投资练习题(含答案)

WORD格式专业资料整理1、TheefficientfrontierofriskyassetsisA)theportionoftheinvestmentopportunitysetthatliesabovetheglobalminimumvarianceportfolio.B)theportionoftheinvestmentopportunitysetthatrepresentsthehigheststandarddeviations.C)theportionoftheinvestmentopportunitysetwhichincludestheportfolioswiththeloweststandarddeviation.D)thesetofportfoliosthathavezerostandarddeviation.E)bothAandBaretrue.2、TheCapitalAllocationLineprovidedbyarisk-freesecurityandNriskysecuritiesis______thelinethatconnectstherisk-freerateandtheglobalminimum-varianceportfoliooftheriskysecurities.thelinethatconnectstherisk-freerateandtheportfoliooftheriskysecuritiesthathasthehighestexpectedreturnontheefficientfrontier.thelinetangenttotheefficientfrontierofriskysecuritiesdrawnfromtherisk-freerate.thehorizontallinedrawnfromtherisk-freerate.noneoftheabove.3、Consideraninvestmentopportunitysetformedwithtwosecuritiesthatareperfectlynegativelycorrelated.Theglobalminimumvarianceportfoliohasastandarddeviationthatisalways_____greaterthanzero.equaltozero.equaltothesumofthesecurities'standarddeviations.equalto-1.noneoftheabove.4、Whichofthefollowingstatementsis(are)trueregardingthevarianceofaportfoliooftworiskysecurities"Thehigherthecoefficientofcorrelationbetweensecurities,thegreaterthereductionintheportfoliovariance.Thereisalinearrelationshipbetweenthesecurities'coefficientofcorrelationandtheportfoliovariance.Thedegreetowhichtheportfoliovarianceisreduceddependsonthedegreeofcorrelationbetweensecurities.AandB.AandC.5、EfficientportfoliosofNriskysecuritiesareportfoliosthatareformedwiththesecuritiesthathavethehighestratesofreturnregardlessoftheirstandarddeviations.havethehighestratesofreturnforagivenlevelofrisk.areselectedfromthosesecuritieswiththeloweststandarddeviationsregardlessoftheirreturns.WORD格式专业资料整理havethehighestriskandratesofreturnandthehigheststandarddeviations.havetheloweststandarddeviationsandthelowestratesofreturn.6、Asdiversificationincreases,thetotalvarianceofaportfolioapproaches____________.A)0B)1C)thevarianceofthemarketportfolioD)infinityE)noneoftheaboveWORD格式专业资料整理7、Theindexmodelwasfirstsuggestedby____________.A)GrahamB)MarkowitzC)MillerD) SharpeWORD格式专业资料整理noneoftheabove8、.Asingle-indexmodeluses__________asaproxyforthesystematicriskfactor.amarketindex,suchastheS&P500thecurrentaccountdeficitthegrowthrateinGNPtheunemploymentratenoneoftheabove9、Accordingtotheindexmodel,covariancesamongsecuritypairsareduetotheinfluenceofasinglecommonfactorrepresentedbythemarketindexreturnextremelydifficulttocalculaterelatedtoindustry-specificeventsusuallypositiveAandD10、Inafactormodel,thereturnonastockinaparticularperiodwillberelatedto_________.A)firm-specificeventsB)macroeconomiceventsC)theerrortermD)bothAandBE)neitherAnorB11、Whichofthefollowingstatement(s)is(are)trueregardingtheselectionofaportfoliofromthosethatlieontheCapitalAllocationLine"Lessrisk-averseinvestorswillinvestmoreintherisk-freesecurityandlessintheoptimalriskyportfoliothanmorerisk-averseinvestors.Morerisk-averseinvestorswillinvestlessintheoptimalriskyportfolioandmoreintherisk-freesecuritythanlessrisk-averseinvestors.Investorschoosetheportfoliothatmaximizestheirexpectedutility.AandC.BandC.12、AninvestorwhowishestoformaportfoliothatliestotherightoftheoptimalriskyportfolioontheCapitalAllocationLinemust:lendsomeofhermoneyattherisk-freerateandinvesttheremainderintheoptimalriskyportfolio.borrowsomemoneyattherisk-freerateandinvestintheoptimalriskyportfolio.investonlyinriskysecurities.WORD格式专业资料整理suchaportfoliocannotbeformed.BandC13、PortfoliotheoryasdescribedbyMarkowitzismostconcernedwith:theeliminationofsystematicrisk.theeffectofdiversificationonportfoliorisk.theidentificationofunsystematicrisk.activeportfoliomanagementtoenhancereturns.noneoftheabove.14、ThemeasureofriskinaMarkowitzefficientfrontieris:specificrisk.standarddeviationofreturns.reinvestmentrisk.beta.noneoftheabove.15、Astatisticthatmeasureshowthereturnsoftworiskyassetsmovetogetheris:A) variance.B) standarddeviation.C) covariance.D)correlation.CandD.16、RosenbergandGuyfoundthat__________helpedtopredictafirm'sbeta.thefirm'sfinancialcharacteristicsthefirm'sindustrygroupfirmsizebothAandBA,BandCallhelpedtopredictbetas.17、Ifafirm'sbetawascalculatedas0.6inaregressionequation,MerrillLynchwouldstatetheadjustedbetaatanumberlessthan0.6butgreaterthanzero.between0.6and1.0.between1.0and1.6.greaterthan1.6.zeroorless.18、ThebetaofE**onstockhasbeenestimatedas1.2byMerrillLynchusingregressionanalysisonasampleofhistoricalreturns.TheMerrillLynchadjustedbetaofE**onstockwouldbe___________.WORD格式专业资料整理A) 1.20B) 1.32C) 1.13D) 1.0E) noneoftheaboveWORD格式专业资料整理19、Considerthesingle-indexmodel.Thealphaofastockis0%.Thereturnonthemarketindexis16%.Therisk-freerateofreturnis5%.Thestockearnsareturnthatexceedstherisk-freerateby11%andtherearenofirm-specificeventsaffectingthestockperformance.TheWORD格式专业资料整理ofthestockis_______.WORD格式专业资料整理A) 0.67B)0.75C) 1.0D) 1.33E) 1.50WORD格式专业资料整理20、Supposeyouforecastthatthemarketindexwill earnareturnof15%inthecomingyear.Treasurybillsareyielding6%.TheunadjustedβofMobilstockis1.30A.reasonableforecastofthereturnonMobilstockforthecomingyearis_________ifyouuseMerrillLynchadjustedbetas.A) 15.0%B) 15.5%C) 16.0%D) 16.8%E)noneoftheaboveWORD格式专业资料整理21、Theunsystematicriskofaspecificsecurityislikelytobehigherinanincreasingmarket.resultsfromfactorsuniquetothefirm.dependsonmarketvolatility.cannotbediversifiedaway.noneoftheabove.22、Whichstatementaboutportfoliodiversificationiscorrect"Properdiversificationcanreduceoreliminatesystematicrisk.Therisk-reducingbenefitsofdiversificationdonotoccurmeaningfullyuntilatleast50-60individualsecuritieshavebeenpurchased.Becausediversificationreducesaportfolio'stotalrisk,itnecessarilyreducestheportfolio'sexpectedreturn.Typically,asmoresecuritiesareaddedtoaportfolio,totalriskwouldbeexpectedtodecreaseatadecreasingrate.Noneoftheabovestatementsiscorrect.23、Givenanoptimalriskyportfoliowithexpectedreturnof12%andstandarddeviationof23%andariskfreerateof3%,whatistheslopeofthebestfeasibleCAL"A) 0.64B) 0.39C) 0.08D) 0.35E)0.3624、Givenanoptimalriskyportfoliowithexpectedreturnof13%andstandarddeviationof26%andariskfreerateof5%,whatistheslopeofthebestfeasibleCAL"A) 0.60B) 0.14C) 0.08D) 0.36E)0.3125、Theindividualinvestor'soptimalportfolioisdesignatedby:Thepointoftangencywiththeindifferencecurveandthecapitalallocationline.Thepointofhighestrewardtovariabilityratiointheopportunityset.Thepointoftangencywiththeopportunitysetandthecapitalallocationline.Thepointofthehighestrewardtovariabilityratiointheindifferencecurve.Noneoftheabove.26、Thesingle-indexmodelgreatlyreducesthenumberofrequiredcalculations,relativetothoserequiredbytheMarkowitzmodel.enhancestheunderstandingofsystematicversusnonsystematicrisk.WORD格式专业资料整理greatlyincreasesthenumberofrequiredcalculations,relativetothoserequiredbytheMarkowitzmodel.D) AandB.E)BandC.27、TheSecurityCharacteristicLine(SCL)plotstheexcessreturnonasecurityasafunctionoftheexcessreturnonthemarket.allowsonetoestimatethebetaofthesecurity.allowsonetoestimatethealphaofthesecurity.D) alloftheabove.E)noneofthe