1、资产组合管理(二)及答案解析(总分：54.00，做题时间：90 分钟)一、单项选择题(总题数：54，分数：54.00)1.Stock A has a standard deviation of O. 5 and Stock B has a standard deviation of 0.3. Stock A and Stock B are perfectly positively correlated. According to Markowitz portfolio theory how much should be invested in each stock to minimize th
2、e portfolio“s standard deviation? A. 100% in Stock（分数：1.00）A.B. 50% in Stock A and 50% in Stock B.B.100% in StockC.2.Adding a stock to a portfolio will reduce the risk of the portfolio if the correlation coefficient is less than which of the following?（分数：1.00）A.+0.50.B.0.00.C.+1.00.3.An analyst bel
3、ieves that EFG will pay a $1 dividend a year from now, and will be priced at $23 per share immediately following the dividend. The risk-free rate is 4%, and the analyst forecasts an expected market return of 12%. EFG has a beta of 0.75 and a current price of $ 22. Based on this information:（分数：1.00）
4、A.EFG is overvalued.B.EFG is undervalued.C.EFG is fairly priced.4.Consider a stock selling for $ 23 that is expected to increase in price to $ 27 by the end of the year and pay a $ 0.50 dividend. If the risk-free rate is 4 percent, the expected return on the market is 8.5 percent, and the stock“s be
5、ta is 1.9, what is the current valuation of the stock? The stock:（分数：1.00）A.is overvalued.B.is undervalued.C.is correctly valued.5.With respect to the security market line, if two risky assets have the same covariance with the market portfolio but have different estimated rates of return, the most a
6、ccurate conclusion is that the two risky assets have:（分数：1.00）A.the same amount of systematic risk, and both assets are properly valued.B.different amount of systematic risk, and both assets are properly valued.C.The same amount of systematic risk, and at least one of the assets is either overvalued
7、 or undervalued.6.The risk-free rate is 5% and the expected market risk premium is 10%. A portfolio manager is projecting a return of 20% on a portfolio with a beta of 1.5. After adjusting for risk, this portfolio is expected to:（分数：1.00）A.equal the market“s performance.B.outperform the market.C.und
8、erperform the market.7.The statistics for three stocks A, B, and C are shown below. Based only on the information provided, and given a choice between portfolios of equal amounts of stock A and B or B and C, Correlation of Returns Stock A B C A 1.00 0.90 0.50 B 1.00 0.10 C 1.00 Standard Deviation of
9、 Returns Stock A B S“dev 0.40 0.20 0.40 which portfolio you would recommend?（分数：1.00）A.AB.B.BC.C.A.8.An investor is evaluating the following possible portfolios. Which of the following portfolios would not lie on the efficient frontier? Portfolio Expected Return Standard Deviation A 26% 28% B 23% 34
10、 C 14% 23% D 18% 14% E 11% 8% F 18% 16% （分数：1.00）A.C, D, and E.B.A, E, and F.C.B, C, and F.9.Which of the following types of risk are essentially the same?（分数：1.00）A.Market risk and unsystematic risk.B.Total risk and the variance of returns.C.Undiversifiable risk and unsystematic risk.10.Which of t
11、he following assumptions associated with the capital asset pricing model (CAPM), when relaxed, will be least likely to result in turning the security market line (SML) into a band rather than a line?（分数：1.00）A.No transaction costs.B.Equal borrowing and lending rates.C.Homogeneous expectations.11.The
12、 particular portfolio on the efficient frontier that best suits an individual investor is determined by:（分数：1.00）A.the individual“s asset allocation plan.B.the beta of the market at that particular time.C.the individual“s utility curve.12.Rank, from highest to lowest, the following investors by thei
13、r most likely capacity to tolerate risk. Age Marital Status Children Net Worth Annual Income Investor A 50 Widowed 0 $4 million $ 50000 Investor B 30 Married 1 $4 million $ 100000 Investor C 70 Married 0 $1 million $ 30000 Investor D 50 Married 2 $1 million $ 50000 （分数：1.00）A.C, D,A, B. B. B, D,A,B.
14、C.B, A, D, .13.Empirical evidence suggests that the security market line (SML) does not maintain a constant slope or intercept across time, creating valuation issues for securities analysts and portfolio managers. Which of the following will cause the slope of the SML to change or cause a shift in t
15、he SML? Change in Slope Shift in SML A. An increase in expected inflation A decrease in real growth B. A decrease in real growth An increase in the market risk premium C. An increase in the market risk premium Unexpected growth of the money supply A. B. C. （分数：1.00）A.B.C.14.The Objectives part of th
16、e investment policy statement serves to:（分数：1.00）A.set out what the invested money will be used for.B.establish the benchmarks to be used in evaluating performance of the investments.C.express the expected risk and return for the invested capital.15.An investor has identified the following possible
17、portfolios. Which portfolio lies to the right of the efficient frontier? Portfolio Expected Return Standard Deviation A 18% 35% B 14% 20% C 13% 24% （分数：1.00）A.B.C.16.The market portfolio in the Capital Market Theory contains which types of investments?（分数：1.00）A.All risky assets in existence.B.All r
18、isky and risk-free assets in existence.C.All stocks and bonds in existence.17.According to the Markowitz model of portfolio risk, any portfolio with 10 securities would require estimation of a total of:（分数：1.00）A.10 variance and 45 unique covariance statistics.B.100 unique variance or covariance sta
19、tistics.C.50 unique variance or covariance statistics.18.Using the Markowitz model, calculation of the portfolio standard deviation does not require the:（分数：1.00）A.Expected rate of return on the market portfolio.B.Variance of each individual asset in the portfolio.C.Weight of each individual asset i
20、n the portfolio, where the weight is determined by the portfolio value.19.An analyst gathered the following information about stock A and the market index: Estimated future rate of retum for stock A 16% Covariance of stock Awith the market index 600.0 standard deviation of the market index 20.0 Risk
21、free rate of retum 5% Yield of zero coupon Treasury bond 6% Expected future rate of return for the market index 13% Based only on the information above, the analyst“s most appropriate conclusion is that the stock is:（分数：1.00）A.overvalued because the required rate of return for the stock is 15.5%.B.
22、overvalued because the required rate of return for the stock is 17.0%.C.undervalued because the required rate of return for the stock is 15.5%.20.An investor in a high tax bracket would typically:（分数：1.00）A.invests in income producing securities.B.prefers capital gains to income.C.has a lower tolera
23、nce for risk.21.Generally speaking, the factor that best explains a portfolio“s level of return and variation in return over time can be explained by:（分数：1.00）A.target asset allocation decision.B.investment manager“s skill with respect to market timing.C.investment manager“s skill with respect to se
24、curity selection.22.What are the added types of risks involved with global investing?（分数：1.00）A.currency risk and inflation riskB.currency risk and country riskC.country risk and political risk23.Securities A and B have forecasted returns of 14% and 18% over the next 12 months. During the same perio
25、d, the market (M) is expected to generate returns of 16%. The risk-free rate is 6% , and = 1.1. The forecasted price for next year for security A is $ 60. According to the CAPM, what should A sell for today?（分数：1.00）A.$51.72.B.$54.05.C.$51.28.24.Which of the following is not a characteristic of a po
26、rtfolio located on the efficient frontier?（分数：1.00）A.the portfolio offers the highest possible return for its level of standard deviation.B.the portfolio offers the highest possible risk for its level of return.C.the portfolio offers the lowest possible risk for its level of return.25.Which of the f
27、ollowing statements about the importance of risk and return in the investment objective is least accurate?（分数：1.00）A.The investor“s risk tolerance is likely to determine what level of return will be feasible.B.Expressing investment goals in terms of risk is more appropriate than expressing goals in
28、terms of return.C.Expressing investment objectives only in terms of return can lead to inappropriate investments.26.An analyst gathered the following data on Stock A and Stock B: Scenario Probability Stock A“s return Stock B“s return 1 0.5 0.30 0.150 2 0.5 0.15 0.075 What is the covariance between t
29、he returns of Stock A and Stock B?（分数：1.00）A.0.0076.B.0.0028.C.0.0876.27.Portfolio managers at Goodwin and have the same required rate of return. If the estimated rates of return for the two assets are different, at least one of them is not properly valued and will not plot on the SML.6.The risk-fre
30、e rate is 5% and the expected market risk premium is 10%. A portfolio manager is projecting a return of 20% on a portfolio with a beta of 1.5. After adjusting for risk, this portfolio is expected to:（分数：1.00）A.equal the market“s performance. B.outperform the market.C.underperform the market.解析：Based
31、 on the CAPM, the portfolio should earn: E(R)=0.05+1.50.10=20%. On a risk-adjusted basis, this portfolio lies on the security market line (SML) and thus is earning the proper risk-adjusted rate of return.7.The statistics for three stocks A, B, and C are shown below. Based only on the information pro
32、vided, and given a choice between portfolios of equal amounts of stock A and B or B and C, Correlation of Returns Stock A B C A 1.00 0.90 0.50 B 1.00 0.10 C 1.00 Standard Deviation of Returns Stock A B S“dev 0.40 0.20 0.40 which portfolio you would recommend?（分数：1.00）A.AB.B.BC. C.A.解析：Recall the gen
33、eral formula: 8.An investor is evaluating the following possible portfolios. Which of the following portfolios would not lie on the efficient frontier? Portfolio Expected Return Standard Deviation A 26% 28% B 23% 34% C 14% 23% D 18% 14% E 11% 8% F 18% 16% （分数：1.00）A.C, D, and E.B.A, E, and F.C.B, C,
34、 and F. 解析：Portfolio B cannot lie on the frontier because its risk is higher than that of Portfolio A“s with lower return. Portfolio C cannot lie on the frontier because it has higher risk than Portfolio D with lower return. Portfolio F cannot lie on the frontier cannot lie on the frontier because i
35、ts risk is higher than Portfolio D.9.Which of the following types of risk are essentially the same?（分数：1.00）A.Market risk and unsystematic risk.B.Total risk and the variance of returns. C.Undiversifiable risk and unsystematic risk.解析：Variance is a measure of total risk.10.Which of the following assu
36、mptions associated with the capital asset pricing model (CAPM), when relaxed, will be least likely to result in turning the security market line (SML) into a band rather than a line?（分数：1.00）A.No transaction costs.B.Equal borrowing and lending rates. C.Homogeneous expectations.解析：If the assumption o
37、f equal borrowing and lending rates is relaxed then the CAPM cannot be derived since there is no unique market portfolio. In effect, the CML will become kinked.11.The particular portfolio on the efficient frontier that best suits an individual investor is determined by:（分数：1.00）A.the individual“s as
38、set allocation plan.B.the beta of the market at that particular time.C.the individual“s utility curve. 解析：The optimal portfolio for each investor is the highest indifference curve that is tangent to the efficient frontier. The optimal portfolio is the portfolio that gives the investor the greatest p
39、ossible utility.12.Rank, from highest to lowest, the following investors by their most likely capacity to tolerate risk. Age Marital Status Children Net Worth Annual Income Investor A 50 Widowed 0 $4 million $ 50000 Investor B 30 Married 1 $4 million $ 100000 Investor C 70 Married 0 $1 million $ 300
40、00 Investor D 50 Married 2 $1 million $ 50000 （分数：1.00）A.C, D,A, B. B. B, D,A,B.C.B, A, D, . 解析：C has the shortest time horizon, a dependent spouse, and a low income. A has longer time frames; B has the largest income, plus a net worth equal to A and a longer time frame.13.Empirical evidence suggest
41、s that the security market line (SML) does not maintain a constant slope or intercept across time, creating valuation issues for securities analysts and portfolio managers. Which of the following will cause the slope of the SML to change or cause a shift in the SML? Change in Slope Shift in SML A. A
42、n increase in expected inflation A decrease in real growth B. A decrease in real growth An increase in the market risk premium C. An increase in the market risk premium Unexpected growth of the money supply A. B. C. （分数：1.00）A.B.C. 解析：Researchers are not completely sure of all the factors that chang
43、e the slope of the SML, but they do know a change in the market risk premium changes the SML“s slope. Changes in the expected real growth in the economy, capital market conditions (i, e. monetary policy), or the expected rate of inflation will shift the SML.14.The Objectives part of the investment p
44、olicy statement serves to:（分数：1.00）A.set out what the invested money will be used for.B.establish the benchmarks to be used in evaluating performance of the investments.C.express the expected risk and return for the invested capital. 解析：The investor needs to express the intended risk/return relation
45、ship and may set out a target asset allocation.15.An investor has identified the following possible portfolios. Which portfolio lies to the right of the efficient frontier? Portfolio Expected Return Standard Deviation A 18% 35% B 14% 20% C 13% 24% （分数：1.00）A.B. C.解析：Portfolio C must be inefficient b
46、ecause its risk is higher than the risk of Portfolio B and Portfolio C has a lower return.16.The market portfolio in the Capital Market Theory contains which types of investments?（分数：1.00）A.All risky assets in existence. B.All risky and risk-free assets in existence.C.All stocks and bonds in existen
47、ce.解析：The market portfolio contains all risky assets in existence. It does not contain any risk-free assets.17.According to the Markowitz model of portfolio risk, any portfolio with 10 securities would require estimation of a total of:（分数：1.00）A.10 variance and 45 unique covariance statistics. B.100
48、 unique variance or covariance statistics.C.50 unique variance or covariance statistics.解析：There are 10 10 = 100 possible pairs of securities ( including each security with itself). 10 of these combinations are variances. The other 90 are covariances. However, half these covariances are redundant si
49、nce Cov(AB) =Cov(BA). This results in 45 unique covariance terms.18.Using the Markowitz model, calculation of the portfolio standard deviation does not require the:（分数：1.00）A.Expected rate of return on the market portfolio. B.Variance of each individual asset in the portfolio.C.Weight of each individual asset in the portfolio, where the weight is determined by the portfolio value.解析：The Markowitz formula for the standard deviation of a portfolio does not require any information about the market portfolio.19.An analyst gathered the following infor
