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翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Roy's safety-first criterion ： ウィキペディア英語版 Roy's safety-first criterion Roy's safety-first criterion is a risk management technique that allows an investor to select one portfolio rather than another based on the criterion that the probability of the portfolio's return falling below a minimum desired threshold is minimized. For example, suppose there are two available investment strategies - portfolio A and portfolio B, and suppose the investor's threshold return level (the minimum return that the investor is willing to tolerate) is -1%. then the investor would choose the portfolio that would provide the maximum probability of the portfolio return being at least as high as −1%. Thus, the problem of an investor using Roy's safety criterion can be summarized symbolically as: :: where is the probability of $R\_$ (the actual return of asset i) being less than $\backslash underline$ (the minimum acceptable return). ==Normally distributed return and SFRatio== If the portfolios under consideration have normally distributed returns, Roy's safety-first criterion can be reduced to the maximization of the safety-first ratio, defined by: ::$\backslash text\_=\backslash frac)-\backslash underline\})\}\}$ where $\backslash text(R\_)$ is the expected return (the mean return) of the portfolio, $\backslash sqrt)\}$ is the standard deviation of the portfolio's return and $\backslash underline$ is the minimum acceptable return. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Roy's safety-first criterion」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.