投资学第7版testbank答案07.docx
- 文档编号:3532173
- 上传时间:2023-05-06
- 格式:DOCX
- 页数:31
- 大小:84.26KB
投资学第7版testbank答案07.docx
《投资学第7版testbank答案07.docx》由会员分享,可在线阅读,更多相关《投资学第7版testbank答案07.docx(31页珍藏版)》请在冰点文库上搜索。
投资学第7版testbank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)%;9%
B)14%;10%
C)%;%
D)%;%
E)noneoftheabove
Answer:
CDifficulty:
Easy
Rationale:
E(RA)=(10%)+(13%)+(12%)+(14%)+(15%)=%;E(RB)=(8%)+(7%)+(6%)+(9%)+(8%)=%.
13.ThestandarddeviationsofstocksAandBare_____and_____,respectively.
A)%;%
B)%;%
C)%;%
D)%;%
E)noneoftheabove
Answer:
DDifficulty:
Moderate
Rationale:
sA=[(10%-%)2+(13%-%)2+(12%-%)2+(14%-%)2+(15%-%)2]1/2=%;sB=[(8%-%)2+(7%-%)2+(6%-%)2+(9%-%)2+(8%-%)2=%.
14.ThecoefficientofcorrelationbetweenAandBis
A).
B).
C)
D).
E)noneoftheabove.
Answer:
ADifficulty:
Difficult
Rationale:
covA,B=(10%-%)(8%-%)+(13%-%)(7%-%)+(12%-%)(6%-%)+(14%-%)(9%-%)+(15%-%)(8%-%)=;rA,B=[]=.
15.Ifyouinvest40%ofyourmoneyinAand60%inB,whatwouldbeyourportfolio'sexpectedrateofreturnandstandarddeviation
A)%;3%
B)%;%
C)11%;%
D)11%;3%
E)noneoftheabove
Answer:
BDifficulty:
Difficult
Rationale:
E(RP)=%)+%)=%;sP=[22+22+2]1/2=%.
16.LetGbetheglobalminimumvarianceportfolio.TheweightsofAandBinGare__________and__________,respectively.
A);
B);
C);
D);
E);
Answer:
EDifficulty:
Difficult
Rationale:
wA=[2-]/[2+2-
(2)=;wB=1-=thattheabovesolutionassumesthesolutionsobtainedinquestion13and14.
17.Theexpectedrateofreturnandstandarddeviationoftheglobalminimumvarianceportfolio,G,are__________and__________,respectively.
A)%;%
B)%;%
C)%;%
D)%;%
E)noneoftheabove
Answer:
DDifficulty:
Moderate
Rationale:
E(RG)=%)+%)=%.9%;sG=[22+22+
(2)]1/2=%.
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:
%,%,;15A/85B:
%,%,;26A/74B:
%,%,;10A/90B:
%,%,.Theportfoliowith26%inAand74%inBdominatesalloftheotherportfoliosbythemean-variancecriterion.
Usethefollowingtoanswerquestions19-21:
ConsidertwoperfectlynegativelycorrelatedriskysecuritiesAandB.Ahasanexpectedrateofreturnof10%andastandarddeviationof16%.Bhasanexpectedrateofreturnof8%andastandarddeviationof12%.
19.TheweightsofAandBintheglobalminimumvarianceportfolioare_____and_____,respectively.
A);
B);
C);
D);
E);
Answer:
DDifficulty:
Moderate
Rationale:
wA=12/(16+12)=;wB=1-=.
20.Therisk-freeportfoliothatcanbeformedwiththetwosecuritieswillearn_____rateofreturn.
A)%
B)%
C)%
D)%
E)noneoftheabove
Answer:
CDifficulty:
Difficult
Rationale:
E(RP)=(10%)+(8%)=%.
21.Whichofthefollowingportfolio(s)is(are)mostefficient
A)45percentinAand55percentinB.
B)65percentinAand35percentinB.
C)35percentinAand65percentinB.
D)AandBarebothefficient.
E)AandCarebothefficient.
- 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:
- 投资 testbank 答案 07
![提示](https://static.bingdoc.com/images/bang_tan.gif)