【風(fēng)險(xiǎn)管理基礎(chǔ)&定量】FRM一級(jí)每日試題精選

♦ Sortino Ratio: 0.82

♦ Beta: 1.15

♦ Expected return: 12.75%

♦ Standard deviation: 11.9%

♦ Risk-free rate: 4.75%

What is the semi-standard deviation of the portfolio return?

A. 0.4%

B. 8.2%

C. 14.9%

D. 9.75%

Answer: D