兹维博迪金融学第二版试题库12TB

1、chapter twelveportfolio opportunities and choicethis chapter contains 30 multiple choice questions, 10 short problems, and 5 longer problems.multiple choice1. a person's wealth portfolio consists of all ones _ and _.(a) retained earnings; credit(b) stocks; bonds(c) assets; liabilities(d) student

2、 loans; mortgagesanswer: (c)2. the principle of diversification usually applies to all _.(a) risk averse people(b) risk neutral people(c) risk tolerant people(d) b and canswer: (a)3. which of the following decisions can be considered part of portfolio selection?(a) whether to buy or rent ones house(

3、b) what kind of life insurance to purchase(c) whether to invest in stocks or bonds(d) all of the aboveanswer: (d)4. an insurance policy that guarantees a person an income for as long as one lives is termed a _.(a) lump sum payment(b) life annuity(c) perpetual annuity(d) life perpetuityanswer: (b)5.

4、the _ is the length of time between decisions to revise portfolios, whereas the _ is the total length of time for which one plans.(a) trading horizon; decision horizon(b) planning horizon; decision horizon(c) decision horizon; trading horizon(d) decision horizon; planning horizonanswer: (d)6. in mak

5、ing portfolio-selection decisions, people can in general achieve a _ expected rate of return by exposing themselves to _ risk.(a) higher; no(b) higher; greater(c) higher; lower(d) lower; greateranswer: (b)7. the _ the assets that make up the portfolio is found to be a very important factor when cons

6、idering the ability of diversification to reduce the riskiness of an investor's portfolio.(a) expected return of(b) variance of(c) correlation among(d) skewness amonganswer: (c)8. risk tolerance can be influenced by which of the following characteristics?(a) job status(b) age(c) wealth(d) all of

7、 the aboveanswer: (d)9. the _ is defined as a security that offers a perfectly predictable rate of return in terms of the unit of account and the length of the investor's decision horizon.(a) riskless asset(b) risky asset(c) 30-day bond(d) 30-day debentureanswer: (a)10. a portfolio contains one

8、risky asset and one riskless asset. the expected rate of return on the risky asset is 0.13 and the riskless rate is 0.05. the standard deviation of the risky asset is 0.2, and the standard deviation of the portfolio is 0.075. what is the expected rate of return on the portfolio using the trade-off l

9、ine?(a) 0.0490(b) 0.0800(c) 0.0980(d) 0.1175answer: (b)11. an investor has a $100,000 investment to allocate between a risky asset and a riskless asset. the equation for the trade-off line is determined to be e(r) = 0.05 + 0.09w. if the investor is requiring a portfolio composition corresponding to

10、an expected rate of return of 0.11, how much should be invested in the risky asset?(a) $18,181(b) $33,333(c) $66,667(d) $81,819answer: (c)12. an investor has a $100,000 investment to allocate between a risky asset and a riskless asset. the equation for the trade-off line is determined to be e(r) = 0

11、.07 + 0.12w. if the investor is requiring a portfolio composition corresponding to an expected rate of return of 0.17, how much should be invested in the riskless asset?(a) $16,667(b) $29,412(c) $70,588(d) $83,333answer: (a)13. an investor has a $100,000 investment to allocate between a risky asset

12、and a riskless asset. the equation for the trade-off line is determined to be e(r) = 0.07 + 0.12w. if the investor requires a portfolio composition corresponding to an expected rate of return of 0.17, what is the corresponding standard deviation of the portfolio? the standard deviation of risky asse

13、t is 0.3.(a) 0.05(b) 0.25(c) 0.49(d) 0.83answer: (b)14. the expected rate of return on a risky asset is 0.13 and the riskless rate is 0.06. the standard deviation of the risky asset is 0.25. what happens to the slope of the trade-off line if the riskless rate changes to 0.05 per year and the expecte

14、d return on the risky asset changes to 0.14?(a) no change(b) the slope of the line falls from 36% to 28%(c) the slope of the line rises from 28% to 36%(d) the slope of the line rises from 52% to 56%answer: (c)15. the formula for the trade-off line between risk and expected return is _.(a) e(r) = rf

15、+ we(rs) rf(b) e(r) = rf + e(rs) rf (c) e(r) = rf + we(rs) + rf(d) all of the aboveanswer: (a)16. in the trade-off line, the risk premium depends on _(a) the risk premium of the risky asset(b) the proportion of the portfolio invested in the risky asset(c) the risk premium of the riskless asset(d) bo

16、th a and banswer: (d)17. when one of the two assets in a portfolio is riskless, the standard deviation of its rate of return and its correlation with other asset are _.(a) greater than zero but less than positive one(b) less than zero but greater than negative one(c) zero(d) none of the aboveanswer:

17、 (c)18. the expected rate of return on a risky asset is 0.16 and the riskless rate is 0.07. the standard deviation of the risky asset is 0.2. what happens to the slope of the trade-off line if the riskless rate changes to .06 per year and the expected return on the risky asset changes to 0.15?(a) no

18、 change(b) the slope rises from 0.45 to 0.5(c) the slope falls from 0.5 to 0.45(d) the slope falls from 0.45 to 0.4answer: (a)19. a portfolio contains a riskless asset with an expected rate of return of 0.06 and a risky asset with an expected rate of return of 0.15. the standard deviation of the ris

19、ky asset is 0.25. if the expected rate of return of this portfolio is 0.10, what is its standard deviation?(a) 0.11(b) 0.14(c) 0.22(d) 0.44 answer: (a)consider a portfolio of two risky assets with the following distribution of rates of return on risky assets for questions 20 and 21. the portfolio is

20、 55% risky asset 1 and 45% risky asset 2, and the correlation coefficient is 0.4.risky asset 1risky asset 2meanstandard deviation0.160.250.090.1820. what is the mean of this portfolio?(a) 0.1215(b) 0.1285(c) 0.2005(d) 0.2185answer: (b)21. what is the standard deviation of this portfolio?(a) 0.15958(

21、b) 0.18541(c) 0.25467(d) 0.34378answer: (b)consider a portfolio of two risky assets with the following distribution of rates of return on risky assets for questions 22 and 23. the portfolio is 70% risky asset 1 and 30% risky asset 2, and the correlation coefficient is 0.3.risky asset 1risky asset 2m

22、eanstandard deviation0.120.160.200.3022. what is the mean of this portfolio?(a) 0.1716(b) 0.1600(c) 0.1414(d) 0.1320answer: (c)23. what is the standard deviation of this portfolio?(a) 0.16338(b) 0.14368(c) 0.02669(d) 0.02064answer: (a)24. in practice, the vast majority of assets are positively corre

23、lated with each other because they are all affected by _.(a) common economic factors(b) firm specific factors(c) potential lawsuits(d) managerial inefficienciesanswer: (a)25. a mutual fund company offers a safe money market fund whose current rate is 0.04. the same company also offers an equity fund

24、 with an aggressive growth objective, which historically has exhibited an expected return of 0.25 and a standard deviation of 0.30. derive the equation for the risk-reward trade-off line.(a) e(r) = 0.04 + 0.25(b) e(r) = 0.04 + 0.7(c) e(r) = 0.04 + 0.21(d) e(r) = 0.04 + 0.83answer: (b)26. the _ refer

25、s to the set of portfolios of risky assets offering the highest possible expected rate of return for any given standard deviation.(a) minimum portfolio frontier(b) effective portfolio frontier(c) expected portfolio frontier(d) efficient portfolio frontieranswer: (d)27. the optimal combination of ris

26、ky assets is found as _ between a straight line representing the riskless asset and the efficient frontier of risky assets.(a) the point of bisection(b) the point of intersection(c) the point of tangency(d) the point of highest returnanswer: (c)28. the power of diversification to reduce the riskines

27、s of an investors portfolio depends on the _ among the assets that make up the portfolio.(a) expected returns(b) variances(c) correlations(d) none of the aboveanswer: (c)29. in the context of the optimal combination of risky assets, in order to decide on the menu of asset choices to offer its custom

28、ers a financial intermediary should consider: (a) investor preferences(b) the expected returns and standard deviations of the risky assets(c) both a and b(d) neither a nor banswer: (b)30. an investor has $100,000 invested in a portfolio that is composed of a tangency portfolio and a riskless asset,

29、such that 35% is in the tangency portfolio and 65% is in the riskless asset. if the tangency portfolio is composed of 43.75% risky asset a and 56.25% risky asset b, which of the following accurately displays the amount of money invested in each component of the portfolio?(a) $35,000 in riskless asse

30、t; $43,750 in risky asset a; $56,250 in risky asset b(b) $65,000 in riskless asset; $43,750 in risky asset a; $56,250 in risky asset b(c) $35,000 in riskless asset; $28,437.50 in risky asset a; $36,562.50 in risky asset b(d) $65,000 in riskless asset; $15,312.50 in risky asset a; $19,687.50 in risky

31、 asset banswer: (d)short problems1. discuss the time horizons as they relate to portfolio planning. answer:in formulating a plan for portfolio selection you begin by determining our goals and time horizons. the planning horizon is the total length of time for which one plans. the longest time horizo

32、n would typically correspond to the retirement goal and would be the balance of ones lifetime. there are also shorter planning horizons that correspond to specific financial goals, such as paying for a childs education. the decision horizon is the length of time between decisions to revise the portf

33、olio. the length of the decision horizon is controlled by the individual, within certain limits. the shortest possible decision horizon is the trading horizon, defined as the minimum time interval over which investors can revise their portfolios.2. what is the riskless asset if the unit of account i

34、s the japanese yen and the length of the decision horizon is a month?answer:the japanese yen one-month zero-coupon bond.3. describe the steps involved in the portfolio optimization process.answer:(1)find the optimal combination of risky assets.(2)mix this optimal risk-asset portfolio with the riskle

35、ss asset.4. who would you expect to be more risk tolerant, a young investor or an elderly one? an investor or moderate means or a wealthy one? answer:a young person with a secure job can look forward to a long period of earning a salary that will probably increase with the rate of inflation. for her

36、, investment in stocks would not be as risky as for an older person who needs to ensure a steady source of income for the rest of his life. a wealthier individual may be willing to take more risks (than a poorer person) because his capacity to take bigger gambles and lose is higher. that is, he may

37、still be quite wealthy after his losses. 5. an investor has a $100,000 investment to allocate between a risky asset and a riskless asset. the equation for the trade-off line is determined to be e(r) = 0.05 + 0.07w. if the investor requires a portfolio composition corresponding to an expected rate of

38、 return of 0.10, how much should be invested in the risky asset? in the riskless asset?answer:e(r) = 0.05 + 0.07w0.10= 0.05 + 0.07w0.05= 0.07w0.71429= wthe investor should invest $71,429 in the risky asset and $28,571 in the riskless asset.6. an investor has $75,000 to allocate between a risky asset

39、 and a riskless asset. the equation for the trade-off line is determined to be e(r) = 0.06 + 0.1w. if the investor requires a portfolio composition with an expected rate of return of 0.12, how much should be invested in each asset?answer:e(r) = 0.06 + 0.1w0.12 = 0.06 + 0.1w0.06 = 0.1w0.6 = w0.6($75,

40、000) = $45,000 should be invested in the risky asset0.4($75,000 = $30,000 should be invested in the riskless assetthere would have to be 16 million uncorrelated drugs in the portfolio.7. consider the portfolio of two risky assets with the following distribution of rates of return on risk assets.risk

41、y asset 1risky asset 2meanstandard deviation0.170.230.100.19what are the mean and standard deviation of a portfolio that is 60% risky asset 1 and 40% risky asset 2 if the correlation coefficient is 0.3?answer:e(r)= we(r1) + (1 - w)e(r2)= 0.6(0.17) + 0.4(0.10)= 0.142the mean is 14.2%2= w212 + (1 - w)

42、222 + 2w(1-w)1,212= (0.6)2(0.23)2 + (0.4)2(0.19)2 + 2(0.6)(0.4)(0.3)(0.23)(0.19)2= 0.03111= 0.17639the standard deviation is 17.6%8. an investor has a $150,000 investment to allocate between a risky asset and a riskless asset. the expected rate of return for the risky asset is 0.18 and the expected

43、rate of return for the riskless asset is 0.07. the standard deviation of the risky asset is 0.2. if the investor requires a portfolio composition corresponding to an expected rate of return of 0.15, what is the standard deviation of the portfolio?answer:use the trade-off line to find w:e(r)= rf + we

44、(rs) rf)0.15 = 0.07 + w0.18 0.070.15= 0.07 + 0.11w0.08= 0.11w0.7272= wso the standard deviation of the portfolio is 0.2(0.7272) = 0.1455.9. discuss how to create efficient portfolios when the raw materials are two risky assets and a riskless asset.answer:let us now summarize what we have learned abo

45、ut creating efficient portfolios when the raw materials are two risky assets and a riskless asset. there is a single portfolio of the two risky assets that it is best to combine with the riskless asset. we call this particular risky portfolio the optimal combination of risky assets. the preferred po

46、rtfolio is always some combination of this tangency portfolio and the riskless asset10. the expected rate of return on a risky asset is 0.19 and the riskless rate is 0.05. the standard deviation of the risky asset is 0.3. a. what happens to the slope of the trade-off line if the riskless rate decrea

47、ses to 0.04 and the expected return on the risky asset increases to 0.2?b. what happens to the slope of the trade-off line if the riskless rate increases to 0.06 and the expected return on the risky assets increases to 0.2?answer:a. slope = (e(rs) rf)/sslope of original scenario: (0.19 0.05)/0.3 = 0

48、.14/0.3 = 0.467slope in revised scenario: (0.20 0.04)/0.3 = 0.16/0.3 = 0.533the slope rises from 0.467 to 0.533.b. slope of original scenario: (0.19 0.05)/0.3 = 0.14/0.3 = 0.467slope in revised scenario: (0.20 0.06)/0.3 = 0.14/0.3 = 0.467the slope is unchanged.longer problems1. a mutual fund adverti

49、ses a money market fund whose current rate is 0.06, and is deemed “safe.” in addition, the mutual fund also offers an equity fund that is considered very aggressive in terms of growth. historical expected returns are 0.30 with a standard deviation of 0.25.(a)derive the risk-reward trade-off line.(b)

50、for each unit of extra risk that an investor bears, how much extra expected return will result?(c)what allocation should be placed in the money market fund if an investor desires an expected return of 18%?answer:(a)e(r)= rf + we(rs) rf)= 0.06 + w0.3 0.06= 0.06 +0 .24w= 0.06 +0 .24(/0.25)= 0.06 + 0.9

51、6(b)for each unit of extra risk that an investor bears, the extra expected return will be 0.96 (the slope of the risk-reward line)(c)0.18= 0.06 + w0.30 - 0.060.18= 0.06 + 0.24w0.12= 0.24w0.5= winvest 50% in the money market fund and 50% in the equity fund.2. suppose you are the manager of a mutual f

52、und and a client comes to you wanting to invest 65% of a portfolio into your mutual fund and the remaining 35% into a “safe” money market fund. the mutual fund that you manage has an expected rate of return of 0.18 and a standard deviation of 0.25. the money market fund rate is 0.065.(a)if your clie

53、nt invests as described above, what is the expected return and standard deviation of his portfolio?(b)the fund that you manage has the following stocks and their corresponding proportions:stock x: 30%, stock y: 35%, and stock z: 35%if we include the position in the riskless asset, what are the inves

54、tment proportions of your clients portfolio?answer:(a)e(r)= rf + we(rs) rf)= 0.065 +0 .650.18 0.065= 0.065 + 0.650.115= 0.13975= 0.65 (0.25)= 0.1625(b)stock x: (0.65 x 30%)= 19.50%stock y: (0.65 x 35%)= 22.75%stock z: (0.65 x 35%)= 22.75%riskless asset:= 35.00%total= 100.00%3. if we have many risky

55、assets to choose from, how do we determine the optimal combination of risky assets?answer:when there are many risky assets we use a two-step method of portfolio construction similar to the one used in the previous section. in the first step, we consider portfolios constructed from the risky assets o