投资学第7版TestBank答案27Word文件下载.docx
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投资学第7版TestBank答案27Word文件下载.docx
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B)thevarianceofthereturnofthebenchmarkportfolio
C)thevarianceofthereturndifferencebetweentheportfolioandthebenchmark
D)thevarianceofthereturnoftheactively-managedportfolio
CDifficulty:
3.Benchmarkportfoliorisk
A)isinevitableandisneverasignificantissueinpractice.
B)isinevitableandisalwaysasignificantissueinpractice.
C)cannotbeconstrainedtokeepaTreynor-Blackportfoliowithinreasonableweights.
D)canbeconstrainedtokeepaTreynor-Blackportfoliowithinreasonableweights.
DDifficulty:
4.____________canbeusedtomeasureforecastqualityandguideintheproperadjustmentofforecasts.
A)regressionanalysis
B)exponentialsmoothing
C)ARIMA
D)movingaveragemodels
E)GAUSS
5.Evenlow-qualityforecastshaveproventobevaluablebecauseR-squaresofonly____________inregressionsofanalysts'
forecastscanbeusedtosubstantiallyimproveportfolioperformance.
A)
B)
C)
D)
E)
EDifficulty:
6.The____________modelallowstheprivateviewsoftheportfoliomanagertobeincorporatedwithmarketdataintheoptimizationprocedure.
A)Black-Litterman
B)Treynor-Black
C)Treynor-Mazuy
D)Black-Scholes
7.TheBlack-LittermanmodelandTreynor-Blackmodelare
A)niceintheorybutpracticallyuselessinmodernportfoliomanagement.
B)complementarytoolsthatshouldbeusedinportfoliomanagement.
C)contradictorymodelscannotbeusetogether;
therefore,portfoliomanagersmustchoosewhichonesuitstheirneeds.
D)notusefulduetotheircomplexity.
BDifficulty:
8.TheBlack-Littermanmodelisgearedtoward____________whiletheTreynor-Blackmodelisgearedtoward____________.
A)securityanalysis;
securityanalysis
B)assetallocation;
assetallocation
C)securityanalysis;
D)assetallocation;
E)noneoftheabove
9.Alphaforecastsmustbe____________toaccountforless-than-perfectforecastingquality.Whenalphaforecastsare____________toaccountforforecastimprecision,theresultingportfoliopositionbecomes____________.
A)shrunk,shrunk,farlessmoderate
B)shrunk,shrunk,farmoremoderate
C)grossedup,grossedup,farlessmoderate
D)grossedup,grossedup,farmoremoderate
10.Trackingerrorisdefinedas
A)thedifferencebetweenthereturnsontheoverallriskyportfolioversusthebenchmarkreturn.
11.Thetrackingerrorofanoptimizedportfoliocanbeexpressedintermsofthe____________oftheportfolioandthusreveal____________.
A)return;
portfolioperformance
B)totalrisk;
C)beta;
D)beta;
benchmarkrisk
E)relativereturn;
12.TheTreynor-Blackmodelisamodelthatshowshowaninvestmentmanagercanusesecurityanalysisandstatisticstoconstruct__________.
A)amarketportfolio
B)apassiveportfolio
C)anactiveportfolio
D)anindexportfolio
E)abalancedportfolio
Easy
Rationale:
TheTreynor-Blackmodelutilizesthestatisticsofdiversificationtoselectsecuritiesforanactivelymanagedportfolio.
13.IfaportfoliomanagerconsistentlyobtainsahighSharpemeasure,themanager'
sforecastingability__________.
A)isaboveaverage
B)isaverage
C)isbelowaverage
D)doesnotexist.
E)cannotbedeterminedbasedontheSharpemeasure
ThemanagerwiththehighestSharpemeasurepresumablyhastrueforecastingabilities.
14.Activeportfoliomanagementconsistsof__________.
A)markettiming
B)securityanalysis
C)indexing
D)AandB
Althoughonecanengageinvariousdegreesofactiveportfoliomanagement(securityselectionwithoutmarkettimingandviceversa),themostactiveportfoliomanagementstrategyconsistsofengaginginbothpursuits.
15.Thecriticalvariableinthedeterminationofthesuccessoftheactiveportfoliois________.
A)alpha/systematicrisk
B)alpha/nonsystematicrisk
C)gamma/systematicrisk
D)gamma/nonsystematicrisk
Aportfoliowithapositivealphaisoutperformingthemarket.Ifthisportfolioalsohasalowdegreeofnonsystematicrisk,theportfolioisadequatelydiversified.
16.IntheTreynor-Blackmodel,theweightofeachsecurityintheportfolioshouldbeproportionaltoits__________.
A)alpha/beta
B)alpha/beta/residualvariance
C)beta/residualvariance
D)alpha/residualvariance
Usetheestimatesofalpha,beta,andresidualrisktodeterminetheoptimalweightofeachsecurityintheportfolio.
17.Activeportfoliomanagerstrytoconstructariskyportfoliowith__________.
A)ahigherSharpemeasurethanapassivestrategy
B)alowerSharpemeasurethanapassivestrategy
C)thesameSharpemeasureasapassivestrategy
D)veryfewsecurities
AhigherSharpemeasurethanapassivestrategyisindicativeofthebenefitsofactivemanagement.
18.Thebetaofanactiveportfoliois.Thestandarddeviationofthereturnsonthemarketindexis20%.Thenonsystematicvarianceoftheactiveportfoliois1%.Thestandarddeviationofthereturnsontheactiveportfoliois__________.
A)%
B)%
C)%
D)%
E)%
Difficult
s=[22+]1/2=[]1/2=%.
19.ConsidertheTreynor-Blackmodel.Thealphaofanactiveportfoliois2%.Theexpectedreturnonthemarketindexis16%.Thevarianceofreturnonthemarketportfoliois4%.Thenonsystematicvarianceoftheactiveportfoliois1%.Therisk-freerateofreturnis8%.Thebetaoftheactiveportfoliois1.Theoptimalproportiontoinvestintheactiveportfoliois__________.
A)0%
B)25%
C)50%
D)100%
wO=[2%/1%]/[(16%-8%)/4%]=1,or100%;
w*=1/[1+(1-1)1]=1.
20.ConsidertheTreynor-Blackmodel.Thealphaofanactiveportfoliois1%.Theexpectedreturnonthemarketindexis16%.Thevarianceofthereturnonthemarketportfoliois4%.Thenonsystematicvarianceoftheactiveportfoliois1%.Therisk-freerateofreturnis8%.Thebetaoftheactiveportfoliois.Theoptimalproportiontoinvestintheactiveportfoliois__________.
wO=[1%/1%]/[(16%-8%)/4%]=;
w*=[1+(1-]=,or%.
21.Thereappearstobearoleforatheoryofactiveportfoliomanagementbecause
A)someportfoliomanagershaveproducedsequencesofabnormalreturnsthataredifficulttolabelasluckyoutcomes.
B)the"
noise"
intherealizedreturnsisenoughtopreventtherejectionofthehypothesisthatsomemoneymanagershaveoutperformedapassivestrategybyastatisticallysmall,yeteconomic,margin.
C)someanomaliesinrealizedreturnshavebeenpersistentenoughtosuggestthatportfoliomanagerswhoidentifiedtheseanomaliesinatimelyfashioncouldhaveoutperformedapassivestrategyoverprolongedperiods.
D)AandB.
E)A,B,andC.
StatementsA,B,andCaretrue.
22.TheTreynor-Blackmodel
A)considersbothmacroeconomicandmicroeconomicrisks.
B)considerssecurityselectiononly.
C)isrelativelyeasytoimplement.
D)AandC.
E)BandC.
AandCaretrueforthemodel.
23.Toimprovefutureanalystforecastsusingthestatisticalpropertiesofpastforecasts,aregressionmodelcanbefittedtopastforecasts.Theinterceptoftheregressionisa__________coefficient,andtheregressionbetarepresentsa__________coefficient.
A)bias,precision
B)bias,bias
C)precision,precision
D)precision,bias
Theestimatedequationadjustsfutureforecastsfordirectionandmagnitudeofbiasanddegreeofimprecisioninpastforecasts.
24.Apurelypassivestrategyisdefinedas
A)onethatusesonlyi
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- 投资 TestBank 答案 27