Chapter 27 The Theory of Active Portfolio ManagementWord格式.docx
- 文档编号:18454723
- 上传时间:2022-12-16
- 格式:DOCX
- 页数:40
- 大小:54.28KB
Chapter 27 The Theory of Active Portfolio ManagementWord格式.docx
《Chapter 27 The Theory of Active Portfolio ManagementWord格式.docx》由会员分享,可在线阅读,更多相关《Chapter 27 The Theory of Active Portfolio ManagementWord格式.docx(40页珍藏版)》请在冰豆网上搜索。
Absentresearch,youshouldassumethealphaofastockis
zero.
positive.
negative.
notzero.
zeroorpositive.
3.
Ifyoubeginwitha______andobtainadditionaldatafromanexperimentyoucanforma______.
posteriordistribution;
priordistribution
priordistribution;
posteriordistribution
tightposterior;
Bayesiananalysis
tightprior;
4.
Benchmarkriskisdefinedas
thereturndifferencebetweentheportfolioandthebenchmark.
thestandarddeviationofthereturnofthebenchmarkportfolio.
thestandarddeviationofthereturndifferencebetweentheportfolioandthebenchmark.
thestandarddeviationofthereturnoftheactively-managedportfolio.
5.
Benchmarkrisk
isinevitableandisneverasignificantissueinpractice.
isinevitableandisalwaysasignificantissueinpractice.
cannotbeconstrainedtokeepaTreynor-Blackportfoliowithinreasonableweights.
canbeconstrainedtokeepaTreynor-Blackportfoliowithinreasonableweights.
6.
____________canbeusedtomeasureforecastqualityandguideintheproperadjustmentofforecasts.
Regressionanalysis
Exponentialsmoothing
ARIMA
Movingaveragemodels
GAUSS
7.
Evenlow-qualityforecastshaveproventobevaluablebecauseR-squaresofonly____________inregressionsofanalysts'
forecastscanbeusedtosubstantiallyimproveportfolioperformance.
0.656
0.452
0.258
0.153
0.001
8.
The____________modelallowstheprivateviewsoftheportfoliomanagertobeincorporatedwithmarketdataintheoptimizationprocedure.
Black-Litterman
Treynor-Black
Treynor-Mazuy
Black-Scholes
9.
TheBlack-LittermanmodelandTreynor-Blackmodelare
niceintheorybutpracticallyuselessinmodernportfoliomanagement.
complementarytoolsthatshouldbeusedinportfoliomanagement.
contradictorymodelsthatcannotbeusedtogether;
therefore,portfoliomanagersmustchoosewhichonesuitstheirneeds.
notusefulduetotheircomplexity.
10.
TheBlack-Littermanmodelisgearedtoward____________whiletheTreynor-Blackmodelisgearedtoward____________.
securityanalysis;
securityanalysis
assetallocation;
assetallocation
11.
Alphaforecastsmustbe____________toaccountforless-than-perfectforecastingquality.Whenalphaforecastsare____________toaccountforforecastimprecision,theresultingportfoliopositionbecomes____________.
shrunk;
shrunk;
farlessmoderate
shrunk,shrunk;
farmoremoderate
grossedup;
grossedup;
12.
Trackingerrorisdefinedas
thedifferencebetweenthereturnsontheoverallriskyportfolioversusthebenchmarkreturn.
thevarianceofthereturnofthebenchmarkportfolio.
thevarianceofthereturndifferencebetweentheportfolioandthebenchmark.
thevarianceofthereturnoftheactively-managedportfolio.
13.
Thetrackingerrorofanoptimizedportfoliocanbeexpressedintermsofthe____________oftheportfolioandthusreveals____________.
return;
portfolioperformance
totalrisk;
beta;
benchmarkrisk
relativereturn;
14.
TheTreynor-Blackmodelisamodelthatshowshowaninvestmentmanagercanusesecurityanalysisandstatisticstoconstruct__________.
amarketportfolio
apassiveportfolio
anactiveportfolio
anindexportfolio
abalancedportfolio
15.
IfaportfoliomanagerconsistentlyobtainsahighSharpemeasure,themanager'
sforecastingability__________.
isaboveaverage
isaverage
isbelowaverage
doesnotexist
cannotbedeterminedbasedontheSharpemeasure
16.
Activeportfoliomanagementconsistsof__________.
markettiming
securityanalysis
indexing
markettimingandsecurityanalysis
17.
Passiveportfoliomanagementconsistsof__________.
18.
Thecriticalvariableinthedeterminationofthesuccessoftheactiveportfoliois________.
alpha/systematicrisk
alpha/nonsystematicrisk
gamma/systematicrisk
gamma/nonsystematicrisk
19.
TheTreynor-Blackmodelrequiresestimatesof________.
alpha/beta
alpha/beta/residualvariance
beta/residualvariance
alpha/residualvariance
20.
Activeportfoliomanagerstrytoconstructariskyportfoliowith__________.
ahigherSharpemeasurethanapassivestrategy
alowerSharpemeasurethanapassivestrategy
thesameSharpemeasureasapassivestrategy
veryfewsecurities
21.
Thebetaofanactiveportfoliois1.20.Thestandarddeviationofthereturnsonthemarketindexis20%.Thenonsystematicvarianceoftheactiveportfoliois1%.Thestandarddeviationofthereturnsontheactiveportfoliois__________.
3.84%
5.84%
19.60%
24.17%
26.0%
22.
Thebetaofanactiveportfoliois1.36.Thestandarddeviationofthereturnsonthemarketindexis22%.Thenonsystematicvarianceoftheactiveportfoliois1.2%.Thestandarddeviationofthereturnsontheactiveportfoliois__________.
3.19%
31.86%
42.00%
27.57%
2.86%
23.
ConsidertheTreynor-Blackmodel.Thealphaofanactiveportfoliois2%.Theexpectedreturnonthemarketindexis16%.Thevarianceofreturnonthemarketportfoliois4%.Thenonsystematicvarianceoftheactiveportfoliois1%.Therisk-freerateofreturnis8%.Thebetaoftheactiveportfoliois1.Theoptimalproportiontoinvestintheactiveportfoliois__________.
0%
25%
50%
100%
24.
ConsidertheTreynor-Blackmodel.Thealphaofanactiveportfoliois1%.Theexpectedreturnonthemarketindexis16%.Thevarianceofthereturnonthemarketportfoliois4%.Thenonsystematicvarianceoftheactiveportfoliois1%.Therisk-freerateofreturnis8%.Thebetaoftheactiveportfoliois1.05.Theoptimalproportiontoinvestintheactiveportfoliois__________.
48.7%
50.0%
51.3%
100.0%
25.
Thereappearstobearoleforatheoryofactiveportfoliomanagementbecause
someportfoliomanagershaveproducedsequencesofabnormalreturnsthataredifficulttolabelasluckyoutcomes.
the"
noise"
intherealizedreturnsisenoughtopreventtherejectionofthehypothesisthatsomemoneymanagershaveoutperformedapassivestrategybyastatisticallysmall,yeteconomic,margin.
someanomaliesinrealizedreturnshavebeenpersistentenoughtosuggestthatportfoliomanagerswhoidentifiedtheseanomaliesinatimelyfashioncouldhaveoutperformedapassivestrategyoverprolongedperiods.
someportfoliomanagershaveproducedsequencesofabnormalreturnsthataredifficulttolabelasluckyoutcomes;
andthe"
the"
intherealizedreturnsisenoughtopreventtherejectionofthehypothesisthatsomemoneymanagershaveoutperformedapassivestrategybyastatisticallysmall,yeteconomic,margin;
andsomeanomaliesinrealizedreturnshavebeenpersistentenoughtosuggestthatportfoliomanagerswhoidentifiedtheseanomaliesinatimelyfashioncouldhaveoutperformedapassivestrategyoverprolongedperiods.
26.
TheTreynor-Blackmodel
considersbothmacroeconomicandmicroeconomicrisks.
considerssecurityselectiononly.
isnearlyimpossibletoimplement.
considersbothmacroeconomicandmicroeconomicrisksandisnearlyimpossibletoimplement.
considerssecurityselectiononlyandisnearlyimpossibletoimplement.
27.
WhichofthefollowingarenottrueregardingtheTreynor-Blackmodel?
considersbothmacroeconomicandmicroeconomicrisks
considerssecurityselectiononly
isnearlyimpossibletoimplement
considersbothmacroeconomicandmicroeconomicrisksandisnearlyimpossibletoimplement
considerssecurityselectiononlyandisnearlyimpossibletoimplement
28.
Toimprovefutureanalystforecastsusingthestatisticalpropertiesofpastforecasts,aregressionmodelcanbefittedtopastforecasts.Theinterceptoftheregressionisa__________coefficient,andtheregressionbe
- 配套讲稿:
如PPT文件的首页显示word图标,表示该PPT已包含配套word讲稿。双击word图标可打开word文档。
- 特殊限制:
部分文档作品中含有的国旗、国徽等图片,仅作为作品整体效果示例展示,禁止商用。设计者仅对作品中独创性部分享有著作权。
- 关 键 词:
- Chapter 27 The Theory of Active Portfolio Management
![提示](https://static.bdocx.com/images/bang_tan.gif)
链接地址:https://www.bdocx.com/doc/18454723.html