投资学第7版TestBank标准答案07.docx

投资学第7版TestBank标准答案07.docx

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投资学第7版TestBank标准答案07

MultipleChoiceQuestions

1.Marketriskisalsoreferredtoas

A）systematicrisk,diversifiablerisk.

B）systematicrisk,nondiversifiablerisk.

C）uniquerisk,nondiversifiablerisk.

D）uniquerisk,diversifiablerisk.

E）noneoftheabove.

Answer:

BDifficulty:

Easy

Rationale:

Market,systematic,andnondiversifiableriskaresynonymsreferringtotheriskthatcannotbeeliminatedfromtheportfolio.Diversifiable,unique,nonsystematic,andfirm-specificrisksaresynonymsreferringtotheriskthatcanbeeliminatedfromtheportfoliobydiversification.

2.Theriskthatcanbediversifiedawayis

A）firmspecificrisk.

B）beta.

C）systematicrisk.

D）marketrisk.

E）noneoftheabove.

Answer:

ADifficulty:

Easy

Rationale:

Seeexplanationsfor1and2above.

3.Thevarianceofaportfolioofriskysecurities

A）isaweightedsumofthesecurities'variances.

B）isthesumofthesecurities'variances.

C）istheweightedsumofthesecurities'variancesandcovariances.

D）isthesumofthesecurities'covariances.

E）noneoftheabove.

Answer:

CDifficulty:

Moderate

Rationale:

Thevarianceofaportfolioofriskysecuritiesisaweightedsumtakingintoaccountboththevarianceoftheindividualsecuritiesandthecovariancesbetweensecurities.

4.Theexpectedreturnofaportfolioofriskysecurities

A）isaweightedaverageofthesecurities'returns.

B）isthesumofthesecurities'returns.

C）istheweightedsumofthesecurities'variancesandcovariances.

D）AandC.

E）noneoftheabove.

Answer:

ADifficulty:

Easy

5.Otherthingsequal,diversificationismosteffectivewhen

A）securities'returnsareuncorrelated.

B）securities'returnsarepositivelycorrelated.

C）securities'returnsarehigh.

D）securities'returnsarenegativelycorrelated.

E）BandC.

Answer:

DDifficulty:

Moderate

Rationale:

Negativecorrelationamongsecuritiesresultsinthegreatestreductionofportfoliorisk,whichisthegoalofdiversification.

6.Theefficientfrontierofriskyassetsis

A）theportionoftheinvestmentopportunitysetthatliesabovetheglobalminimumvarianceportfolio.

B）theportionoftheinvestmentopportunitysetthatrepresentsthehigheststandarddeviations.

C）theportionoftheinvestmentopportunitysetwhichincludestheportfolioswiththeloweststandarddeviation.

D）thesetofportfoliosthathavezerostandarddeviation.

E）bothAandBaretrue.

Answer:

ADifficulty:

Moderate

Rationale:

Portfoliosontheefficientfrontierarethoseprovidingthegreatestexpectedreturnforagivenamountofrisk.Onlythoseportfoliosabovetheglobalminimumvarianceportfoliomeetthiscriterion.

7.TheCapitalAllocationLineprovidedbyarisk-freesecurityandNriskysecuritiesis

A）thelinethatconnectstherisk-freerateandtheglobalminimum-varianceportfoliooftheriskysecurities.

B）thelinethatconnectstherisk-freerateandtheportfoliooftheriskysecuritiesthathasthehighestexpectedreturnontheefficientfrontier.

C）thelinetangenttotheefficientfrontierofriskysecuritiesdrawnfromtherisk-freerate.

D）thehorizontallinedrawnfromtherisk-freerate.

E）noneoftheabove.

Answer:

CDifficulty:

Moderate

Rationale:

TheCapitalAllocationLinerepresentsthemostefficientcombinationsoftherisk-freeassetandriskysecurities.OnlyCmeetsthatdefinition.

8.Consideraninvestmentopportunitysetformedwithtwosecuritiesthatareperfectlynegativelycorrelated.Theglobalminimumvarianceportfoliohasastandarddeviationthatisalways

A）greaterthanzero.

B）equaltozero.

C）equaltothesumofthesecurities'standarddeviations.

D）equalto-1.

E）noneoftheabove.

Answer:

BDifficulty:

Difficult

Rationale:

Iftwosecuritieswereperfectlynegativelycorrelated,theweightsfortheminimumvarianceportfolioforthosesecuritiescouldbecalculated,andthestandarddeviationoftheresultingportfoliowouldbezero.

9.Whichofthefollowingstatementsis（are）trueregardingthevarianceofaportfoliooftworiskysecurities?

A）Thehigherthecoefficientofcorrelationbetweensecurities,thegreaterthereductionintheportfoliovariance.

B）Thereisalinearrelationshipbetweenthesecurities'coefficientofcorrelationandtheportfoliovariance.

C）Thedegreetowhichtheportfoliovarianceisreduceddependsonthedegreeofcorrelationbetweensecurities.

D）AandB.

E）AandC.

Answer:

CDifficulty:

Moderate

Rationale:

Thelowerthecorrelationbetweenthereturnsofthesecurities,themoreportfolioriskisreduced.

10.EfficientportfoliosofNriskysecuritiesareportfoliosthat

A）areformedwiththesecuritiesthathavethehighestratesofreturnregardlessoftheirstandarddeviations.

B）havethehighestratesofreturnforagivenlevelofrisk.

C）areselectedfromthosesecuritieswiththeloweststandarddeviationsregardlessoftheirreturns.

D）havethehighestriskandratesofreturnandthehigheststandarddeviations.

E）havetheloweststandarddeviationsandthelowestratesofreturn.

Answer:

BDifficulty:

Moderate

Rationale:

Portfoliosthatareefficientarethosethatprovidethehighestexpectedreturnforagivenlevelofrisk.

11.Whichofthefollowingstatement（s）is（are）trueregardingtheselectionofaportfoliofromthosethatlieontheCapitalAllocationLine?

A）Lessrisk-averseinvestorswillinvestmoreintherisk-freesecurityandlessintheoptimalriskyportfoliothanmorerisk-averseinvestors.

B）Morerisk-averseinvestorswillinvestlessintheoptimalriskyportfolioandmoreintherisk-freesecuritythanlessrisk-averseinvestors.

C）Investorschoosetheportfoliothatmaximizestheirexpectedutility.

D）AandC.

E）BandC.

Answer:

EDifficulty:

Moderate

Rationale:

Allrationalinvestorsselecttheportfoliothatmaximizestheirexpectedutility;forinvestorswhoarerelativelymorerisk-averse,doingsomeansinvestinglessintheoptimalriskyportfolioandmoreintherisk-freeasset.

Usethefollowingtoanswerquestions12-18:

ConsiderthefollowingprobabilitydistributionforstocksAandB:

12.TheexpectedratesofreturnofstocksAandBare_____and_____,respectively.

A）13.2%;9%

B）14%;10%

C）13.2%;7.7%

D）7.7%;13.2%

E）noneoftheabove

Answer:

CDifficulty:

Easy

Rationale:

E（RA）=0.1（10%）+0.2（13%）+0.2（12%）+0.3（14%）+0.2（15%）=13.2%;E（RB）=0.1（8%）+0.2（7%）+0.2（6%）+0.3（9%）+0.2（8%）=7.7%.

13.ThestandarddeviationsofstocksAandBare_____and_____,respectively.

A）1.5%;1.9%

B）2.5%;1.1%

C）3.2%;2.0%

D）1.5%;1.1%

E）noneoftheabove

Answer:

DDifficulty:

Moderate

Rationale:

sA=[0.1（10%-13.2%）2+0.2（13%-13.2%）2+0.2（12%-13.2%）2+0.3（14%-13.2%）2+0.2（15%-13.2%）2]1/2=1.5%;sB=[0.1（8%-7.7%）2+0.2（7%-7.7%）2+0.2（6%-7.7%）2+0.3（9%-7.7%）2+0.2（8%-7.7%）2=1.1%.

14.ThecoefficientofcorrelationbetweenAandBis

A）0.47.

B）0.60.

C）0.58

D）1.20.

E）noneoftheabove.

Answer:

ADifficulty:

Difficult

Rationale:

covA,B=0.1（10%-13.2%）（8%-7.7%）+0.2（13%-13.2%）（7%-7.7%）+0.2（12%-13.2%）（6%-7.7%）+0.3（14%-13.2%）（9%-7.7%）+0.2（15%-13.2%）（8%-7.7%）=0.76;rA,B=0.76/[（1.1）（1.5）]=0.47.

15.Ifyouinvest40%ofyourmoneyinAand60%inB,whatwouldbeyourportfolio'sexpectedrateofreturnandstandarddeviation?

A）9.9%;3%

B）9.9%;1.1%

C）11%;1.1%

D）11%;3%

E）noneoftheabove

Answer:

BDifficulty:

Difficult

Rationale:

E（RP）=0.4（13.2%）+0.6（7.7%）=9.9%;sP=[（0.4）2（1.5）2+（0.6）2（1.1）2+2（0.4）（0.6）（1.5）（1.1）（0.46）]1/2=1.1%.

16.LetGbetheglobalminimumvarianceportfolio.TheweightsofAandBinGare__________and__________,respectively.

A）0.40;0.60

B）0.66;0.34

C）0.34;0.66

D）0.76;0.24

E）0.24;0.76

Answer:

EDifficulty:

Difficult

Rationale:

wA=[（1.1）2-（1.5）（1.1）（0.46）]/[（1.5）2+（1.1）2-

（2）（1.5）（1.1）（0.46）=0.23;wB=1-0.23=0.77.Notethattheabovesolutionassumesthesolutionsobtainedinquestion13and14.

17.Theexpectedrateofreturnandstandarddeviationoftheglobalminimumvarianceportfolio,G,are__________and__________,respectively.

A）10.07%;1.05%

B）9.04%;2.03%

C）10.07%;3.01%

D）9.04%;1.05%

E）noneoftheabove

Answer:

DDifficulty:

Moderate

Rationale:

E（RG）=0.23（13.2%）+0.77（7.7%）=8.97%.9%;sG=[（0.23）2（1.5）2+（0.77）2（1.1）2+

（2）（0.23）（0.77）（1.5）（1.1）（0.46）]1/2=1.05%.

18.Whichofthefollowingportfolio（s）is（are）ontheefficientfrontier?

A）Theportfoliowith20percentinAand80percentinB.

B）Theportfoliowith15percentinAand85percentinB.

C）Theportfoliowith26percentinAand74percentinB.

D）Theportfoliowith10percentinAand90percentinB.

E）AandBarebothontheefficientfrontier.

Answer:

CDifficulty:

Difficult

Rationale:

ThePortfolio'sE（Rp）,sp,Reward/volatilityratiosare20A/80B:

8.8%,1.05%,8.38;15A/85B:

8.53%,1.06%,8.07;26A/74B:

9.13%,1.05%,8.70;10A/90B:

8.25%,1.07%,7.73.Theportfoliowith26%inAand74%inBdominatesalloftheotherportfoliosbythemean-variancecriterion.

Usethefollowingtoanswerquestions19-21:

ConsidertwoperfectlynegativelycorrelatedriskysecuritiesAandB.Ahasanexpectedrateofreturnof10%andastandarddeviationof16%.Bhasanexpectedrateofreturnof8%andastandarddeviationof12%.

19.TheweightsofAandBintheglobalminimumvarianceportfolioare_____and_____,respectively.

A）0.24;0.76

B）0.50;0.50