投資學(xué)試題庫(kù)

1、-. z.Chapter 07Optimal Risky PortfoliosMultiple Choice Questions1.Market risk is also referred to asA.systematic risk, diversifiable risk.B.systematic risk, nondiversifiable risk.C.unique risk, nondiversifiable risk.D.unique risk, diversifiable risk.2.Systematic risk is also referred to asA.market r

2、isk, nondiversifiable risk.B.market risk, diversifiable risk.C.unique risk, nondiversifiable risk.D.unique risk, diversifiable risk.E.None of the options3.Nondiversifiable risk is also referred to asA.systematic risk, unique risk.B.systematic risk, market risk.C.unique risk, market risk.D.unique ris

3、k, firm-specific risk.4.Diversifiable risk is also referred to asA.systematic risk, unique risk.B.systematic risk, market risk.C.unique risk, market risk.D.unique risk, firm-specific risk.5.Unique risk is also referred to asA.systematic risk, diversifiable risk.B.systematic risk, market risk.C.diver

4、sifiable risk, market risk.D.diversifiable risk, firm-specific risk.E.None of the options6.Firm-specific risk is also referred to asA.systematic risk, diversifiable risk.B.systematic risk, market risk.C.diversifiable risk, market risk.D.diversifiable risk, unique risk.7.Nonsystematic risk is also re

5、ferred to asA.market risk, diversifiable risk.B.firm-specific risk, market risk.C.diversifiable risk, market risk.D.diversifiable risk, unique risk.8.The risk that can be diversified away isA.firm specific risk.B.beta.C.systematic risk.D.market risk.9.The risk that cannot be diversified away isA.fir

6、m-specific risk.B.unique.C.nonsystematic risk.D.market risk.10.The variance of a portfolio of risky securitiesA.is a weighted sum of the securities variances.B.is the sum of the securities variances.C.is the weighted sum of the securities variances and covariances.D.is the sum of the securities cova

7、riances.E.None of the options11.The standard deviation of a portfolio of risky securities isA.the square root of the weighted sum of the securities variances.B.the square root of the sum of the securities variances.C.the square root of the weighted sum of the securities variances and covariances.D.t

8、he square root of the sum of the securities covariances.12.The e*pected return of a portfolio of risky securitiesA.is a weighted average of the securities returns.B.is the sum of the securities returns.C.is the weighted sum of the securities variances and covariances.D.is a weighted average of the s

9、ecurities returns and the weighted sum of the securities variances and covariances.E.None of the options13.Other things equal, diversification is most effective whenA.securities returns are uncorrelated.B.securities returns are positively correlated.C.securities returns are high.D.securities returns

10、 are negatively correlated.E.securities returns are positively correlated and high.14.The efficient frontier of risky assets isA.the portion of the investment opportunity set that lies above the global minimum variance portfolio.B.the portion of the investment opportunity set that represents the hig

11、hest standard deviations.C.the portion of the investment opportunity set that includes the portfolios with the lowest standard deviation.D.the set of portfolios that have zero standard deviation.15.The capital allocation line provided by a risk-free security and N risky securities isA.the line that

12、connects the risk-free rate and the global minimum-variance portfolio of the risky securities.B.the line that connects the risk-free rate and the portfolio of the risky securities that has the highest e*pected return on the efficient frontier.C.the line tangent to the efficient frontier of risky sec

13、urities drawn from the risk-free rate.D.the horizontal line drawn from the risk-free rate.16.Consider an investment opportunity set formed with two securities that are perfectly negatively correlated. The global minimum variance portfolio has a standard deviation that is alwaysA.greater than zero.B.

14、equal to zero.C.equal to the sum of the securities standard deviations.D.equal to -1.17.Which of the following statement(s) is(are) true regarding the variance of a portfolio of two risky securitiesI) The higher the coefficient of correlation between securities, the greater the reduction in the port

15、folio variance.II) There is a linear relationship between the securities coefficient of correlation and the portfolio variance.III) The degree to which the portfolio variance is reduced depends on the degree of correlation between securities.A.I onlyB.II onlyC.III onlyD.I and IIE.I and III18.Which o

16、f the following statement(s) is(are) false regarding the variance of a portfolio of two risky securitiesI) The higher the coefficient of correlation between securities, the greater the reduction in the portfolio variance.II) There is a linear relationship between the securities coefficient of correl

17、ation and the portfolio variance.III) The degree to which the portfolio variance is reduced depends on the degree of correlation between securities.A.I onlyB.II onlyC.III onlyD.I and IIE.I and III19.Efficient portfolios of N risky securities are portfolios thatA.are formed with the securities that h

18、ave the highest rates of return regardless of their standard deviations.B.have the highest rates of return for a given level of risk.C.are selected from those securities with the lowest standard deviations regardless of their returns.D.have the highest risk and rates of return and the highest standa

19、rd deviations.E.have the lowest standard deviations and the lowest rates of return.20.Which of the following statement(s) is(are) true regarding the selection of a portfolio from those that lie on the capital allocation lineI) Less risk-averse investors will invest more in the risk-free security and

20、 less in the optimal risky portfolio than more risk-averse investors.II) More risk-averse investors will invest less in the optimal risky portfolio and more in the risk-free security than less risk-averse investors.III) Investors choose the portfolio that ma*imizes their e*pected utility.A.I onlyB.I

21、I onlyC.III onlyD.I and IIIE.II and III21.Which of the following statement(s) is(are) false regarding the selection of a portfolio from those that lie on the capital allocation lineI) Less risk-averse investors will invest more in the risk-free security and less in the optimal risky portfolio than m

22、ore risk-averse investors.II) More risk-averse investors will invest less in the optimal risky portfolio and more in the risk-free security than less risk-averse investors.III) Investors choose the portfolio that ma*imizes their e*pected utility.A.I onlyB.II onlyC.III onlyD.I and IIE.I and III22.Con

23、sider the following probability distribution for stocks A and B:The e*pected rates of return of stocks A and B are _ and _, respectively.A.13.2%; 9%B.14%; 10%C.13.2%; 7.7%D.7.7%; 13.2%23.Consider the following probability distribution for stocks A and B:The standard deviations of stocks A and B are

24、_ and _, respectively.A.1.5%; 1.9%B.2.5%; 1.1%C.3.2%; 2.0%D.1.5%; 1.1%24.Consider the following probability distribution for stocks A and B:The variances of stocks A and B are _ and _, respectively.A.1.5%; 1.9%B.2.2%; 1.2%C.3.2%; 2.0%D.1.5%; 1.1%25.Consider the following probability distribution for

25、 stocks A and B:The coefficient of correlation between A and B isA.0.46.B.0.60.C.0.58.D.1.20.26.Consider the following probability distribution for stocks A and B:If you invest 40% of your money in A and 60% in B, what would be your portfolios e*pected rate of return and standard deviationA.9.9%; 3%

26、B.9.9%; 1.1%C.11%; 1.1%D.11%; 3%E.None of the options27.Consider the following probability distribution for stocks A and B:Let G be the global minimum variance portfolio. The weights of A and B in G are _ and _, respectively.A.0.40; 0.60B.0.66; 0.34C.0.34; 0.66D.0.77; 0.23E.0.23; 0.7728.Consider the

27、 following probability distribution for stocks A and B:The e*pected rate of return and standard deviation of the global minimum variance portfolio, G, are _ and _, respectively.A.10.07%; 1.05%B.8.97%; 2.03%C.10.07%; 3.01%D.8.97%; 1.05%29.Consider the following probability distribution for stocks A a

28、nd B:Which of the following portfolio(s) is(are) on the efficient frontierA.The portfolio with 20 percent in A and 80 percent in B.B.The portfolio with 15 percent in A and 85 percent in B.C.The portfolio with 26 percent in A and 74 percent in B.D.The portfolio with 10 percent in A and 90 percent in

29、B.E.A and B are both on the efficient frontier.30.Consider two perfectly negatively correlated risky securities A and B. A has an e*pected rate of return of 10% and a standard deviation of 16%. B has an e*pected rate of return of 8% and a standard deviation of 12%.The weights of A and B in the globa

30、l minimum variance portfolio are _ and _, respectively.A.0.24; 0.76B.0.50; 0.50C.0.57; 0.43D.0.43; 0.57E.0.76; 0.2431.Consider two perfectly negatively correlated risky securities A and B. A has an e*pected rate of return of 10% and a standard deviation of 16%. B has an e*pected rate of return of 8%

31、 and a standard deviation of 12%.The risk-free portfolio that can be formed with the two securities will earn _ rate of return.A.8.5%B.9.0%C.8.9%D.9.9%32.Given an optimal risky portfolio with e*pected return of 6% and standard deviation of 23% and a risk free rate of 3%, what is the slope of the bes

32、t feasible CALA.0.64B.0.39C.0.08D.0.13E.0.3633.An investor who wishes to form a portfolio that lies to the right of the optimal risky portfolio on the capital allocation line must:A.lend some of her money at the risk-free rate.B.borrow some money at the risk-free rate and invest in the optimal risky

33、 portfolio.C.invest only in risky securities.D.such a portfolio cannot be formed.E.borrow some money at the risk-free rate and invest in the optimal risky portfolio and invest only in risky securities34.Which one of the following portfolios cannotlie on the efficient frontier as described by Markowi

34、tzA.Only portfolio W cannot lie on the efficient frontier.B.Only portfolio * cannot lie on the efficient frontier.C.Only portfolio Y cannot lie on the efficient frontier.D.Only portfolio Z cannot lie on the efficient frontier.E.Cannot tell from the information given.35.Which one of the following por

35、tfolios cannotlie on the efficient frontier as described by MarkowitzA.Only portfolio A cannot lie on the efficient frontier.B.Only portfolio B cannot lie on the efficient frontier.C.Only portfolio C cannot lie on the efficient frontier.D.Only portfolio D cannot lie on the efficient frontier.E.Canno

36、t tell from the information given.36.Portfolio theory as described by Markowitz is most concerned with:A.the elimination of systematic risk.B.the effect of diversification on portfolio risk.C.the identification of unsystematic risk.D.active portfolio management to enhance returns.37.The measure of r

37、isk in a Markowitz efficient frontier is:A.specific risk.B.standard deviation of returns.C.reinvestment risk.D.beta.38.A statistic that measures how the returns of two risky assets move together is:A.variance.B.standard deviation.C.covariance.D.correlation.E.covariance and correlation.39.The unsyste

38、matic risk of a specific securityA.is likely to be higher in an increasing market.B.results from factors unique to the firm.C.depends on market volatility.D.cannot be diversified away.40.Which statement about portfolio diversification is correctA.Proper diversification can eliminate systematic risk.

39、B.The risk-reducing benefits of diversification do not occur meaningfully until at least 50-60 individual securities have been purchased.C.Because diversification reduces a portfolios total risk, it necessarily reduces the portfolios e*pected return.D.Typically, as more securities are added to a por

40、tfolio, total risk would be e*pected to decrease at a decreasing rate.E.None of the statements is correct.41.The individual investors optimal portfolio is designated by:A.The point of tangency with the indifference curve and the capital allocation line.B.The point of highest reward to variability ra

41、tio in the opportunity set.C.The point of tangency with the opportunity set and the capital allocation line.D.The point of the highest reward to variability ratio in the indifference curve.E.None of the options.42.For a two-stock portfolio, what would be the preferred correlation coefficient between

42、 the two stocksA.+1.00.B.+0.50.C.0.00.D.-1.00.E.None of the options43.In a two-security minimum variance portfolio where the correlation between securities is greater than -1.0A.the security with the higher standard deviation will be weighted more heavily.B.the security with the higher standard devi

43、ation will be weighted less heavily.C.the two securities will be equally weighted.D.the risk will be zero.E.the return will be zero.44.Which of the following is not a source of systematic riskA.The business cycle.B.Interest rates.C.Personnel changes.D.The inflation rate.E.E*change rates.45.The globa

44、l minimum variance portfolio formed from two risky securities will be riskless when the correlation coefficient between the two securities isA.0.0.B.1.0.C.0.5.D.-1.0.E.any negative number.46.Security * has e*pected return of 12% and standard deviation of 18%. Security Y has e*pected return of 15% an

45、d standard deviation of 26%. If the two securities have a correlation coefficient of 0.7, what is their covarianceA.0.038B.0.070C.0.018D.0.033E.0.05447.When two risky securities that are positively correlated but not perfectly correlated are held in a portfolio,A.the portfolio standard deviation wil

46、l be greater than the weighted average of the individual security standard deviations.B.the portfolio standard deviation will be less than the weighted average of the individual security standard deviations.C.the portfolio standard deviation will be equal to the weighted average of the individual se

47、curity standard deviations.D.the portfolio standard deviation will always be equal to the securities covariance.48.The line representing all binations of portfolio e*pected returns and standard deviations that can be constructed from two available assets is called theA.risk/reward tradeoff line.B.ca

48、pital allocation line.C.efficient frontier.D.portfolio opportunity set.E.Security Market Line.49.Given an optimal risky portfolio with e*pected return of 12% and standard deviation of 26% and a risk free rate of 5%, what is the slope of the best feasible CALA.0.64B.0.27C.0.08D.0.33E.0.3650.Given an

49、optimal risky portfolio with e*pected return of 20% and standard deviation of 24% and a risk free rate of 7%, what is the slope of the best feasible CALA.0.64B.0.14C.0.62D.0.33E.0.5451.The risk that can be diversified away in a portfolio is referred to as _.I) diversifiable riskII) unique riskIII) s

50、ystematic riskIV) firm-specific riskA.I, III, and IVB.II, III, and IVC.III and IVD.I, II, and IVE.I, II, III, and IV52.As the number of securities in a portfolio is increased, what happens to the average portfolio standard deviationA.It increases at an increasing rate.B.It increases at a decreasing

51、rate.C.It decreases at an increasing rate.D.It decreases at a decreasing rate.E.It first decreases, then starts to increase as more securities are added.53.In words, the covariance considers the probability of each scenario happening and the interaction betweenA.securities returns relative to their

52、variances.B.securities returns relative to their mean returns.C.securities returns relative to other securities returns.D.the level of return a security has in that scenario and the overall portfolio return.E.the variance of the securitys return in that scenario and the overall portfolio variance.54

53、.The standard deviation of a two-asset portfolio is a linear function of the assets weights whenA.the assets have a correlation coefficient less than zero.B.the assets have a correlation coefficient equal to zero.C.the assets have a correlation coefficient greater than zero.D.the assets have a corre

54、lation coefficient equal to one.E.the assets have a correlation coefficient less than one.55.A two-asset portfolio with a standard deviation of zero can be formed whenA.the assets have a correlation coefficient less than zero.B.the assets have a correlation coefficient equal to zero.C.the assets hav

55、e a correlation coefficient greater than zero.D.the assets have a correlation coefficient equal to one.E.the assets have a correlation coefficient equal to negative one.56.When borrowing and lending at a risk-free rate are allowed, which capital allocation line (CAL) should the investor choose to bi

56、ne with the efficient frontierI) The one with the highest reward-to-variability ratio.II) The one that will ma*imize his utility.III) The one with the steepest slope.IV) The one with the lowest slope.A.I and IIIB.I and IVC.II and IVD.I onlyE.I, II, and III57.Given an optimal risky portfolio with e*p

57、ected return of 13% and standard deviation of 26% and a risk free rate of 5%, what is the slope of the best feasible CALA.0.60B.0.14C.0.08D.0.36E.0.3158.The separation property refers to the conclusion thatA.the determination of the best risky portfolio is objective and the choice of the best plete

58、portfolio is subjective.B.the choice of the best plete portfolio is objective and the determination of the best risky portfolio is objective.C.the choice of inputs to be used to determine the efficient frontier is objective and the choice of the best CAL is subjective.D.the determination of the best

59、 CAL is objective and the choice of the inputs to be used to determine the efficient frontier is subjective.E.investors are separate beings and will therefore have different preferences regarding the risk-return tradeoff.59.Consider the following probability distribution for stocks A and B:The e*pec

60、ted rates of return of stocks A and B are _ and _, respectively.A.13.2%; 9%B.13%; 8.4%C.13.2%; 7.7%D.7.7%; 13.2%60.Consider the following probability distribution for stocks A and B:The standard deviations of stocks A and B are _ and _, respectively.A.1.56%; 1.99%B.2.45%; 1.66%C.3.22%; 2.01%D.1.54%;