金融工程相关习题及答案.docx

金融工程相关习题及答案.docx

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金融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,tosellthesharesatth