请教shortfall risk中文怎么翻译呢？其实是一个怎么样的risk来的呢？请高手指教。。。谢谢
词汇(英文)： Shortfall risk
释义(中文)： 空头风险
说明(中文)： 是指投资组合收益降低到一定水平下的风险，也是夏普度量所关心的问题。
释义(中文)： 空头风险
说明(中文)： 是指投资组合收益降低到一定水平下的风险，也是夏普度量所关心的问题。
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第1个回答 2020-05-20
short-fall
risk,
safety-first
ratio,
and
optimal
portfolio
selection
cfa
exam
level
1,
portfolio
management
|
0
comments
shortfall
risk
shortfall
risk
refers
to
the
probability
that
a
portfolio
will
not
exceed
the
minimum
return
level
(target
return,
benchmark
return).
shortfall-risk
is
more
consistent
with
the
investors’
intuitive
perception
of
risk
in
that
it
focusses
more
on
the
real
economic
risk
of
an
investor.
on
the
other
hand,
the
standard
deviation
is
rather
a
measure
of
the
volatility
of
financial
assets.
shortfall
risk
is
also
known
as
downside
risk.
the
following
diagram
illustrates
shortfall
risk.
as
we
can
see,
it
is
the
risk
that
the
portfolio
value
will
fall
below
some
minimum
acceptable
level,
rl.
safety-first
ratio
roy’s
safety
first
criterion
states
that
the
optimal
portfolio
minimizes
the
probability
that
portfolio
return,
rp,
falls
below
rl.
according
to
this
criteria,
we
select
the
portfolio
with
the
highest
safety
first
ratio
(sfratio).
example
an
investor
has
a
minimum
threshold
of
2%.
he
has
to
make
a
choice
between
two
portfolios
a
and
b.
portfolio
a
portfolio
b
e(r)
10%
15%
s
20%
25%
according
to
roy’s
safety-first
criteria,
which
portfolio
should
he
choose?
sfratio
of
portfolio
a
=
(10-2)/20
=
0.40
sfratio
of
portfolio
b
=
(15-2)/25
=
0.52
according
to
safety-first
criteria,
we
should
select
portfolio
b.
minimum
threshold
is
0.40
standard
deviations
away
for
portfolio
a
while
it
is
0.52
standard
deviations
away
for
portfolio
b.
risk,
safety-first
ratio,
and
optimal
portfolio
selection
cfa
exam
level
1,
portfolio
management
|
0
comments
shortfall
risk
shortfall
risk
refers
to
the
probability
that
a
portfolio
will
not
exceed
the
minimum
return
level
(target
return,
benchmark
return).
shortfall-risk
is
more
consistent
with
the
investors’
intuitive
perception
of
risk
in
that
it
focusses
more
on
the
real
economic
risk
of
an
investor.
on
the
other
hand,
the
standard
deviation
is
rather
a
measure
of
the
volatility
of
financial
assets.
shortfall
risk
is
also
known
as
downside
risk.
the
following
diagram
illustrates
shortfall
risk.
as
we
can
see,
it
is
the
risk
that
the
portfolio
value
will
fall
below
some
minimum
acceptable
level,
rl.
safety-first
ratio
roy’s
safety
first
criterion
states
that
the
optimal
portfolio
minimizes
the
probability
that
portfolio
return,
rp,
falls
below
rl.
according
to
this
criteria,
we
select
the
portfolio
with
the
highest
safety
first
ratio
(sfratio).
example
an
investor
has
a
minimum
threshold
of
2%.
he
has
to
make
a
choice
between
two
portfolios
a
and
b.
portfolio
a
portfolio
b
e(r)
10%
15%
s
20%
25%
according
to
roy’s
safety-first
criteria,
which
portfolio
should
he
choose?
sfratio
of
portfolio
a
=
(10-2)/20
=
0.40
sfratio
of
portfolio
b
=
(15-2)/25
=
0.52
according
to
safety-first
criteria,
we
should
select
portfolio
b.
minimum
threshold
is
0.40
standard
deviations
away
for
portfolio
a
while
it
is
0.52
standard
deviations
away
for
portfolio
b.
