投资练习题含答案.docx
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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)lessthan0.6butgreaterthanzero.
B)between0.6and1.0.
C)between1.0and1.6.
D)greaterthan1.6.
E)zeroorless.
18、ThebetaofExxonstockhasbeenestimatedas1.2byMerrillLynchusingregressionanalysisonasampleofhistoricalreturns.TheMerrillLynchadjustedbetaofExxonstockwouldbe___________.
A)1.20B)1.32C)1.13D)1.0E)noneoftheabove
19、Considerthesingle-indexmodel.Thealphaofastockis0%.Thereturnonthemarketindexis16%.Therisk-freerateofreturnis5%.Thestockearnsareturnthatexceedstherisk-freerateby11%andtherearenofirm-specificeventsaffectingthestockperformance.Theβofthestockis_______.
A)0.67B)0.75C)1.0D)1.33E)1.50
20、Supposeyouforecastthatthemarketindexwillearnareturnof15%inthecomingyear.Treasurybillsareyielding6%.TheunadjustedβofMobilstockis1.30.AreasonableforecastofthereturnonMobilstockforthecomingyearis_________ifyouuseMerrillLynchadjustedbetas.
A)15.0%B)15.5%C)16.0%D)16.8%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)0.64B)0.39C)0.08D)0.35E)0.36
24、Givenanoptimalriskyportfoliowithexpectedreturnof13%andstandarddeviationof26%andariskfreerateof5%,whatistheslopeofthebestfeasibleCAL?
A)0.60B)0.14C)0.08D)0.36E)0.31
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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A
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B
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B
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A
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