金融工程 相关习题及答案Word文档格式.docx

1、B. Investor. C. Information-motivated trader.3. Lisa Smith owns a manufacturing company in the United States. Her company has sold goods to a customer in Brazil and will be paid in Brazilian real （BRL） in three months. Smith is concerned about the possibility of the BRL depreciating more than expect

2、ed against the U.S. dollar （USD）. Therefore, she is planning to sell three-month futures contracts on the BRL. The seller of such contracts generally gains when the BRL depreciates against the USD. If Smith were to sell these future contracts, she would most appropriately be described as a （n）:4. Wh

3、ich of the following is not a function of the financial system? A. To regulate arbitrageurs profits （excess returns）.B. To help the economy achieve allocational efficiency. C. To facilitate borrowing by businesses to fund current operations.5. An investor primarily invests in stocks of publicly trad

4、ed companies. The investor wants to increase the diversification of his portfolio. A friend has recommended investing in real estate properties. The purchase of real estate would best be characterized as a transaction in the:A. derivative investment market. B. traditional investment market. C. alter

5、native investment market.6. A hedge fund holds its excess cash in 90-day commercial paper and negotiable certificates of deposit. The cash management policy of the hedge fund is best described as using:A. capital market instruments. B. money market instruments. C. intermediate-term debt instruments.

6、7. An oil and gas exploration and production company announces that it is offering 30 million shares to the public at $45.50 each. This transaction is most likely a sale in the:A. futures market. B. primary market. C. secondary market.8. Consider a mutual fund that invests primarily in fixed-income

7、securities that have been determined to be appropriate given the funds investment goal. Which of the following is least likely to be a part of this fund?A. Warrants. B. Commercial paper. C. Repurchase agreements.9. A friend has asked you to explain the differences between open-end and closed-end fun

8、ds. Which of the following will you most likely include in your explanation?A. Closed-end funds are unavailable to new investors. B. When investors sell the shares of an open-end fund, they can receive a discount or a premium to the funds net asset value.C. When selling shares, investors in an open-

9、end fund sell the shares back to the fund whereas investors in a closed-end fund sell the shares to others in the secondary market.10. The usefulness of a forward contract is limited by some problems. Which of the following is most likely one of those problems?A. Once you have entered into a forward

10、 contract, it is difficult to exit from the contract.B. Entering into a forward contract requires the long party to deposit an initial amount with the short party.C. If the price of the underlying asset moves adversely from the perspective of the long party, periodic payments must be made to the sho

11、rt party.11. Tony Harris is planning to start trading in commodities. He has heard about the use of futures contracts on commodities and is learning more about them. Which of the following is Harris least likely to find associated with a futures contract?A. Existence of counterparty risk. B. Standar

12、dized contractual terms. C. Payment of an initial margin to enter into a contract.12. A German company that exports machinery is expecting to receive $10 million in three months. The firm converts all its foreign currency receipts into euros. The chief financial officer of the company wishes to lock

13、 in a minimum fixed rate for converting the $10 million to euro but also wants to keep the flexibility to use the future spot rate if it is favorable. What hedging transaction is most likely to achieve this objective?A. Selling dollars forward.B. Buying put options on the dollar. C. Selling futures

14、contracts on dollars.13. A book publisher requires substantial quantities of paper. The publisher and a paper producer have entered into an agreement for the publisher to buy and the producer to supply a given quantity of paper four months later at a price agreed upon today. This agreement is a:A. f

15、utures contract. B. forward contract. C. commodity swap.14. The Standard & Poors Depositary Receipts （SPDRs） is an investment that tracks the S&P 500 stock market index. Purchases and sales of SPDRs during an average trading day are best described as:A. primary market transactions in a pooled invest

16、ment. B. secondary market transactions in a pooled investment. C. secondary market transactions in an actively managed investment.15. The Standard & Poors Depositary Receipts （SPDRs） is an exchange-traded fund in the United States that is designed to track the S&P 500 stock market index. The current

17、 price of a share of SPDRs is $113. A trader has just bought call options on shares of SPDRs for a premium of $3 per share. The call options expire in five months and have an exercise price of $120 per share. On the expiration date, the trader will exercise the call options （ignore any transaction c

18、osts） if and only if the shares of SPDRs are trading:A. below $120 per share.B. above $120 per share.C. above $123 per share.16. Which of the following statements about exchange-traded funds is most correct?A. Exchange-traded funds are not backed by any assets. B. The investment companies that creat

19、e exchange-traded funds are financial intermediaries.C. The transaction costs of trading shares of exchange-traded funds are substantially greater than the combined costs of trading the underlying assets of the fund.17. Jason Schmidt works for a hedge fund and he specializes in finding profit opport

20、unities that are the result of inefficiencies in the market for convertible bondsbonds that can be converted into a predetermined amount of a companys common stock. Schmidt tries to find convertibles that are priced inefficiently relative to the underlying stock. The trading strategy involves the si

21、multaneous purchase of the convertible bond and the short sale of the underlying common stock. The above process could best be described as:A. hedging. B. arbitrage. C. securitization.18. Pierre-Louis Robert just purchased a call option on shares of the Michelin Group. A few days ago he wrote a put

22、option on Michelin shares. The call and put options have the same exercise price, expiration date, and number of shares underlying. Considering both positions, Roberts exposure to the risk of the stock of the Michelin Group is:A. long. B. short. C. neutral.19. An online brokerage firm has set the mi

23、nimum margin requirement at 55 percent. What is the maximum leverage ratio associated with a position financed by this minimum margin requirement?A. 1.55. B. 1.82. C. 2.22.20. A trader has purchased 200 shares of a non-dividend-paying firm on margin at a price of $50 per share. The leverage ratio is

24、 2.5. Six months later, the trader sells these shares at $60 per share. Ignoring the interest paid on the borrowed amount and the transaction costs, what was the return to the trader during the six-month period?A. 20 percent. B. 33.33 percent. C. 50 percent.21. Jason Williams purchased 500 shares of

25、 a company at $32 per share. The stock was bought on 75 percent margin. One month later, Williams had to pay interest on the amount borrowed at a rate of 2 percent per month. At that time, Williams received a dividend of $0.50 per share. Immediately after that he sold the shares at $28 per share. He

26、 paid commissions of $10 on the purchase and $10 on the sale of the stock. What was the rate of return on this investment for the one-month period?A. 12.5 percent. B. 15.4 percent. C. 50.1 percent.22. Caroline Rogers believes the price of Gamma Corp. stock will go down in the near future. She has de

27、cided to sell short 200 shares of Gamma Corp. at the current market price of 47. The initial margin requirement is 40 percent. Which of the following is an appropriate statement regarding the margin requirement that Rogers is subject to on this short sale?A. She will need to contribute 3,760 as marg

28、in.B. She will need to contribute 5,640 as margin.C. She will only need to leave the proceeds from the short sale as deposit and does not need to contribute any additional funds.23. The current price of a stock is $25 per share. You have $10,000 to invest. You borrow an additional $10,000 from your

29、broker and invest $20,000 in the stock. If the maintenance margin is 30 percent, at what price will a margin call first occur?A. $9.62. B. $17.86. C. $19.71.24. You have placed a sell market-on-open ordera market order that would automatically be submitted at the markets open tomorrow and would fill at the market price. Your instruction, to sell the shares at t