages a portfolio with $2000000 for a high-networth client. The client needs to withdraw $100000 for a charity in one year without invading principal. Mastakis gathers the following information about three possible allocations of assets.

	Allocation 1	Allocation 2	Allocation 3
Expected annual return	13%	8%	26%
Standard deviation of retums	9%	4.5%	14%

According to Roy's safety-first criterion, which of the following allocations Mastakis should choose?
A. Allocation 1.
B. Allocation 2.
C. Allocation 3.

【正确答案】 C

【答案解析】[解析] 基准收益率(threshold level return)=100000/2000000=5%，根据Roy的安全第一法则，可得：
方案1：(13%-5%)/9%=0.89
方案2：(8%-5%)/4.5%=0.67
方案3：(26%-5%)/14%=1.50
因此，选择指标最大的方案3。