If portfolio returns are normally distributed, Roy’s safety-first criterion translates into maximizing the safety-first ratio.
When we have a second portfolio, we would need to calculate its Safety-first ratio, then compare the results of the two portfolios given, and choose the one that has a more favorable ratio.
You should be able to tell which portfolio is preferable according to Roy’s safety-first criterion.
Other related topics you might be interested to explore are the Safety-first ratio and the Sharpe ratio.
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Roy’s criterion is among the topics included in the Quantitative Methods module of the CFA Level 1 Curriculum.
