单选题- Analysts at Wellborn Advisors

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单选题-Analysts at Wellborn Advisors are considering two well-diversified portfolios based on firm forecasts of their expected returns and variance of returns. James argues that Portfolio 1 will be preferred by the client because it has a lower coefficient of variation. Samantha argues that Portfolio 2 would be preferred by the client because it has a higher Sharpe ratio. The client states that he wishes to minimize the probability that his portfolio will produce returns less than the risk-free rate. Based on this information, the client would most likelyprefer:

单选题

A.100% in Portfolio 1

B.100% in Portfolio 2

C.Some combination of Portfolios 1 and 2

我个人认为这个应该是：B

解析：A portfolio that has a higher Sharpe ratio will have a lower probability of generating returns less than the risk-free rate. With a target return equal to the risk-free rate, the safety-first ratio for a portfolio is (E [R p] - R f) / , which is also the Sharpe ratio. Portfolio 2 will have a lower probability of returns less than the risk-free rate. Because both portfolios are well diversified and Portfolio 1 has a lower Sharpe ratio than Portfolio 2, any allocation to Portfolio 1 would decrease the overall portfolios Sharpe and safety-first ratios, increasing the probability of returns less than the risk-free rate.