第1題Whichofthefollowingfieldis(majorityof)quantitativeinvestingprofessionalsextensivelytrainedin?ANeuroscienceBPhilosophyCMathandStatisticsDSportsscience第2題WhatdidFamaandFrenchstudyinregardstotheirargumentagainstefficientmarkethypothesis?ADividethefirmsintothreegroupsbasedontheirsizesandcomparetheirhistoricalaveragereturns.BSub-groupmarketreturnsintodifferentsamplesandprovethatabiasindistributioncanexistfromtimetotime.CProvethatmarketparticipantsbehaveirrationallybyobservingtheirbehaviorinalabsetting.DFormulateatheorywherefinancialmarketparticipantsbehaveendogenouslygivenvariouslegalandquantitativeconstraints.第3題Whywasthe1980saspurringmomentforquantitativeinvesting?Selectonewhichdoesnotapply.AProliferationinfundamentalanalysisencouragedinvestorstotrademoreactively.BInnovationsinderivativespricingbyBlackandScholeshelpedtraderstopriceexoticderivativesmoreaccurately.CTradingfinancialderivativesbecamecheaperandmoreaccessible.DProgrammingpowerimprovedandassistedincalculatingcomplexequationsrequiredforprecisederivativespricing.第4題SupposeIhaveadatasetcalledDATAandwanttoextractrows1to10andcolumns5to7.WhatwouldbetherelevantRcommand?ADATA[1:10,5:7]BDATA[5:7,1:10]CDATA[10:1,7:5]DDATA[7:5,10:1]第5題Inthecontextoflecture,whatarethetwocommonbasesthatpractitionersandacademiaagreewith?AMarketisalwaysrandomandcanneverbepredicted.BRetailtraderswillalwayslosemoneybecausetheyarelessinformed.CAllsecuritiesareexposedtopricefluctuationsandthebestwaytoachieveinvestmentobjectivesisbyminimizingrisksubjecttoreturn.DThefederalreservedictateseveryaspectofthefinancialmarkets.第1題Supposeabankpaysanannualinterestrateof5%peryearandyouhavedecidedtoinvest$10,000for3years.Whatisyourcompoundreturn(roundedupto2nddecimalpoint)?A11576.25%B15.76%C0.16%D15%第2題Supposeyouhavemade10%fromasixmonthinvestment,whatistheannualizedreturnofyourinvestment?A21%B2.1%C20%D22%第3題WhatistheexpectedreturnforstockXandY?A20%forXand10%forYB10%forXand20%forYC16%forXand5%forYD5%forxand16%fory第4題Followingthescenariofromquestion6,whatisthestandarddeviationofreturnsonstockXandY?A13.23%forX,24.33%forYB24.33%forX,13.23%forYC17.25%forX,6.39%forYD6.39%forX,17.25%forXProblemSet--作業(yè)第1題Let’ssupposeyouhaveinvested50%ofyourportfolioonFTSE100,30%ofyourportfolioonEuroStoxx50,andtheremaining20%onSP500.Ifthereturnswere10%,12%and15%,whatisyourportfolioreturn?A11.6%B10.4%C6.5%D37%第2題Supposeyouhaveinvested50%inFTSE100and50%inarisk-freeasset.IfthestandarddeviationofFTSE100is20%,whatisyourportfoliovariance?A0.29B0.1C11.5D0.54第3題Ifyourportfoliostandarddeviationis14%andriskyassetstandarddeviationis28%,whatistheweightofriskyassetinyourportfolio?(Hint:Rememberthey!)A0.5or50%B1or100%C0.1or10%D.44or44%第4題Giventhecorrelationoffollowinginvestments,whichtheoreticallyhastheleastrisk?ATworiskyassetswithaperfectlypositivecorrelationof1.BTworiskyassetswithcorrelationof0.1.CTworiskyassetswithaperfectlynegativecorrelationof-1.DOneriskyassetandonerisk-freeassetwithcorrelationof0.第5題Fromquestions6and7,whichportfoliohasbetterrisk-reward?APassiveportfolioBActiveportfolioProblemSet--作業(yè)第1題TrueorFalse.Ifoursingleindexmodelwasconstructedinacorrectmanner,theexpectedvalueofepsilon-thatis,theerrorterm–is0.ATrueBFalse第2題IfCompanyZhasabetaof3andCompanyAhasbetaof1.5,whichoneismoresensitivetochangesinmarketriskpremium?ACompanyABCompanyZ第3題Whatistheexpectedriskpremiumofeachstock?A12%forAand10%forBB10%forAand12%forBC20%forAand18%forBD18%forAand20%forBProblemSet--作業(yè)第1題TrueorFalse.UnderArbitragePricingModel,thearbitrageursellstheassetwhichisrelativelytooexpensiveandusestheproceedstobuyonewhichisrelativelytoocheap.ATrueBFalse第2題TrueorFalse.Chen,Roll,andRossidentifiedfirmspecificfactorsintheirmulti-factormodel.ATrueBFalse第3題WhichofthefollowingisnotanassumptionofCAPM?ATherearenotaxesandtransactioncostsBInvestorsarerationalmean-varianceoptimizersCTherearehomogeneousexpectationsDInvestorsareprice-settersProblemSet--作業(yè)第1題TrueorFalse.Risksthatoriginatefromfactorsarecalledidiosyncraticrisksandrisksthatoriginatefromtheerrortermarecalledsystematicrisk.ATrueBFalse第2題TrueorFalse.FactorsofApple’sstockareoftenfactorsforothershares.ATrueBFalse第3題Whatisthepurposeofmean-varianceoptimization?ATomaximizereturninabsoluteterms.BTominimizerisksubjecttotaxesandtransactioncosts.CTomaximizereturnsubjecttominimalamountofriskDTominimizethecovariancesubjecttorisk-freereturn第4題TrueorFalse.Systematicriskcanbeeliminatedthroughdiversification.ATrueBFalse第5題Whatisthenameofthepackagethatweusedtosolvemean-varianceoptimizationinR?ARblpapiBVARCSigmaXDtseries第6題Whichofthefollowingisnotaninputformean-varianceoptimization?ATheexpectedreturnforeachasset.BThestandarddeviationofeachasset(ameasureofrisk).CThecorrelationmatrixbetweentheseassets.DThekurtosisandskewnessofeachasset.第7題Whatistheoutputofmean-varianceoptimization?AAsetofportfolioswithexpectedreturngreaterthananyotherwiththesameorlesserrisk.BAsetofportfolioswiththelowestexpectedreturngiventhelowestlevelofrisk.CAsetofportfolioswiththehighestexpectedreturngiventhehighestlevelofrisk.DAsetofportfolioswiththelowestexpectedreturngiventhehighestlevelofrisk.第8題WhichoneofthefollowingportfolioscannotlieontheefficientfrontierasdescribedbyMarkowitz?AOnlyportfolioAcannotlieontheefficientfrontier.BOnlyportfolioBcannotlieontheefficientfrontier.COnlyportfolioCcannotlieontheefficientfrontier.DOnlyportfolioDcannotlieontheefficientfrontier.第9題Foratwo-stockportfolio,whatwouldbethepreferredcorrelationcoefficientbetweenthetwostocksforthelowestamountofrisk?A+1.00.B+0.50.C0.00.D-1.00.FinalExam--作業(yè)第1題Wehavefollowingdataincsvfile.DatastartsfromJanuary1990andendsatDecember2015.Firstcolumnisdate.SecondandthirdcolumnsareSP500indexandApplestock’sprice.Fourthandfifthcolumnsaremonthlyreturnsofthose.Answerthefollowing5questions.Importcsvfileandnamethatas“return.data”usingRcommand.Csvfilenameis“history.csv”.ABCDE第2題Namereturn.data’scolumnsas“SP500”,”AAPL”,”SP500Return”,”AAPLReturn”.ABCDE第3題WriteRcodetocalculatecovarianceofSandP500monthlyreturnandApplestockmonthlyreturn.Acovariance(return.dataSP500Return,return.dataAAPLReturn)Bcov(return.dataSP500Return,return.dataAAPLReturn)Ccov(“return.dataSP500Return”,”return.dataAAPLReturn”)Dcov(c(return.dataSP500Return,return.dataAAPLReturn))Ecovariance(c(return.dataSP500Return,return.dataAAPLReturn))第4題WriteRcodetomakeasingleindexmodel.Alm(return.dataAAPLReturn

return.dataSP500Return)Blm(return.dataSP500Return

return.dataAAPLReturn)Clm(SP500Return~AAPLReturn)Dlm(AAPLReturn~AAPLReturn)Elm(“return.dataAAPLReturn”

“return.dataSP500Return”)第5題SupposeweliketomakeasingleindexmodelonlyusingdatafromJanuary2014.HowwillyouprograminR?Foryourinformation,therownumberofdataforJanuary2014is24.Alm(return.dataAAPLReturn[,2014]

return.dataSP500Return[2014])Blm(return.dataAAPLReturn[1:2014]

return.dataSP500Return[1:2014])Clm(return.dataAAPLReturn[1:24]

return.dataSP500Return[1:24])Dlm(return.dataAAPLReturn[1:14]

return.dataSP500Return[1:14])Elm(return.dataAAPLReturn[1:Jan14]

return.dataSP500Return[1:Jan14])第6題Assumethatyoupurchasedsharesofamutualfundatanetassetvalueof10.00pershare.Duringtheyearyoureceiveddividendincomedistributionsof0.2pershareandcapitalgainsdistributionsof0.3pershare.Attheendoftheyeartheshareshadanetassetvalueof12pershare.Whatwasyourrateofreturnonthisinvestment?A-18.24%B-16.1%C16.10%D25%E17.3%第7題Whatistheexpectedholding-periodreturnforBoeingstock?A10.40%B9.32%C11.63%D11.54%E10.88%第8題Forthefollowingquestion,usetheprobabilitydistributionfromquestion2.WhatistheexpectedstandarddeviationforBoeingstock?A6.91%B8.13%C7.79%D7.25%E8.85%第9題Ifaportfoliohadareturnof19%,therisk-freeassetreturnwas5%,andthestandarddeviationoftheportfolio'sexcessreturnswas34%,themarketriskpremiumwouldbe_____.A31%B18%C49%D14%E29%第10題Accordingtothemean-variancecriterion,whichofthestatementsbelowiscorrect?Notethattheworddominatesmeansanassetissuperiorthananotherintermsofutility.AInvestmentBdominatesInvestmentBInvestmentBdominatesInvestmentCInvestmentDdominatesalloftheotherinvestments.DInvestmentDdominatesonlyInvestmentEInvestmentCdominatesinvestment第11題WhichofthefollowingstatementsregardingtheCapitalAllocationLine(CAL)isfalse?ATheCALisalsocalledtheefficientfrontierofriskyassetsintheabsenceofarisk-freeasset.BTheslopeoftheCALequalstheincreaseintheexpectedreturnofthecompleteportfolioperunitofadditionalstandarddeviation.CTheslopeoftheCALisalsocalledthereward-to-volatilityratio.DTheCALshowsrisk-returncombinations.ETheCALshowsrisk-returncombinationsandisalsocalledtheefficientfrontierofriskyassetsintheabsenceofarisk-freeasset.第12題WhichofthefollowingistrueabouttheMarketrisk?Asystematicrisk,diversifiablerisk.Bsystematicrisk,nondiversifiablerisk.Cuniquerisk,nondiversifiablerisk.Duniquerisk,diversifiablerisk.Efirm-specificrisk.第13題Givenanoptimalriskyportfoliowithexpectedreturnof15%andstandarddeviationof20%andariskfreerateof5%,whatistheslopeofthebestfeasibleCAL?A0.64B0.5C0.08D0.35E0.36第14題SecurityXhasexpectedreturnof12%andstandarddeviationof25%.SecurityYhasexpectedreturnof15%andstandarddeviationof15%.Ifthetwosecuritieshaveacorrelationcoefficientof0.5,whatistheircovariance?A0.021B0.073C0.018D0.010E0.059第15題Asingle-indexmodeluses__________asaproxyforthesystematicriskfactor.Aamarketindex,suchastheSP500index.BthecurrentaccountdeficitCthegrowthrateinGNPDtheunemploymentrateEtheinflationrate第16題Considerthesingle-indexmodel.Thealphaofastockis0%.Thereturnonthemarketindexis10%.Therisk-freerateofreturnis2%.Thestockearnsareturnthatexceedstherisk-freerateby8%andtherearenofirm-specificeventsaffectingthestockperformance.Thereturnofthestock,whencomparedrelativetothemarketindexreturn,is_______.A0.67B0