金融工程相关习题及答案

1、WordWord资料WordWord资料WordWord文档资料Chapter1MarketOrganizationandStructurePRACTICEPROBLEMSFORCHAPTER1AkihikoTakabehasdesignedasophisticatedforecastingmodel,whichpredictsthemovementsintheoverallstockmarket,inthehopeofearningareturninexcessofafairreturnfortheriskinvolved.Heusesthepredictionsofthemodeltode

2、cidewhethertobuy,hold,orsellthesharesofanindexfundthataimstoreplicatethemovementsofthestockmarket.Takabewouldbestbecharacterizedasa(n):rmation-motivatedtrader.JamesBeachisyoungandhassubstantialwealth.Asignificantproportionofhisstockportfolioconsistsofemergingmarketstocksthatofferrelativelyhighexpect

3、edreturnsatthecostofrelativelyhighrisk.Beachbelievesthatinvestmentinemergingmarketstocksisappropriateforhimgivenhisabilityandwillingnesstotakerisk.WhichofthefollowinglabelsmostappropriatelydescribesBeach?Hedger.Investor.Information-motivatedtrader.LisaSmithownsamanufacturingcompanyintheUnitedStates.

4、HercompanyhassoldgoodstoacustomerinBrazilandwillbepaidinBrazilianreal(BRL)inthreemonths.SmithisconcernedaboutthepossibilityoftheBRLdepreciatingmorethanexpectedagainsttheU.S.dollar(USD).Therefore,sheisplanningtosellthree-monthfuturescontractsontheBRL.ThesellerofsuchcontractsgenerallygainswhentheBRLde

5、preciatesagainsttheUSD.IfSmithweretosellthesefuturecontractss,hewouldmostappropriatelybedescribedasa(n):rmation-motivatedtrader.Whichofthefollowingisnotafunctionofthefinancialsystem?Toregulatearbitrageursprofits(excessreturns).Tohelptheeconomyachieveallocationalefficiency.Tofacilitateborrowingbybusi

6、nessestofundcurrentoperations.Aninvestorprimarilyinvestsinstocksofpubliclytradedcompanies.Theinvestorwantstoincreasethediversificationofhisportfolio.Afriendhasrecommendedinvestinginrealestateproperties.Thepurchaseofrealestatewouldbestbecharacterizedasatransactioninthe:derivativeinvestmentmarket.trad

7、itionalinvestmentmarket.alternativeinvestmentmarket.Ahedgefundholdsitsexcesscashin90-daycommercialpaperandnegotiablecertificatesofdeposit.Thecashmanagementpolicyofthehedgefundisbestdescribedasusing:ermediate-termdebtinstruments.Anoilandgasexplorationandproductioncompanyannouncesthatitisoffering30mil

8、lionsharestothepublicat$45.50each.Thistransactionismostlikelyasaleinthe:futuresmarket.primarymarket.secondarymarket.Consideramutualfundthatinvestsprimarilyinfixed-incomesecuritiesthathavebeendeterminedtobeappropriategiventhefundsinvestmentgoal.Whichofthefollowingisleastlikelytobeapartofthisfund?Warr

9、ants.Commercialpaper.Repurchaseagreements.Afriendhasaskedyoutoexplainthedifferencesbetweenopen-endandclosed-endfunds.Whichofthefollowingwillyoumostlikelyincludeinyourexplanation?Closed-endfundsareunavailabletonewinvestors.Wheninvestorssellthesharesofanopen-endfund,theycanreceiveadiscountorapremiumto

10、thefundsnetassetvalue.Whensellingshares,investorsinanopen-endfundsellthesharesbacktothefundwhereasinvestorsinaclosed-endfundsellthesharestoothersinthesecondarymarket.Theusefulnessofaforwardcontractislimitedbysomeproblems.Whichofthefollowingismostlikelyoneofthoseproblems?Onceyouhaveenteredintoaforwar

11、dcontract,itisdifficulttoexitfromthecontract.Enteringintoaforwardcontractrequiresthelongpartytodepositaninitialamountwiththeshortparty.Ifthepriceoftheunderlyingassetmovesadverselyfromtheperspectiveofthelongparty,periodicpaymentsmustbemadetotheshortparty.TonyHarrisisplanningtostarttradingincommoditie

12、s.Hehasheardabouttheuseoffuturescontractsoncommoditiesandislearningmoreaboutthem.WhichofthefollowingisHarrisleastlikelytofindassociatedwithafuturescontract?Existenceofcounterpartyrisk.Standardizedcontractualterms.Paymentofaninitialmargintoenterintoacontract.AGermancompanythatexportsmachineryisexpect

13、ingtoreceive$10millioninthreemonths.Thefirmconvertsallitsforeigncurrencyreceiptsintoeuros.Thechieffinancialofficerofthecompanywishestolockinaminimumfixedrateforconvertingthe$10milliontoeurobutalsowantstokeeptheflexibilitytousethefuturespotrateifitisfavorable.Whathedgingtransactionismostlikelytoachie

14、vethisobjective?Sellingdollarsforward.Buyingputoptionsonthedollar.Sellingfuturescontractsondollars.Abookpublisherrequiressubstantialquantitiesofpaper.Thepublisherandapaperproducerhaveenteredintoanagreementforthepublishertobuyandtheproducertosupplyagivenquantityofpaperfourmonthslateratapriceagreedupo

15、ntoday.Thisagreementisa:modityswap.TheStandard&PoorsDepositaryReceipts(SPDRs)isaninvestmentthattrackstheS&P500stockmarketindex.PurchasesandsalesofSPDRsduringanaveragetradingdayarebestdescribedas:primarymarkettransactionsinapooledinvestment.secondarymarkettransactionsinapooledinvestment.secondarymark

16、ettransactionsinanactivelymanagedinvestment.TheStandard&PoorsDepositaryReceipts(SPDRs)isanexchange-tradedfundintheUnitedStatesthatisdesignedtotracktheS&P500stockmarketindex.ThecurrentpriceofashareofSPDRsis$113.AtraderhasjustboughtcalloptionsonsharesofSPDRsforapremiumof$3pershare.Thecalloptionsexpire

17、infivemonthsandhaveanexercisepriceof$120pershare.Ontheexpirationdate,thetraderwillexercisethecalloptions(ignoreanytransactioncosts)ifandonlyifthesharesofSPDRsaretrading:below$120pershare.above$120pershare.above$123pershare.Whichofthefollowingstatementsaboutexchange-tradedfundsismostcorrect?Exchange-

18、tradedfundsarenotbackedbyanyassets.Theinvestmentcompaniesthatcreateexchange-tradedfundsarefinancialintermediaries.Thetransactioncostsoftradingsharesofexchange-tradedfundsaresubstantiallygreaterthanthecombinedcostsoftradingtheunderlyingassetsofthefund.JasonSchmidtworksforahedgefundandhespecializesinf

19、indingprofitopportunitiesthataretheresultofinefficienciesinthemarketforconvertiblebondsbondsthatcanbeconvertedintoapredeterminedamountofacompanyscommonstock.Schmidttriestofindconvertiblesthatarepricedinefficientlyrelativetotheunderlyingstock.Thetradingstrategyinvolvesthesimultaneouspurchaseoftheconv

20、ertiblebondandtheshortsaleoftheunderlyingcommonstock.Theaboveprocesscouldbestbedescribedas:hedging.arbitrage.securitization.Pierre-LouisRobertjustpurchasedacalloptiononsharesoftheMichelinGroup.AfewdaysagohewroteaputoptiononMichelinshares.Thecallandputoptionshavethesameexerciseprice,expirationdate,an

21、dnumberofsharesunderlying.Consideringbothpositions,RobertsexposuretotheriskofthestockoftheMichelinGroupis:long.short.neutral.Anonlinebrokeragefirmhassettheminimummarginrequirementat55percent.Whatisthemaximumleverageratioassociatedwithapositionfinancedbythisminimummarginrequirement?2.2.22.Atraderhasp

22、urchased200sharesofanon-dividend-payingfirmonmarginatapriceof$50pershare.Theleverageratiois2.5.Sixmonthslater,thetradersellsthesesharesat$60pershare.Ignoringtheinterestpaidontheborrowedamountandthetransactioncosts,whatwasthereturntothetraderduringthesix-monthperiod?20percent.33.33percent.50percent.J

23、asonWilliamspurchased500sharesofacompanyat$32pershare.Thestockwasboughton75percentmargin.Onemonthlater,Williamshadtopayinterestontheamountborrowedatarateof2percentpermonth.Atthattime,Williamsreceivedadividendof$0.50pershare.Immediatelyafterthathesoldthesharesat$28pershare.Hepaidcommissionsof$10onthe

24、purchaseand$10onthesaleofthestock.Whatwastherateofreturnonthisinvestmentfortheone-monthperiod?12.5percent.-15.4percent.-50.1percent.CarolineRogersbelievesthepriceofGammaCorp.stockwillgodowninthenearfuture.Shehasdecidedtosellshort200sharesofGammaCorp.atthecurrentmarketpriceof47.Theinitialmarginrequir

25、ementis40percent.WhichofthefollowingisanappropriatestatementregardingthemarginrequirementthatRogersissubjecttoonthisshortsale?Shewillneedtocontribute3,760asmargin.Shewillneedtocontribute5,640asmargin.Shewillonlyneedtoleavetheproceedsfromtheshortsaleasdepositanddoesnotneedtocontributeanyadditionalfun

26、ds.Thecurrentpriceofastockis$25pershare.Youhave$10,000toinvest.Youborrowanadditional$10,000fromyourbrokerandinvest$20,000inthestock.Ifthemaintenancemarginis30percent,atwhatpricewillamargincallfirstoccur?$9.62.$17.86.$19.71.Youhaveplacedasellmarket-on-openorderamarketorderthatwouldautomaticallybesubm

27、ittedatthemarketsopentomorrowandwouldfillatthemarketprice.Yourinstruction,tosellthesharesatthemarketopen,isa(n):executioninstruction.validityinstruction.clearinginstruction.Amarkethasthefollowinglimitordersstandingonitsbookforaparticularstock.Thebidandasksizesarenumberofsharesinhundreds.BldSizelamit

28、Price()OfferSize59.731249,fi469M10.02510,10121044Whatisthemarket?9.73bid,offeredat1bid,offeredat5bid,offeredat10.02.Considerthefollowinglimitorderbookforastock.ThebidandasksizesarenumberofsharesinhundredsBldSizeLimitPricemOfferSize3122.&0S123.0Q412&35123.&07124.106J24.507Anewbuylimitorderisplacedfor

29、300sharesat123.40.Thislimitorderissaidto:takethemarket.makethemarket.makeanewmarket.Currently,themarketinastockis$54.62bid,offeredat$54.71.Anewselllimitorderisplacedat$54.62.Thislimitorderissaidto:takethemarket.makethemarket.makeanewmarket.JimWhitehassoldshort100sharesofSuperStoresatapriceof$42persh

30、are.Hehasalsosimultaneouslyplacedagood-till-cancelled,stop50,limit55buyorder.AssumethatifthestopconditionspecifiedbyWhiteissatisfiedandtheorderbecomesvalid,itwillgetexecuted.Excludingtransactioncosts,whatisthemaximumpossiblelossthatWhitecanhave?$800.$1,300.Unlimited.Youownsharesofacompanythatarecurr

31、entlytradingat$30ashare.Yourtechnicalanalysisofthesharesindicatesasupportlevelof$27.50.Thatis,ifthepriceofthesharesisgoingdown,itismorelikelytostayabovethislevelratherthanfallbelowit.Ifthepricedoesfallbelowthislevel,however,youbelievethatthepricemaycontinuetodecline.Youhavenoimmediateintenttosellthe

32、sharesbutareconcernedaboutthepossibilityofahugelossifthesharepricedeclinesbelowthesupportlevel.Whichofthefollowingtypesoforderscouldyouplacetomostappropriatelyaddressyourconcern?Shortsellorder.Good-till-cancelledstopsellorder.Good-till-cancelledstopbuyorder.Inanunderwrittenoffering,theriskthattheent

33、ireissuemaynotbesoldtothepublicatthestipulatedofferingpriceisbornebythe:issuer.investmentbank.buyersofthepartoftheissuethatissold.31.ABritishcompanylistedontheAlternativeInvestmentMarketoftheLondonStockExchange,announcedthesaleof6,686,665sharestoasmallgroupofqualifiedinvestorsat0.025pershare.Whichof

34、thefollowingbestdescribesthissale?Shelfregistration.Privateplacement.Initialpublicoffering.AGermanpubliclytradedcompany,toraisenewcapital,gaveitsexistingshareholderstheopportunitytosubscribefornewshares.Theexistingshareholderscouldpurchasetwonewsharesatasubscriptionpriceof4.58pershareforevery15share

35、sheld.Thisisanexampleofa(n):rightsoffering.privateplacement.initialpublicoffering.Consideranorder-drivensystemthatallowshiddenorders.Thefollowingfoursellordersonaparticularstockarecurrentlyinthesystemslimitorderbook.Basedonthecommonlyusedorderprecedencehierarchy,whichoftheseorderswillhaveprecedenceo

36、verothers?OrderTimeofArrivalLimitPricemSpecialInstructton(Ifany)I%52：010.33LI9:52:0820.29HiddetiorderEli9:53:0420.29IV9:53:4920.29OrderI(timeofarrivalof9:52:01).OrderII(timeofarrivalof9:52:08).OrderIII(timeofarrivalof9:53:04)ZhenhuLihassubmittedanimmediate-or-cancelbuyorderfor500sharesofacompanyatal

37、imitpriceofCNY74.25.Therearetwoselllimitordersstandinginthatstocksorderbookatthattime.Oneisfor300sharesatalimitpriceofCNY74.30andtheotherisfor400sharesatalimitpriceofCNY74.35.HowmanysharesinLisorderwouldgetcancelled?None(theorderwouldremainopenbutunfilled).200(300shareswouldgetfilled).500(therewould

38、benofill).Amarkethasthefollowinglimitordersstandingonitsbookforaparticularstock:BuyerBidSize(MumberorShares)LimitPrice()OffrSize(NumberofShares)5llrKeith1,00019.70Paul20019MAnn40019Lfi?Mary30020.02iO.03s(x20.1L1300Margaiet20J6400JeffIansubmitsadayordertosell1,000shares,limit19.83.Assumingthatnomoreb

39、uyordersaresubmittedonthatdayafterIansubmitshisorder,whatwouldbeIansaveragetradeprice?2.20.05.Afinancialanalystisexaminingwhetheracountrysfinancialmarketiswellfunctioning.Shefindsthatthetransactioncostsinthismarketarelowandtradingvolumesarehigh.Sheconcludesthatthemarketisquiteliquid.Insuch

40、amarket:traderswillfindithardtomakeuseoftheirinformation.traderswillfinditeasytotradeandtheirtradingwillmakethemarketlessinformationallyefficient.traderswillfinditeasytotradeandtheirtradingwillmakethemarketmoreinformationallyefficient.Thegovernmentofacountrywhosefinancialmarketsareinanearlystageofde

41、velopmenthashiredyouasaconsultantonfinancialmarketregulation.Yourfirsttaskistopreparealistoftheobjectivesofmarketregulation.Whichofthefollowingisleastlikelytobeincludedinthislistofobjectives?Minimizeagencyproblemsinthefinancialmarkets.Ensurethatfinancialmarketsarefairandorderly.Ensurethatinvestorsin

42、thestockmarketachievearateofreturnthatisatleastequaltotherisk-freerateofreturn.Chapter2PortfolioManagement:AnOverviewPRACTICEPROBLEMSFORCHAPTER2Investorsshoulduseaportfolioapproachto:reducerisk.monitorrisk.eliminaterisk.Whichofthefollowingisthebestreasonforaninvestortobeconcernedwiththecompositionof

43、aportfolio?Riskreduction.Downsideriskprotection.Avoidanceofinvestmentdisasters.Withrespecttotheformationofportfolios,whichofthefollowingstatementsismostaccurate?Portfoliosaffectrisklessthanreturns.Portfoliosaffectriskmorethanreturns.Portfoliosaffectriskandreturnsequally.Whichofthefollowinginstitutio

44、nswillonaveragehavethegreatestneedforliquidity?Banks.Investmentcompanies.Non-lifeinsurancecompanies.Whichofthefollowinginstitutionalinvestorswillmostlikelyhavethelongesttimehorizon?Definedbenefitplan.Universityendowment.Lifeinsurancecompany.Adefinedbenefitplanwithalargenumberofretireesislikelytohave

45、ahighneedforincome.liquidity.insurance.Whichofthefollowinginstitutionalinvestorsismostlikelytomanageinvestmentsinmutualfunds?Insurancecompanies.Investmentcompanies.Universityendowments.Withrespecttotheportfoliomanagementprocess,theassetallocationisdeterminedinthe:planningstep.feedbackstep.executions

46、tepTheplanningstepoftheportfoliomanagementprocessisleastlikelytoincludeanassessmentoftheclientssecurities.constraints.risktolerance.Withrespecttotheportfoliomanagementprocess,therebalancingofaportfolioscompositionismostlikelytooccurinthe:planningstep.feedbackstep.executionstep.Ananalystgathersthefol

47、lowinginformationfortheassetallocationsofthreeportfolios:PortfolioFixdIncome(%)Equity(%)轴1亡Fft罩怕总AjS年匕(%)25W1526025153156025Whichoftheportfoliosismostlikelyappropriateforaclientwhohasahighdegreeofrisktolerance?Portfolio1.Portfolio2.Portfolio3.Whichofthefollowinginvestmentproductsismostlikelytotradea

48、ttheirnetassetvaluepershare?Exchangetradedfunds.Open-endmutualfunds.Closed-endmutualfunds.Whichofthefollowingfinancialproductsisleastlikelytohaveacapitalgaindistribution?Exchangetradedfunds.Open-endmutualfunds.Closed-endmutualfunds.Whichofthefollowingformsofpooledinvestmentsissubjecttotheleastamount

49、ofregulation?Hedgefunds.Exchangetradedfunds.Closed-endmutualfunds.Whichofthefollowingpooledinvestmentsismostlikelycharacterizedbyafewlargeinvestments?Hedgefunds.Buyoutfunds.Venturecapitalfunds.WordWord资料WordWord资料B.0.55%.B.0.55%.Word资料Chapter3PortfolioRiskandReturn:PartIPRACTICEPROBLEMSFORCHAPTER3An

50、investorpurchased100sharesofastockfor$34.50pershareatthebeginningofthequarter.Iftheinvestorsoldallofthesharesfor$30.50pershareafterreceivinga$51.55dividendpaymentattheendofthequarter,theholdingperiodreturnisclosestto:-13.0%.-11.6%.-10.1%.Ananalystobtainsthefollowingannualratesofreturnforamutualfund:

51、YearHeturn(%)14200-10WIG-2Thefundsholdingperiodreturnoverthethree-yearperiodisclosestto:0.18%.C.0.67%.Ananalystobservesthefollowingannualratesofreturnforahedgefund:ytndardDeviation恤）1302027012Ifthecorrelationofreturnsbetweenthetwosecuritiesis0.40,theexpectedstandarddeviationoftheportfolioisclosestto

52、:11.3%.12.1%.8.Aportfoliomanagercreatesthefollowingportfolio:SecuritySecurityWeightWExpectedStandardDeviation(%1302027Q12Ifthecovarianceofreturnsbetweenthetwosecuritiesis-0.0240,theexpectedstandarddeviationoftheportfolioisclosestto:2.4%.7.5%.9.2%.ThefollowinginformationrelatestoQuestions9-10Aportfol

53、iomanagercreatesthefollowingportfolio:SecuritySecurityWeht(%)ExpectedStandardDeviation(%)1Jo20270129.Ifthestandarddeviationoftheportfoliois14.40%,thecorrelationbetweenthetwosecuritiesisequalto:-.C.positive.WordC.positive.Word资料C.positive.WordC.positive.Word资料C.4.5%.C.4.5%.Word资料10.Ifthestandarddevia

54、tionoftheportfoliois14.40%,thecovariancebetweenthetwosecuritiesisequalto:0.0006.0.0240.1.0000.ThefollowinginformationrelatestoQuestions11-14Ananalystobservesthefollowinghistoricgeometricreturns:AssetClassGe-ometricReturn(%Equities3.0Corporate-Bonds6.5Treasurybills2.5Inflation2.111.Therealrateofretur

55、nforequitiesisclosestto:5.4%.5.8%.5.9%.Therealrateofreturnforcorporatebondsisclosestto:4.3%.4.4%.Theriskpremiumforequitiesisclosestto:5.4%.5.5%.5.6%.Theriskpremiumforcorporatebondsisclosestto:3.5%.3.9%.4.0%.Withrespecttotradingcosts,liquidityisleastlikelytoimpactthe:stockprice.bid-askspreads.brokera

56、gecommissions.Evidenceofriskaversionisbestillustratedbyarisk-returnrelationshipthatis:negative.neutral.WordWord资料WordWord资料Withrespecttorisk-averseinvestors,arisk-freeassetwillgenerateanumericalutilitythatis:thesameforallindividuals.positiveforrisk-averseinvestors.equaltozeroforriskseekinginvestorsW

57、ithrespecttoutilitytheory,themostrisk-averseinvestorwillhaveanindifferencecurvewiththe:mostconvexity.smallestinterceptvalue.greatestslopecoefficient.Withrespecttoaninvestorsutilityfunctionexpressedu12as:=E（r）-2A,whichofthefollowingvaluesforthemeasureforriskaversionhastheleastamountofriskaversion?-4.

58、0.4.ThefollowinginformationrelatestoQuestions20-23Afinancialplannerhascreatedthefollowingdatatoillustratetheapplicationofutilitytheorytoportfolioselection:ExpectedStandardDeviation(%ExpectedStandardDeviation(%ExpectedStandardDeviation(%ExpectedStandardDeviation(%C.Investment4.WordC.Investment4.Word资

59、料C.Investment4.WordC.Investment4.Word资料Investment1920g15lfi30Investment1920g15lfi30ExpectedReturn(%)Arisk-neutralinvestorismostlikelytochoose:Investment1.Investment2.Investment3.ExpectedStandardDeviation(%)281530IfaninvestorsutilityfunctionisexpressedasU=E(r)A&andthemeasureforriskaversionhasavalueof

60、-2,therisk-seekinginvestorismostlikelytochoose:Investment2.Investment3.WordWord资料C.Averagecovariancebetweenallpairsofassets.WordC.Averagecovariancebetweenallpairsofassets.Word资料C.feasibleinvestments.WordC.feasibleinvestments.Word资料IfaninvestorsutilityfunctionisexpressedasU=E(r)-A&andthemeasureforris