33. A client holding a 2,000,000 portfolio wants to withdraw 90,000 in one year without invading the

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33. A client holding a £2,000,000 portfolio wants to withdraw £90,000 in one year without invading the principal. According to Roy’s safety-first criterion, which of the following portfolio allocations is optimal?

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A. Allocation A B. Allocation B C. Allocation C

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Quantitative Investment Analysis

ISBN: 9781119743620

4th Edition

Authors: CFA Institute

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Question Posted: Oct 28, 2024 03:00 AM

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33. A client holding a 2,000,000 portfolio wants to withdraw 90,000 in one year without invading the

Question:

Allocation A Allocation B Allocation C Expected annual return 6.5% 7.5% 8.5% Standard deviation of returns 8.35% 10.21% 14.34%

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Quantitative Investment Analysis

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