投資練習(xí)題(含答案)投資練習(xí)題(含答案)投資練習(xí)題(含答案)投資練習(xí)題(含答案)編制僅供參考審核批準生效日期地址：電話：傳真:郵編: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) 0 B) 1 D) infinity E) noneoftheabove7、Theindexmodelwasfirstsuggestedby____________. A) Graham B) Markowitz C) Miller D) Sharpe E) noneoftheabove8、.Asingle-indexmodeluses__________asaproxyforthesystematicriskfactor. A) amarketindex,suchastheS&P500 B) thecurrentaccountdeficit C) thegrowthrateinGNP D) theunemploymentrate E) noneoftheabove9、Accordingtotheindexmodel,covariancesamongsecuritypairsare A) duetotheinfluenceofasinglecommonfactorrepresentedbythemarketindexreturn B) extremelydifficulttocalculate C) relatedtoindustry-specificevents D) usuallypositive E) AandD10、Inafactormodel,thereturnonastockinaparticularperiodwillberelatedto_________. A) firm-specificevents B) macroeconomicevents C) theerrorterm D) bothAandB E) neitherAnorB11、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) BandC13、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'sbetawascalculatedasinaregressionequation,MerrillLynchwouldstatetheadjustedbetaatanumber A) lessthanbutgreaterthanzero. B) betweenand. C) betweenand. D) greaterthan. E) zeroorless.18、ThebetaofExxonstockhasbeenestimatedasbyMerrillLynchusingregressionanalysisonasampleofhistoricalreturns.TheMerrillLynchadjustedbetaofExxonstockwouldbe___________. A) B) C) D) E) noneoftheabove19、Considerthesingle-indexmodel.Thealphaofastockis0%.Thereturnonthemarketindexis16%.Therisk-freerateofreturnis5%.Thestockearnsareturnthatexceedstherisk-freerateby11%andtherearenofirm-specificeventsaffectingthestockperformance.Theβofthestockis_______. A) B) C) D) E) 20、Supposeyouforecastthatthemarketindexwillearnareturnof15%inthecomingyear.Treasurybillsareyielding6%.TheunadjustedβofMobilstockis.AreasonableforecastofthereturnonMobilstockforthecomingyearis_________ifyouuseMerrillLynchadjustedbetas. A) % B) % C) % D) % E) noneoftheabove21、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) B) C) D) E) 24、Givenanoptimalriskyportfoliowithexpectedreturnof13%andstandarddeviationof26%andariskfreerateof5%,whatistheslopeofthebestfeasibleCAL A) B) C) D) E) 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) noneofthea