投资练习题含答案.docx
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投资练习题含答案
1、Theefficientfrontierofriskyassetsis
A）theportionoftheinvestmentopportunitysetthatliesabovetheglobalminimumvarianceportfolio.
B）theportionoftheinvestmentopportunitysetthatrepresentsthehigheststandarddeviations.
C）theportionoftheinvestmentopportunitysetwhichincludestheportfolioswiththeloweststandarddeviation.
D）thesetofportfoliosthathavezerostandarddeviation.
E）bothAandBaretrue.
2、TheCapitalAllocationLineprovidedbyarisk-freesecurityandNriskysecuritiesis______
A）thelinethatconnectstherisk-freerateandtheglobalminimum-varianceportfoliooftheriskysecurities.
B）thelinethatconnectstherisk-freerateandtheportfoliooftheriskysecuritiesthathasthehighestexpectedreturnontheefficientfrontier.
C）thelinetangenttotheefficientfrontierofriskysecuritiesdrawnfromtherisk-freerate.
D）thehorizontallinedrawnfromtherisk-freerate.
E）noneoftheabove.
3、Consideraninvestmentopportunitysetformedwithtwosecuritiesthatareperfectlynegativelycorrelated.Theglobalminimumvarianceportfoliohasastandarddeviationthatisalways_____
A）greaterthanzero.
B）equaltozero.
C）equaltothesumofthesecurities'standarddeviations.
D）equalto-1.
E）noneoftheabove.
4、Whichofthefollowingstatementsis（are）trueregardingthevarianceofaportfoliooftworiskysecurities
A）Thehigherthecoefficientofcorrelationbetweensecurities,thegreaterthereductionintheportfoliovariance.
B）Thereisalinearrelationshipbetweenthesecurities'coefficientofcorrelationandtheportfoliovariance.
C）Thedegreetowhichtheportfoliovarianceisreduceddependsonthedegreeofcorrelationbetweensecurities.
D）AandB.
E）AandC.
5、EfficientportfoliosofNriskysecuritiesareportfoliosthat
A）areformedwiththesecuritiesthathavethehighestratesofreturnregardlessoftheirstandarddeviations.
B）havethehighestratesofreturnforagivenlevelofrisk.
C）areselectedfromthosesecuritieswiththeloweststandarddeviationsregardlessoftheirreturns.
D）havethehighestriskandratesofreturnandthehigheststandarddeviations.
E）havetheloweststandarddeviationsandthelowestratesofreturn.
6、Asdiversificationincreases,thetotalvarianceofaportfolioapproaches____________.
A）0B）1C）thevarianceofthemarketportfolio
D）infinityE）noneoftheabove
7、Theindexmodelwasfirstsuggestedby____________.
A）GrahamB）MarkowitzC）MillerD）Sharpe
E）noneoftheabove
8、.Asingle-indexmodeluses__________asaproxyforthesystematicriskfactor.
A）amarketindex,suchastheS&P500
B）thecurrentaccountdeficit
C）thegrowthrateinGNP
D）theunemploymentrate
E）noneoftheabove
9、Accordingtotheindexmodel,covariancesamongsecuritypairsare
A）duetotheinfluenceofasinglecommonfactorrepresentedbythemarketindexreturn
B）extremelydifficulttocalculate
C）relatedtoindustry-specificevents
D）usuallypositive
E）AandD
10、Inafactormodel,thereturnonastockinaparticularperiodwillberelatedto_________.
A）firm-specificeventsB）macroeconomiceventsC）theerrorterm
D）bothAandBE）neitherAnorB
11、Whichofthefollowingstatement（s）is（are）trueregardingtheselectionofaportfoliofromthosethatlieontheCapitalAllocationLine
A）Lessrisk-averseinvestorswillinvestmoreintherisk-freesecurityandlessintheoptimalriskyportfoliothanmorerisk-averseinvestors.
B）Morerisk-averseinvestorswillinvestlessintheoptimalriskyportfolioandmoreintherisk-freesecuritythanlessrisk-averseinvestors.
C）Investorschoosetheportfoliothatmaximizestheirexpectedutility.
D）AandC.
E）BandC.
12、AninvestorwhowishestoformaportfoliothatliestotherightoftheoptimalriskyportfolioontheCapitalAllocationLinemust:
A）lendsomeofhermoneyattherisk-freerateandinvesttheremainderintheoptimalriskyportfolio.
B）borrowsomemoneyattherisk-freerateandinvestintheoptimalriskyportfolio.
C）investonlyinriskysecurities.
D）suchaportfoliocannotbeformed.
E）BandC
13、PortfoliotheoryasdescribedbyMarkowitzismostconcernedwith:
A）theeliminationofsystematicrisk.
B）theeffectofdiversificationonportfoliorisk.
C）theidentificationofunsystematicrisk.
D）activeportfoliomanagementtoenhancereturns.
E）noneoftheabove.
14、ThemeasureofriskinaMarkowitzefficientfrontieris:
A）specificrisk.
B）standarddeviationofreturns.
C）reinvestmentrisk.
D）beta.
E）noneoftheabove.
15、Astatisticthatmeasureshowthereturnsoftworiskyassetsmovetogetheris:
A）variance.B）standarddeviation.C）covariance.D）correlation.
E）CandD.
16、RosenbergandGuyfoundthat__________helpedtopredictafirm'sbeta.
A）thefirm'sfinancialcharacteristics
B）thefirm'sindustrygroup
C）firmsize
D）bothAandB
E）A,BandCallhelpedtopredictbetas.
17、Ifafirm'sbetawascalculatedas0.6inaregressionequation,MerrillLynchwouldstatetheadjustedbetaatanumber
A）lessthanbutgreaterthanzero.
B）betweenand.
C）betweenand.
D）greaterthan.
E）zeroorless.
18、ThebetaofExxonstockhasbeenestimatedasbyMerrillLynchusingregressionanalysisonasampleofhistoricalreturns.TheMerrillLynchadjustedbetaofExxonstockwouldbe___________.
A）B）1.32C）D）E）noneoftheabove
19、Considerthesingle-indexmodel.Thealphaofastockis0%.Thereturnonthemarketindexis16%.Therisk-freerateofreturnis5%.Thestockearnsareturnthatexceedstherisk-freerateby11%andtherearenofirm-specificeventsaffectingthestockperformance.Theβofthestockis_______.
A）B）0.75C）D）E）
20、Supposeyouforecastthatthemarketindexwillearnareturnof15%inthecomingyear.Treasurybillsareyielding6%.TheunadjustedβofMobilstockis.AreasonableforecastofthereturnonMobilstockforthecomingyearis_________ifyouuseMerrillLynchadjustedbetas.
A）%B）%C）%D）%E）noneoftheabove
21、Theunsystematicriskofaspecificsecurity
A）islikelytobehigherinanincreasingmarket.
B）resultsfromfactorsuniquetothefirm.
C）dependsonmarketvolatility.
D）cannotbediversifiedaway.
E）noneoftheabove.
22、Whichstatementaboutportfoliodiversificationiscorrect
A）Properdiversificationcanreduceoreliminatesystematicrisk.
B）Therisk-reducingbenefitsofdiversificationdonotoccurmeaningfullyuntilatleast50-60individualsecuritieshavebeenpurchased.
C）Becausediversificationreducesaportfolio'stotalrisk,itnecessarilyreducestheportfolio'sexpectedreturn.
D）Typically,asmoresecuritiesareaddedtoaportfolio,totalriskwouldbeexpectedtodecreaseatadecreasingrate.
E）Noneoftheabovestatementsiscorrect.
23、Givenanoptimalriskyportfoliowithexpectedreturnof12%andstandarddeviationof23%andariskfreerateof3%,whatistheslopeofthebestfeasibleCAL
A）B）0.39C）D）E）
24、Givenanoptimalriskyportfoliowithexpectedreturnof13%andstandarddeviationof26%andariskfreerateof5%,whatistheslopeofthebestfeasibleCAL
A）B）0.14C）D）E）
25、Theindividualinvestor'soptimalportfolioisdesignatedby:
A）Thepointoftangencywiththeindifferencecurveandthecapitalallocationline.
B）Thepointofhighestrewardtovariabilityratiointheopportunityset.
C）Thepointoftangencywiththeopportunitysetandthecapitalallocationline.
D）Thepointofthehighestrewardtovariabilityratiointheindifferencecurve.
E）Noneoftheabove.
26、Thesingle-indexmodel
A）greatlyreducesthenumberofrequiredcalculations,relativetothoserequiredbytheMarkowitzmodel.
B）enhancestheunderstandingofsystematicversusnonsystematicrisk.
C）greatlyincreasesthenumberofrequiredcalculations,relativetothoserequiredbytheMarkowitzmodel.
D）AandB.E）BandC.
27、TheSecurityCharacteristicLine（SCL）
A）plotstheexcessreturnonasecurityasafunctionoftheexcessreturnonthemarket.
B）allowsonetoestimatethebetaofthesecurity.
C）allowsonetoestimatethealphaofthesecurity.
D）alloftheabove.E）noneoftheabove.
28、Theexpectedimpactofunanticipatedmacroeconomiceventsonasecurity'sreturnduringtheperiodis
A）includedinthesecurity'sexpectedreturn.B）zero.
C）equaltotheriskfreerate.D）proportionaltothefirm'sbeta.E）infinite.
29、Covariancesbetweensecurityreturnstendtobe
A）positivebecauseofSECregulations.
B）positivebecauseofExchangeregulations.
C）positivebecauseofeconomicforcesthataffectmanyfirms.
D）negativebecauseofSECregulations
E）negativebecauseofeconomicforcesthataffectmanyfirms.
30、One“cost”ofthesingle-indexmodelisthatit
A）isvirtuallyimpossibletoapply.
B）prohibitsspecializationofeffortswithinthesecurityanalysisindustry.
C）requiresforecastsofthemoneysupply.
D）islegallyprohibitedbytheSEC.
E）allowsforonlytwokindsofrisk--macroriskandmicrorisk.
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