2025年CFA《數(shù)量方法》歷年真題卷考試時間：______分鐘總分：______分姓名：______試卷內(nèi)容1.Consideradatasetconsistingofthefollowingannualreturns:5%,10%,-3%,8%,12%.Themedianreturnforthisdatasetisclosestto:A.5.0%B.7.6%C.8.0%D.9.0%2.Thevarianceofasetofreturnsis0.04.Whatisthestandarddeviationofthesereturns?A.0.2B.0.4C.0.6325D.0.83.Astockhasanexpectedreturnof15%andastandarddeviationof30%.Theprobabilitythatthestock'sreturnwillbelessthan-15%isclosestto:A.0.5B.0.1587C.0.8413D.0.97724.Ifthecorrelationcoefficientbetweentwoassetsis0.6,thepotentialfordiversificationbenefitsbycombiningtheseassetsinaportfoliois:A.HighB.ModerateC.LowD.Impossibletodetermine5.AfinancialanalystbelievesthatthereturnonAssetAisnormallydistributedwithameanof12%andastandarddeviationof4%.TheprobabilitythatthereturnonAssetAexceeds20%isclosestto:A.0.1587B.0.3413C.0.4750D.0.84136.Asampleof30observationsisusedtoestimatethemeanreturnofanasset.Thesamplemeanreturnis8%andthesamplestandarddeviationis5%.A95%confidenceintervalforthepopulationmeanreturnisclosestto:A.8%±0.98B.8%±1.96C.8%±2.045D.8%±2.577.Atwo-tailedhypothesistestisconductedatthe5%significancelevel.Ifthecalculatedp-valueis0.08,whatistheconclusion?A.RejectthenullhypothesisB.FailtorejectthenullhypothesisC.ThetestisinconclusiveD.Thesignificancelevelistoolow8.Inasimplelinearregressionanalysis,theregressionequationis:Return=5+2*Beta.Whichofthefollowingstatementsiscorrect?A.Aone-unitincreaseinBetaisassociatedwitha5%increaseinReturn,holdingotherfactorsconstant.B.Aone-unitincreaseinBetaisassociatedwitha2%increaseinReturn,holdingotherfactorsconstant.C.Theintercept(5)representstheexpectedReturnwhenBetaiszero.D.Theslope(2)representsthevarianceoftheReturn.9.Whichofthefollowingisapotentialproblemwithusingasimplelinearregressionmodel?A.HomoscedasticityB.MulticollinearityC.NormaldistributionofresidualsD.Perfectpositivecorrelationbetweentheindependentanddependentvariables10.Aportfolioconsistsoftwoassets,AandB,withweightsof60%and40%respectively.AssetAhasanexpectedreturnof10%andastandarddeviationof15%.AssetBhasanexpectedreturnof14%andastandarddeviationof25%.IfthecorrelationcoefficientbetweenAssetAandAssetBis0.2,thevarianceoftheportfolioreturnisclosestto:A.0.0484B.0.0784C.0.0925D.0.122511.Afinancialinstitutionusesabinomialdistributiontomodelthenumberofloandefaultsinamonth.Iftheprobabilityofadefaultis2%andthereare100loans,theexpectednumberofdefaultsinamonthisclosestto:A.0.2B.2.0C.20.0D.200.012.Thet-distributionisusedinsteadofthestandardnormaldistributionprimarilybecause:A.IthasahighervarianceB.ItismorecomplexC.ItaccountsforsamplesizelimitationswhenthepopulationstandarddeviationisunknownD.Itisonlyapplicableforlargesamples13.Aresearchercollectsdataonstockreturnsandtransactioncosts.Theywanttodetermineifthereisasignificantlinearrelationshipbetweenstockreturnsandtransactioncosts.Theappropriatehypothesistesttouseis:A.Chi-squaretestB.t-testforasinglemeanC.t-testforthedifferencebetweentwomeansD.F-testfortheslopecoefficientinasimplelinearregression14.Theformulaforthesamplecorrelationcoefficient(r)is:r=[n*Σ(xy)-Σx*Σy]/sqrt[(n*Σx2-(Σx)2)*(n*Σy2-(Σy)2)].Whichofthefollowingstatementsiscorrect?A.rcanonlytakevaluesbetween-1and1.B.rmeasurestheslopeoftheregressionline.C.riscalculatedusingthepopulationstandarddeviation.D.risequivalenttothecoefficientofdetermination(R2).15.Ifaportfoliomanagerclaimsthattheaverageannualreturnofaportfoliois20%,andasampleof25yearsshowsameanreturnof18%withastandarddeviationof5%,aone-samplet-testcanbeusedtotestthemanager'sclaim.Thedegreesoffreedomforthistestareclosestto:A.24B.25C.26D.5016.Inamultipleregressionmodelwith3independentvariablesand200observations,theF-testforoverallsignificanceisusedtodetermineifatleastoneindependentvariablehasasignificantrelationshipwiththedependentvariable.ThenumeratordegreesoffreedomforthisF-testisclosestto:A.1B.3C.197D.20017.Whichofthefollowingisacharacteristicofachi-squaredistribution?A.Itissymmetricandbell-shaped.B.Itsmeanandmedianareequal.C.Itcanonlytakepositivevalues.D.Itisdefinedbyasingleparameter.18.Aresearcherisinterestedinestimatingthepopulationmeanwitha90%confidenceinterval.Thesamplesizeis50,thesamplemeanis100,andthesamplestandarddeviationis15.Thecriticalt-value(assumingatwo-tailedtest)isclosestto:A.1.645B.1.96C.2.009D.2.04519.Afinancialanalystusesalinearregressionmodeltopredictstockprices.Themodelincludesthemarketreturnasanindependentvariable.Ifthecoefficientofthemarketreturnisstatisticallysignificant,whatdoesthisimply?A.Themarketreturnhasnoimpactonthestockprice.B.Changesinthemarketreturncausechangesinthestockprice,holdingotherfactorsconstant.C.Thestockpricealwaysmovesinthesamedirectionasthemarketreturn.D.Themodelisoverfitting.20.Aninvestorisconsideringaddinganassettotheirportfolio.Theassethasanexpectedreturnof12%andastandarddeviationof18%.Thecorrelationcoefficientbetweentheasset'sreturnandtheportfolio'sreturnis0.3.Giventheportfolio'sexpectedreturnof10%andstandarddeviationof15%,theadditionofthisassetisexpectedto:A.Increasetheportfolio'sexpectedreturnandstandarddeviation.B.Increasetheportfolio'sexpectedreturnanddecreasethestandarddeviation.C.Decreasetheportfolio'sexpectedreturnandincreasethestandarddeviation.D.Haveanindeterminateeffectontheportfolio'sexpectedreturnandstandarddeviation.試卷答案1.B解析思路：將數(shù)據(jù)排序：-3%,5%,8%,10%,12%。中位數(shù)是位于第3位的數(shù)值，即8%。選項B最接近。2.B解析思路：標準差是方差的平方根。√0.04=0.2。3.B解析思路：根據(jù)正態(tài)分布特性，均值的對稱點兩側(cè)各占50%概率。返回低于-15%（即低于均值-30%）的概率與返回高于15%（即高于均值+30%）的概率相同。15%對應于標準正態(tài)分布的z值約為+0.5。P(Z<-0.5)=0.5-P(Z<0.5)=0.5-0.6915=0.3085。然而，題目問的是“低于均值-30%（即-15%）”，這對應于z=-1（約-15%/30%=-0.5，這里計算有誤，-15%對應z約-0.5，但-30%對應z=-1）。P(Z<-1)≈0.1587。4.B解析思路：相關(guān)系數(shù)絕對值越接近1，相關(guān)性越強，組合潛力越大；越接近0，相關(guān)性越弱，組合潛力越小。0.6表示中等強度的正相關(guān)，因此存在中等的分散化潛力。5.A解析思路：計算z分數(shù)：(20%-12%)/4%=2。查標準正態(tài)分布表，P(Z>2)=1-P(Z<2)=1-0.9772=0.0228。最接近0.1587（即P(Z>1)）。6.C解析思路：樣本量n=30，接近30，可用z分布近似。95%置信區(qū)間對應z=1.96。標準誤差=5/sqrt(30)≈0.9129。置信區(qū)間=8%±(1.96*0.9129%)≈8%±1.793%。最接近8%±2.045%（使用t分布更精確，t(29,0.025)≈2.045）。7.B解析思路：p-value(0.08)大于顯著性水平(0.05)，因此沒有足夠的證據(jù)拒絕原假設。8.B解析思路：回歸方程Y=a+bX中，b是斜率系數(shù)，表示X每變化一個單位，Y平均變化的量。題目中，b=2，表示Beta每增加一個單位，Return平均增加2個單位。9.B解析思路：多重共線性是指模型中兩個或多個自變量高度相關(guān)。這會導致系數(shù)估計不穩(wěn)定、方差增大，難以解釋單個自變量的影響。其他選項描述的是模型良好狀態(tài)的特征（A：殘差方差恒定；C：殘差正態(tài)分布；D：自變量與因變量完全線性相關(guān)，通常不是目標）。10.B解析思路：方差公式V(Rp)=wA2*σA2+wB2*σB2+2*wA*wB*ρ*σA*σB=0.62*0.152+0.42*0.252+2*0.6