06 投资学 第七版.docx
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06 投资学 第七版.docx
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06投资学第七版
MultipleChoiceQuestions
C1.Whichofthefollowingstatementsregardingrisk-averseinvestorsistrue?
A)Theyonlycareabouttherateofreturn.
B)Theyacceptinvestmentsthatarefairgames.
C)Theyonlyacceptriskyinvestmentsthatofferriskpremiumsovertherisk-freerate.
D)Theyarewillingtoacceptlowerreturnsandhighrisk.
E)AandB.
C2.Whichofthefollowingstatementsis(are)true?
I)Risk-averseinvestorsrejectinvestmentsthatarefairgames.
II)Risk-neutralinvestorsjudgeriskyinvestmentsonlybytheexpectedreturns.
III)Risk-averseinvestorsjudgeinvestmentsonlybytheirriskiness.
IV)Risk-lovinginvestorswillnotengageinfairgames.
A)Ionly
B)IIonly
C)IandIIonly
D)IIandIIIonly
E)II,III,andIVonly
Rationale:
Risk-averseinvestorsconsiderariskyinvestmentonlyiftheinvestmentoffersariskpremium.Risk-neutralinvestorslookonlyatexpectedreturnswhenmakinganinvestmentdecision.
C3.Inthemean-standarddeviationgraphanindifferencecurvehasa________slope.
A)negative
B)zero
C)positive
D)northeast
E)cannotbedetermined
Rationale:
Therisk-returntrade-offisoneinwhichgreaterriskistakenifgreaterreturnscanbeexpected,resultinginapositiveslope.
C4.Inthemean-standarddeviationgraph,whichoneofthefollowingstatementsistrueregardingtheindifferencecurveofarisk-averseinvestor?
A)Itisthelocusofportfoliosthathavethesameexpectedratesofreturnanddifferentstandarddeviations.
B)Itisthelocusofportfoliosthathavethesamestandarddeviationsanddifferentratesofreturn.
C)Itisthelocusofportfoliosthatofferthesameutilityaccordingtoreturnsandstandarddeviations.
D)Itconnectsportfoliosthatofferincreasingutilitiesaccordingtoreturnsandstandarddeviations.
E)noneoftheabove.
Rationale:
Indifferencecurvesplottrade-offalternativesthatprovideequalutilitytotheindividual(inthiscase,thetrade-offsaretherisk-returncharacteristicsoftheportfolios).
D5.Inareturn-standarddeviationspace,whichofthefollowingstatementsis(are)trueforrisk-averseinvestors?
(Theverticalandhorizontallinesarereferredtoastheexpectedreturn-axisandthestandarddeviation-axis,respectively.)
I)Aninvestor'sownindifferencecurvesmightintersect.
II)Indifferencecurveshavenegativeslopes.
III)Inasetofindifferencecurves,thehighestoffersthegreatestutility.
IV)Indifferencecurvesoftwoinvestorsmightintersect.
A)IandIIonly
B)IIandIIIonly
C)IandIVonly
D)IIIandIVonly
E)noneoftheabove
Rationale:
Aninvestor'sindifferencecurvesareparallel,andthuscannotintersectandhavepositiveslopes.Thehighestindifferencecurve(theoneinthemostnorthwesternposition)offersthegreatestutility.Indifferencecurvesofinvestorswithsimilarrisk-returntrade-offsmightintersect.
D6.Eliasisarisk-averseinvestor.Davidisalessrisk-averseinvestorthanElias.Therefore,
A)forthesamerisk,DavidrequiresahigherrateofreturnthanElias.
B)forthesamereturn,EliastolerateshigherriskthanDavid.
C)forthesamerisk,EliasrequiresalowerrateofreturnthanDavid.
D)forthesamereturn,DavidtolerateshigherriskthanElias.
E)cannotbedetermined.
Rationale:
Themoreriskaversetheinvestor,thelessriskthatistolerated,givenarateofreturn.
D7.Whenaninvestmentadvisorattemptstodetermineaninvestor'srisktolerance,whichfactorwouldtheybeleastlikelytoassess?
A)theinvestor'spriorinvestingexperience
B)theinvestor'sdegreeoffinancialsecurity
C)theinvestor'stendencytomakeriskyorconservativechoices
D)thelevelofreturntheinvestorprefers
E)theinvestor'sfeelingaboutloss
Usethefollowingtoanswerquestions8-9:
Assumeaninvestorwiththefollowingutilityfunction:
U=E(r)-3/2(s2).
C8.Tomaximizeherexpectedutility,shewouldchoosetheassetwithanexpectedrateofreturnof_______andastandarddeviationof________,respectively.
A)12%;20%
B)10%;15%
C)10%;10%
D)8%;10%
E)noneoftheabove
Rationale:
U=0.10-3/2(0.10)2=8.5%;highestutilityofchoices.
C9.Tomaximizeherexpectedutility,whichoneofthefollowinginvestmentalternativeswouldshechoose?
A)Aportfoliothatpays10percentwitha60percentprobabilityor5percentwith40percentprobability.
B)Aportfoliothatpays10percentwith40percentprobabilityor5percentwitha60percentprobability.
C)Aportfoliothatpays12percentwith60percentprobabilityor5percentwith40percentprobability.
D)Aportfoliothatpays12percentwith40percentprobabilityor5percentwith60percentprobability.
E)noneoftheabove.
Rationale:
U(c)=9.02%;highestutilityofpossibilities.
D10.Aportfoliohasanexpectedrateofreturnof0.15andastandarddeviationof0.15.Therisk-freerateis6percent.Aninvestorhasthefollowingutilityfunction:
U=E(r)-(A/2)s2.WhichvalueofAmakesthisinvestorindifferentbetweentheriskyportfolioandtherisk-freeasset?
A)5
B)6
C)7
D)8
E)noneoftheabove
Rationale:
0.06=0.15-A/2(0.15)2;0.06-0.15=-A/2(0.0225);-0.09=-0.01125A;A=8;U=0.15-8/2(0.15)2=6%;U(Rf)=6%.
A11.Accordingtothemean-variancecriterion,whichoneofthefollowinginvestmentsdominatesallothers?
A)E(r)=0.15;Variance=0.20
B)E(r)=0.10;Variance=0.20
C)E(r)=0.10;Variance=0.25
D)E(r)=0.15;Variance=0.25
E)noneofthesedominatestheotheralternatives.
Rationale:
Agivesthehighestreturnwiththeleastrisk;returnperunitofriskis.75,whichdominatesthereward-riskratiofortheotherchoices.
C12.Considerariskyportfolio,A,withanexpectedrateofreturnof0.15andastandarddeviationof0.15,thatliesonagivenindifferencecurve.Whichoneofthefollowingportfoliosmightlieonthesameindifferencecurve?
A)E(r)=0.15;Standarddeviation=0.20
B)E(r)=0.15;Standarddeviation=0.10
C)E(r)=0.10;Standarddeviation=0.10
D)E(r)=0.20;Standarddeviation=0.15
E)E(r)=0.10;Standarddeviation=0.20
Rationale:
PortfolioAhasarewardtoriskratioof1.0;portfolioCistheonlychoicewiththesamerisk-returntradeoff.
Usethefollowingtoanswerquestions13-15:
C13.Basedontheutilityfunctionabove,whichinvestmentwouldyouselect?
A)1
B)2
C)3
D)4
E)cannottellfromtheinformationgiven
Rationale:
U(c)=0.21-4/2(0.16)2=15.88(highestutilityofchoices).
D14.Whichinvestmentwouldyouselectifyouwereriskneutral?
A)1
B)2
C)3
D)4
E)cannottellfromtheinformationgiven
Rationale:
Ifyouareriskneutral,youronlyconcerniswithreturn,notrisk.
B15.Thevariable(A)intheutilityfunctionrepresentsthe:
A)investor'sreturnrequirement.
B)investor'saversiontorisk.
C)certainty-equivalentrateoftheportfolio.
D)minimumrequiredutilityoftheportfolio.
E)noneoftheabove.
Rationale:
Aisanarbitraryscalefactorusedtomeasureinvestorrisktolerance.ThehigherthevalueofA,themoreriskaversetheinvestor.
D16.Theexactindifferencecurvesofdifferentinvestors
A)cannotbeknownwithperfectcertainty.
B)canbecalculatedpreciselywiththeuseofadvancedcalculus.
C)althoughnotknownwithperfectcertainty,doallowtheadvisortocreatemoresuitableportfoliosfortheclient.
D)AandC.
E)noneoftheabove.
Rationale:
Indifferencecurvescannotbecalculatedprecisely,butthetheorydoesallowforthecreationofmoresuitableportfoliosforinvestorsofdifferinglevelsofrisktolerance.
D17.Theriskinessofindividualassets
A)shouldbeconsideredfortheassetinisolation.
B)shouldbeconsideredinthecontextoftheeffectonoverallportfoliovolatility.
C)combinedwiththeriskinessofotherindividualassets(intheproportionstheseassetsconstituteoftheentireportfolio)shouldbetherelevantriskmeasure.
D)BandC.
E)noneoftheabove.
Rationale:
Therelevantriskisportfoliorisk;thus,theriskinessofanindividualsecurityshouldbeconsideredinthecontextoftheportfolioasawhole.
D18.Afairgame
A)willnotbeundertakenbyarisk-averseinvestor.
B)isariskyinvestmentwithazeroriskpremium.
C)isarisklessinvestment.
D)BothAandBaretrue.
E)BothAandCaretrue.
Rationale:
Afairgameisariskyinvestmentwithapayoffexactlyequaltoitsexpectedvalue.Sinceitoffersnoriskpremium,itwillnotbeacceptabletoarisk-averseinvestor.
B19.Thepresenceofriskmeansthat
A)investorswilllosemoney.
B)morethanoneoutcomeispossible.
C)thestandarddeviationofthepayoffislargerthanitsexpectedvalue.
D)finalwealthwillbegreaterthaninitialwealth.
E)terminalwealthwillbelessthaninitialwealth.
Rationale:
Thepresenceofriskmeansthatmorethanoneoutcomeispossible.
E20.Theutilityscoreaninvestorassignstoaparticularportfolio,otherthingsequal,
A)willdecreaseastherateofreturnincreases.
B)willdecreaseasthestandarddeviationincreases.
C)willdecreaseasthevarianceincreases.
D)willincreaseasthevarianceincreases.
E)willincreaseastherateofreturnincreases.
Rationale:
Utilityisenhancedbyhigherexpectedreturnsanddiminishedbyhigherrisk.
A21.Thecertaintyequivalentrateofaportfoliois
A)theratethatarisk-freeinvestmentwouldneedtoofferwithcertaintytobeconsideredequallyattractiveastheriskyportfolio.
B)t
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