金融综合项目工程相关习题及答案

Chapter1MarketOrganizationandStructure

PRACTICEPROBLEMSFORCHAPTER1

1.AkihikoTakabehasdesignedasophisticatedforecastingmodel，whichpredictsthemovementsintheoverallstockmarket，inthehopeofearningareturninexcessofafairreturnfortheriskinvolved.Heusesthepredictionsofthemodeltodecidewhethertobuy，hold，orsellthesharesofanindexfundthataimstoreplicatethemovementsofthestockmarket.Takabewouldbestbecharacterizedasa(n):

A.hedger.

B.investor.

C.information-motivatedtrader.

2.JamesBeachisyoungandhassubstantialwealth.Asignificantproportionofhisstockportfolioconsistsofemergingmarketstocksthatofferrelativelyhighexpectedreturnsatthecostofrelativelyhighrisk.Beachbelievesthatinvestmentinemergingmarketstocksisappropriateforhimgivenhisabilityandwillingnesstotakerisk.WhichofthefollowinglabelsmostappropriatelydescribesBeach?

A.Hedger.

B.Investor.

C.Information-motivatedtrader.

3.LisaSmithownsamanufacturingcompanyintheUnitedStates.HercompanyhassoldgoodstoacustomerinBrazilandwillbepaidinBrazilianreal(BRL)inthreemonths.SmithisconcernedaboutthepossibilityoftheBRLdepreciatingmorethanexpectedagainsttheU.S.dollar(USD).Therefore，sheisplanningtosellthree-monthfuturescontractsontheBRL.ThesellerofsuchcontractsgenerallygainswhentheBRLdepreciatesagainsttheUSD.IfSmithweretosellthesefuturecontracts，shewouldmostappropriatelybedescribedasa(n):

A.hedger.

B.investor.

C.information-motivatedtrader.

4.Whichofthefollowingisnotafunctionofthefinancialsystem?

A.Toregulatearbitrageurs’profits(excessreturns).

B.Tohelptheeconomyachieveallocationalefficiency.

C.Tofacilitateborrowingbybusinessestofundcurrentoperations.

5.Aninvestorprimarilyinvestsinstocksofpubliclytradedcompanies.Theinvestorwantstoincreasethediversificationofhisportfolio.Afriendhasrecommendedinvestinginrealestateproperties.Thepurchaseofrealestatewouldbestbecharacterizedasatransactioninthe:

A.derivativeinvestmentmarket.

B.traditionalinvestmentmarket.

C.alternativeinvestmentmarket.

6.Ahedgefundholdsitsexcesscashin90-daycommercialpaperandnegotiablecertificatesofdeposit.Thecashmanagementpolicyofthehedgefundisbestdescribedasusing:

A.capitalmarketinstruments.

B.moneymarketinstruments.

C.intermediate-termdebtinstruments.

7.Anoilandgasexplorationandproductioncompanyannouncesthatitisoffering30millionsharestothepublicat$45.50each.Thistransactionismostlikelyasaleinthe:

A.futuresmarket.

B.primarymarket.

C.secondarymarket.

8.Consideramutualfundthatinvestsprimarilyinfixed-incomesecuritiesthathavebeendeterminedtobeappropriategiventhefund’sinvestmentgoal.Whichofthefollowingisleastlikelytobeapartofthisfund?

A.Warrants.

B.Commercialpaper.

C.Repurchaseagreements.

9.Afriendhasaskedyoutoexplainthedifferencesbetweenopen-endandclosed-endfunds.Whichofthefollowingwillyoumostlikelyincludeinyourexplanation?

A.Closed-endfundsareunavailabletonewinvestors.

B.Wheninvestorssellthesharesofanopen-endfund，theycanreceiveadiscountorapremiumtothefund’snetassetvalue.

C.Whensellingshares，investorsinanopen-endfundsellthesharesbacktothefundwhereasinvestorsinaclosed-endfundsellthesharestoothersinthesecondarymarket.

10.Theusefulnessofaforwardcontractislimitedbysomeproblems.Whichofthefollowingismostlikelyoneofthoseproblems?

A.Onceyouhaveenteredintoaforwardcontract，itisdifficulttoexitfromthecontract.

B.Enteringintoaforwardcontractrequiresthelongpartytodepositaninitialamountwiththeshortparty.

C.Ifthepriceoftheunderlyingassetmovesadverselyfromtheperspectiveofthelongparty，periodicpaymentsmustbemadetotheshortparty.

11.TonyHarrisisplanningtostarttradingincommodities.Hehasheardabouttheuseoffuturescontractsoncommoditiesandislearningmoreaboutthem.WhichofthefollowingisHarrisleastlikelytofindassociatedwithafuturescontract?

A.Existenceofcounterpartyrisk.

B.Standardizedcontractualterms.

C.Paymentofaninitialmargintoenterintoacontract.

12.AGermancompanythatexportsmachineryisexpectingtoreceive$10millioninthreemonths.Thefirmconvertsallitsforeigncurrencyreceiptsintoeuros.Thechieffinancialofficerofthecompanywishestolockinaminimumfixedrateforconvertingthe$10milliontoeurobutalsowantstokeeptheflexibilitytousethefuturespotrateifitisfavorable.Whathedgingtransactionismostlikelytoachievethisobjective?

A.Sellingdollarsforward.

B.Buyingputoptionsonthedollar.

C.Sellingfuturescontractsondollars.

13.Abookpublisherrequiressubstantialquantitiesofpaper.Thepublisherandapaperproducerhaveenteredintoanagreementforthepublishertobuyandtheproducertosupplyagivenquantityofpaperfourmonthslateratapriceagreedupontoday.Thisagreementisa:

A.futurescontract.

B.forwardcontract.

C.commodityswap.

14.TheStandard&Poor’sDepositaryReceipts(SPDRs)isaninvestmentthattrackstheS&P500stockmarketindex.PurchasesandsalesofSPDRsduringanaveragetradingdayarebestdescribedas:

A.primarymarkettransactionsinapooledinvestment.

B.secondarymarkettransactionsinapooledinvestment.

C.secondarymarkettransactionsinanactivelymanagedinvestment.

15.TheStandard&Poor’sDepositaryReceipts(SPDRs)isanexchange-tradedfundintheUnitedStatesthatisdesignedtotracktheS&P500stockmarketindex.ThecurrentpriceofashareofSPDRsis$113.AtraderhasjustboughtcalloptionsonsharesofSPDRsforapremiumof$3pershare.Thecalloptionsexpireinfivemonthsandhaveanexercisepriceof$120pershare.Ontheexpirationdate，thetraderwillexercisethecalloptions(ignoreanytransactioncosts)ifandonlyifthesharesofSPDRsaretrading:

A.below$120pershare.

B.above$120pershare.

C.above$123pershare.

16.Whichofthefollowingstatementsaboutexchange-tradedfundsismostcorrect?

A.Exchange-tradedfundsarenotbackedbyanyassets.

B.Theinvestmentcompaniesthatcreateexchange-tradedfundsarefinancialintermediaries.

C.Thetransactioncostsoftradingsharesofexchange-tradedfundsaresubstantiallygreaterthanthecombinedcostsoftradingtheunderlyingassetsofthefund.

17.JasonSchmidtworksforahedgefundandhespecializesinfindingprofitopportunitiesthataretheresultofinefficienciesinthemarketforconvertiblebonds—bondsthatcanbeconvertedintoapredeterminedamountofacompany’scommonstock.Schmidttriestofindconvertiblesthatarepricedinefficientlyrelativetotheunderlyingstock.Thetradingstrategyinvolvesthesimultaneouspurchaseoftheconvertiblebondandtheshortsaleoftheunderlyingcommonstock.Theaboveprocesscouldbestbedescribedas:

A.hedging.

B.arbitrage.

C.securitization.

18.Pierre-LouisRobertjustpurchasedacalloptiononsharesoftheMichelinGroup.AfewdaysagohewroteaputoptiononMichelinshares.Thecallandputoptionshavethesameexerciseprice，expirationdate，andnumberofsharesunderlying.Consideringbothpositions，Robert’sexposuretotheriskofthestockoftheMichelinGroupis:

A.long.

B.short.

C.neutral.

19.Anonlinebrokeragefirmhassettheminimummarginrequirementat55percent.Whatisthemaximumleverageratioassociatedwithapositionfinancedbythisminimummarginrequirement?

A.1.55.

B.1.82.

C.2.22.

20.Atraderhaspurchased200sharesofanon-dividend-payingfirmonmarginatapriceof$50pershare.Theleverageratiois2.5.Sixmonthslater，thetradersellsthesesharesat$60pershare.Ignoringtheinterestpaidontheborrowedamountandthetransactioncosts，whatwasthereturntothetraderduringthesix-monthperiod?

A.20percent.

B.33.33percent.

C.50percent.

21.JasonWilliamspurchased500sharesofacompanyat$32pershare.Thestockwasboughton75percentmargin.Onemonthlater，Williamshadtopayinterestontheamountborrowedatarateof2percentpermonth.Atthattime，Williamsreceivedadividendof$0.50pershare.Immediatelyafterthathesoldthesharesat$28pershare.Hepaidcommissionsof$10onthepurchaseand$10onthesaleofthestock.Whatwastherateofreturnonthisinvestmentfortheone-monthperiod?

A.−12.5percent.

B.–15.4percent.

C.–50.1percent.

22.CarolineRogersbelievesthepriceofGammaCorp.stockwillgodowninthenearfuture.Shehasdecidedtosellshort200sharesofGammaCorp.atthecurrentmarketpriceof€47.Theinitialmarginrequirementis40percent.WhichofthefollowingisanappropriatestatementregardingthemarginrequirementthatRogersissubjecttoonthisshortsale?

A.Shewillneedtocontribute€3,760asmargin.

B.Shewillneedtocontribute€5,640asmargin.

C.Shewillonlyneedtoleavetheproceedsfromtheshortsaleasdepositanddoesnotneedtocontributeanyadditionalfunds.

23.Thecurrentpriceofastockis$25pershare.Youhave$10,000toinvest.Youborrowanadditional$10,000fromyourbrokerandinvest$20,000inthestock.Ifthemaintenancemarginis30percent，atwhatpricewillamargincallfirstoccur?

A.$9.62.

B.$17.86.

C.$19.71.

24.Youhaveplacedasellmarket-on-openorder—amarketorderthatwouldautomaticallybesubmittedatthemarket’sopentomorrowandwouldfillatthemarketprice.Yourinstruction，tosellthesharesatthemarketopen，isa(n):

A.executioninstruction.

B.validityinstruction.

C.clearinginstruction.

25.Amarkethasthefollowinglimitordersstandingonitsbookforaparticular

stock.Thebidandasksizesarenumberofsharesinhundreds.

Whatisthemarket?

A.9.73bid，offeredat10.14.

B.9.81bid，offeredat10.10.

C.9.95bid，offeredat10.02.

26.Considerthefollowinglimitorderbookforastock.Thebidandasksizesare

numberofsharesinhundreds

Anewbuylimitorderisplacedfor300sharesat¥123.40.Thislimitorderis

saidto:

A.takethemarket.

B.makethemarket.

C.makeanewmarket.

27.Currently，themarketinastockis"$54.62bid，offeredat$54.71."Anewsell

limitorderisplacedat$54.62.Thislimitorderissaidto:

A.takethemarket.

B.makethemarket.

C.makeanewmarket.

28.JimWhitehassoldshort100sharesofSuperStoresatapriceof$42pershare.Hehasalsosimultaneouslyplaceda"good-till-cancelled，stop50，limit55buy"order.AssumethatifthestopconditionspecifiedbyWhiteissatisfiedandtheorderbecomesvalid，itwillgetexecuted.Excludingtransactioncosts，whatisthemaximumpossiblelossthatWhitecanhave?

A.$800.

B.$1,300.

C.Unlimited.

29.Youownsharesofacompanythatarecurrentlytradingat$30ashare.Your

technicalanalysisofthesharesindicatesasupportlevelof$27.50.Thatis，ifthepriceofthesharesisgoingdown，itismorelikelytostayabovethislevelratherthanfallbelowit.Ifthepricedoesfallbelowthislevel，however，youbelievethatthepricemaycontinuetodecline.Youhavenoimmediateintenttosellthesharesbutareconcernedaboutthepossibilityofahugelossifthesharepricedeclinesbelowthesupportlevel.Whichofthefollowingtypesoforderscouldyouplacetomostappropriatelyaddressyourconcern?

A.Shortsellorder.

B.Good-till-cancelledstopsellorder.

C.Good-till-cancelledstopbuyorder.

30.Inanunderwrittenoffering，theriskthattheentireissuemaynotbesoldtothepublicatthestipulatedofferingpriceisbornebythe:

A.issuer.

B.investmentbank.

C.buyersofthepartoftheissuethatissold.

31.ABritishcompanylistedontheAlternativeInvestmentMarketoftheLondonStockExchange，announcedthesaleof6,686,665sharestoasmallgroupofqualifiedinvestorsat£0.025pershare.Whichofthefollowingbestdescribes

thissale?

A.Shelfregistration.

B.Privateplacement.

C.Initialpublicoffering.

32.AGermanpubliclytradedcompany，toraisenewcapital，gaveitsexistingshareholderstheopportunitytosubscribefornewshares.Theexistingshareholderscouldpurchasetwonewsharesatasubscriptionpriceof€4.58pershareforevery15sharesheld.Thisisanexampleofa(n):

A.rightsoffering.

B.privateplacement.

C.initialpublicoffering.

33.Consideranorder-drivensystemthatallowshiddenorders.Thefollowingfoursellordersonaparticularstockarecurrentlyinthesystem'slimitorderbook.Basedonthecommonlyusedorderprecedencehierarchy，whichoftheseorderswillhaveprecedenceoverothers?

A.OrderI(timeofarrivalof9:52:01).

B.OrderII(timeofarrivalof9:52:08).

C.OrderIII(timeofarrivalof9:53:04)

34.ZhenhuLihassubmittedanimmediate-or-cancelbuyorderfor500sharesofacompanyatalimitpriceofCNY74.25.Therearetwoselllimitordersstandinginthatstock'sorderbookatthattime.Oneisfor300sharesatalimitpriceofCNY74.30andtheotherisfor400sharesatalimitpriceofCNY74.35.HowmanysharesinLi'sorderwouldgetcancelled?

A.None(theorderwouldremainopenbutunfilled).

B.200(300shareswouldgetfilled).

C.500(therewouldbenofill).

35.Amarkethasthefollowinglimitordersstandingonitsbookforaparticularstock:

Iansubmitsadayordertosell1,000shares，limit£19.83.AssumingthatnomorebuyordersaresubmittedonthatdayafterIansubmitshisorder，whatwouldbeIan'saveragetradeprice?

A.£19.70.

B.£19.92.

C.£20.05.

36.Afinancialanalystisexaminingwhetheracountry'sfinancialmarketiswellfunctioning.Shefindsthatthetransactioncostsinthismarketarelowandtradingvolumesarehigh.Sheconcludesthatthemarketisquiteliquid.Insuchamarket:

A.traderswillfindithardtomakeuseoftheirinformation.

B.traderswillfinditeasytotradeandtheirtradingwillmakethemarketlessinformationallyefficient.

C.traderswillfinditeasytotradeandtheirtradingwillmakethemarket

moreinformationallyefficient.

37.Thegovernmentofacountrywhosefinancialmarketsareinanearlystageofdevelopmenthashiredyouasaconsultantonfinancialmarketregulation.Yourfirsttaskistopreparealistoftheobjectivesofmarketregulation.Whichofthefollowingisleastlikelytobeincludedinthislistofobjectives?

A.Minimizeagencyproblemsinthefinancialmarkets.

B.Ensurethatfinancialmarketsarefairandorderly.

C.Ensurethatinvestorsinthestockmarketachievearateofreturnthatisat

leastequaltotherisk-freerateofreturn.

Chapter2PortfolioManagement：AnOverview

PRACTICEPROBLEMSFORCHAPTER2

1.Investorsshoulduseaportfolioapproachto:

A.reducerisk.

B.monitorrisk.

C.eliminaterisk.

2.Whichofthefollowingisthebestreasonforaninvestortobeconcernedwiththecompositionofaportfolio?

A.Riskreduction.

B.Downsideriskprotection.

C.Avoidanceofinvestmentdisasters.

3.Withrespecttotheformationofportfolios，whichofthefollowingstatementsismostaccurate?

A.Portfoliosaffectrisklessthanreturns.

B.Portfoliosaffectriskmorethanreturns.

C.Portfoliosaffectriskandreturnsequally.

4.Whichofthefollowinginstitutionswillonaveragehavethegreatestneedforliquidity?

A.Banks.

B.Investmentcompanies.

C.Non-lifeinsurancecompanies.

5.Whichofthefollowinginstitutionalinvestorswillmostlikelyhavethelongesttimehorizon?

A.Definedbenefitplan.

B.Universityendowment.

C.Lifeinsurancecompany.

6.Adefinedbenefitplanwithalargenumberofretireesislikelytohaveahighneedfor

A.income.

B.liquidity.

C.insurance.

7.Whichofthefollowinginstitutionalinvestorsismostlikelytomanageinvestmentsinmutualfunds?

A.Insurancecompanies.

B.Investmentcompanies.

C.Universityendowments.

8.Withrespecttotheportfoliomanagementprocess，theassetallocationisdeterminedinthe:

A.planningstep.

B.feedbackstep.

C.executionstep

9.Theplanningstepoftheportfoliomanagementprocessisleastlikelytoincludeanassessmentoftheclient's

A.securities.

B.constraints.

C.risktolerance.

10.Withrespecttotheportfoliomanagementprocess，therebalancingofaportfolio'scompositionismostlikelytooccurinthe:

A.planningstep.

B.feedbackstep.

C.executionstep.

11.Ananalystgathersthefollowinginformationfortheassetallocationsofthreeportfolios:

Whichoftheportfoliosismostlikelyappropriateforaclientwhohasahighdegreeofrisktolerance?

A.Portfolio1.

B.Portfolio2.

C.Portfolio3.

12.Whichofthefollowinginvestmentproductsismostlikelytotradeattheirnetassetvaluepershare?

A.Exchangetradedfunds.

B.Open-endmutualfunds.

C.Closed-endmutualfunds.

13.Whichofthefollowingfinancialproductsisleastlikelytohaveacapitalgaindistribution?

A.Exchangetradedfunds.

B.Open-endmutualfunds.

C.Closed-endmutualfunds.

14.Whichofthefollowingformsofpooledinvestmentsissubjecttotheleastamountofregulation?

A.Hedgefunds.

B.Exchangetradedfunds.

C.Closed-endmutualfunds.

15.Whichofthefollowingpooledinvestmentsismostlikelycharacterizedbyafewlargeinvestments?

A.Hedgefunds.

B.Buyoutfunds.

C.Venturecapitalfunds.

Chapter3PortfolioRiskandReturn：PartI

PRACTICEPROBLEMSFORCHAPTER3

1.Aninvestorpurchased100sharesofastockfor$34.50pershareatthebeginningofthequarter.Iftheinvestorsoldallofthesharesfor$30.50pershareafterreceivinga$51.55dividendpaymentattheendofthequarter，theholdingperiodreturnisclosestto:

A.-13.0%.

B.-11.6%.

C.-10.1%.

2.Ananalystobtainsthefollowingannualratesofreturnforamutualfund:

Thefund'sholdingperiodreturnoverthethree-yearperiodisclosestto:

A.0.18%.

B.0.55%.

C.0.67%.

3.Ananalystobservesthefollowingannualratesofreturnforahedgefund:

Thehedgefund'sannualgeometricmeanreturnisclosestto:

A.0.52%.

B.1.02%.

C.2.67%.

4.Whichofthefollowingreturncalculatingmethodsisbestforevaluatingthe

annualizedreturnsofabuy-and-holdstrategyofaninvestorwhohasmadeannualdepositstoanaccountforeachofthelastfiveyears?

A.Geometricmeanreturn.

B.Arithmeticmeanreturn.

C.Money-weightedreturn.

5.Aninvestorevaluatingthereturnsofthreerecentlyformedexchange-tradedfundsgathersthefollowinginformation:

TheETFwiththehighestannualizedrateofreturnis:

A.ETF1.

B.ETF2.

C.ETF3.

6.Withrespecttocapitalmarkettheory，whichofthefollowingassetcharacteristicsisleastlikelytoimpactthevarianceofaninvestor'sequallyweightedportfolio?

A.Returnontheasset.

B.Standarddeviationoftheasset.

C.Covariancesoftheassetwiththeotherassetsintheportfolio.

7.Aportfoliomanagercreatesthefollowingportfolio:

Ifthecorrelationofreturnsbetweenthetwosecuritiesis0.40，theexpectedstandarddeviationoftheportfolioisclosestto:

A.10.7%.

B.11.3%.

C.12.1%.

8.Aportfoliomanagercreatesthefollowingportfolio:

Ifthecovarianceofreturnsbetweenthetwosecuritiesis-0.0240，theexpectedstandarddeviationoftheportfolioisclosestto:

A.2.4%.

B.7.5%.

C.9.2%.

ThefollowinginformationrelatestoQuestions9-10

Aportfoliomanagercreatesthefollowingportfolio:

9.Ifthestandarddeviationoftheportfoliois14.40%，thecorrelationbetweenthetwosecuritiesisequalto:

A.-1.0.

B.0.0.

C.1.0.

10.Ifthestandarddeviationoftheportfoliois14.40%，thecovariancebetweenthetwosecuritiesisequalto:

A.0.0006.

B.0.0240.

C.1.0000.

ThefollowinginformationrelatestoQuestions11-14

Ananalystobservesthefollowinghistoricgeometricreturns:

11.Therealrateofreturnforequitiesisclosestto:

A.5.4%.

B.5.8%.

C.5.9%.

12.Therealrateofreturnforcorporatebondsisclosestto:

A.4.3%.

B.4.4%.

C.4.5%.

13.Theriskpremiumforequitiesisclosestto:

A.5.4%.

B.5.5%.

C.5.6%.

14.Theriskpremiumforcorporatebondsisclosestto:

A.3.5%.

B.3.9%.

C.4.0%.

15.Withrespecttotradingcosts，liquidityisleastlikelytoimpactthe:

A.stockprice.

B.bid-askspreads.

C.brokeragecommissions.

16.Evidenceofriskaversionisbestillustratedbyarisk-returnrelationshipthatis:

A.negative.

B.neutral.

C.positive.

17.Withrespecttorisk-averseinvestors，arisk-freeassetwillgenerateanumericalutilitythatis:

A.thesameforallindividuals.

B.positiveforrisk-averseinvestors.

C.equaltozeroforriskseekinginvestors

18.Withrespecttoutilitytheory，themostrisk-averseinvestorwillhaveanindifferencecurvewiththe:

A.mostconvexity.

B.smallestinterceptvalue.

C.greatestslopecoefficient.

19.Withrespecttoaninvestor'sutilityfunctionexpressedas:，whichofthefollowingvaluesforthemeasureforriskaversionhastheleastamountofriskaversion?

A.-4.

B.0.

C.4.

ThefollowinginformationrelatestoQuestions20-23

Afinancialplannerhascreatedthefollowingdatatoillustratetheapplicationofutilitytheorytoportfolioselection:

20.Arisk-neutralinvestorismostlikelytochoose:

A.Investment1.

B.Investment2.

C.Investment3.

Expected

StandardDeviation(%)

2

8

15

30

21.Ifaninvestor'sutilityfunctionisexpressedasU=E(r)~A&andthemeasureforriskaversionhasavalueof-2，therisk-seekinginvestorismostlikelytochoose:

A.Investment2.

B.Investment3.

C.Investment4.

22.Ifaninvestor'sutilityfunctionisexpressedasU=E(r)-~A&andthemeasureforriskaversionhasavalueof2，therisk-averseinvestorismostlikelytochoose:

A.Investment1.

B.Investment2.

C.Investment3.

23.Ifaninvestor'sutilityfunctionisexpressedasU=E(r)-~A&andthemeasureforriskaversionhasavalueof4，therisk-averseinvestorismostlikelytochoose:

A.Investment1.

B.Investment2.

C.Investment3.

24.Withrespecttothemean-varianceportfoliotheory，thecapitalallocationline，CAL，isthecombinationoftherisk-freeassetandaportfolioofall:

A.riskyassets.

B.equitysecurities.

C.feasibleinvestments.

25.Twoindividualinvestorswithdifferentlevelsofriskaversionwillhaveoptimal

portfoliosthatare:

A.belowthecapitalallocationline.

B.onthecapitalallocationline.

C.abovethecapitalallocationline.

ThefollowinginformationrelatestoQuestions26-28

Aportfoliomanagercreatesthefollowingportfolio:

26.Iftheportfolioofthetwosecuritieshasanexpectedreturnof15%，theproportioninvestedinSecurity1is:

A.25%.

B.50%.

C.75%.

27.Ifthecorrelationofreturnsbetweenthetwosecuritiesis-0.15，theexpectedstandarddeviationofanequal-weightedportfolioisclosestto:

A.13.04%.

B.13.60%.

C.13.87%.

28.Ifthetwosecuritiesareuncorrelated，theexpectedstandarddeviationofanequal-weightedportfolioisclosestto:

A.14.00%.

B.14.14%.

C.20.00%.

29.Asthenumberofassetsinanequally-weightedportfolioincreases，thecontributionofeachindividualasset'svariancetothevolatilityoftheportfolio:

A.increases.

B.decreases.

C.remainsthesame.

30.Withrespecttoanequally-weightedportfoliomadeupofalargenumberofassets，whichofthefollowingcontributesthemosttothevolatilityoftheportfolio?

A.Averagevarianceoftheindividualassets.

B.Standarddeviationoftheindividualassets.

C.Averagecovariancebetweenallpairsofassets.

31.Thecorrelationbetweenassetsinatwo-assetportfolioincreasesduringamarketdecline.Ifthereisnochangeintheproportionofeachassetheldintheportfolioortheexpectedstandarddeviationoftheindividualassets，thevolatilityoftheportfolioismostlikelyto:

A.increase.

B.decrease.

C.remainthesame.

ThefollowinginformationrelatestoQuestions32-34

Ananalysthasmadethefollowingreturnprojectionsforeachofthreepossibleoutcomeswithanequallikelihoodofoccurrence:

32.Whichpairofassetsisperfectlynegativelycorrelated?

A.Asset1andAsset2.

B.Asset1andAsset3.

C.Asset2andAsset3.

33.Iftheanalystconstructstwo-assetportfoliosthatareequally-weighted，whichpairofassetshasthelowestexpectedstandarddeviation?

A.Asset1andAsset2.

B.Asset1andAsset3.

C.Asset2andAsset3.

34.Iftheanalystconstructstwo-assetportfoliosthatareequallyweighted，whichpairofassetsprovidestheleastamountofriskreduction?

A.Asset1andAsset2.

B.Asset1andAsset3.

C.Asset2andAsset3.

35.Whichofthefollowingstatementsisleastaccurate?Theefficientfrontieristhesetofallattainableriskyassetswiththe:

A.highestexpectedreturnforagivenlevelofrisk.

B.lowestamountofriskforagivenlevelofreturn.

C.highestexpectedreturnrelativetotherisk-freerate.

36.Theportfolioontheminimum-variancefrontierwiththeloweststandarddeviationis:

A.unattainable.

B.theoptimalriskyportfolio.

C.theglobalminimum-varianceportfolio.

37.Thesetofportfoliosontheminimum-variancefrontierthatdominatesallsetsofportfoliosbelowtheglobalminimum-varianceportfolioisthe:

A.capitalallocationline.

B.Markowitzefficientfrontier.

C.setofoptimalriskyportfolios.

38.Thedominantcapitalallocationlineisthecombinationoftherisk-freeassetandthe:

A.optimalriskyportfolio.

B.leveredportfolioofriskyassets.

C.globalminimum-varianceportfolio.

39.Comparedtotheefficientfrontierofriskyassets，thedominantcapitalallocationlinehashigherratesofreturnforlevelsofriskgreaterthantheoptimalriskyportfoliobecauseoftheinvestor'sabilityto:

A.lendattherisk-freerate.

B.borrowattherisk-freerate.

C.purchasetherisk-freeasset.

40.Withrespecttothemean-variancetheory，theoptimalportfolioisdeterminedbyeachindividualinvestor's:

A.risk-freerate.

B.borrowingrate.

C.riskpreference.

Chapter4PortfolioRiskandReturn：PartII

PRACTICEPROBLEMSFORCHAPTER4

1.Thelinedepictingtheriskandreturnofportfoliocombinationsofarisk-freeassetandanyriskyassetisthe:

A.securitymarketline.

B.capitalallocationline.

C.securitycharacteristicline.

2.Theportfolioofarisk-freeassetandariskyassethasabetterrisk-returntradeoffthaninvestinginonlyoneassettypebecausethecorrelationbetweentherisk-freeassetandtheriskyassetisequalto:

A.-1.0.

B.0.0.

C.1.0.

3.Withrespecttocapitalmarkettheory，aninvestor'soptimalportfolioisthecombinationofarisk-freeasse