CFA考試一級章節(jié)練習題精選0329-6(附詳解)

CFA考試一級章節(jié)練習題精選0329-6（附詳解）1、 Ananalystdoesresearchaboutactiveandpassivemanagement.Ifthemarketfortheassetclassisinsufficient,whichofthefollowingstatementsismostaccurate?Askilledinvestorshouldchoose:【單選題】Indexinvesting.passivemanagement.activemanagement.正確答案:C答案解析:如果市場是有效的，流動性是比較好的，投資者則應(yīng)該采取被動投資策略，如投資于指數(shù)；而市場如果是不充分的，有經(jīng)驗的投資者則應(yīng)該單選題】采用積極的投資管理策略。單選題】2、 WhichofthefollowingisnotanassumptionoftheMarkowitzmodel?Investors:havehomogeneousexpectations.maximizeone-periodexpectedutility.basedecisionssolelyonexpectedreturnandrisk.正確答案:A”FrankK.ReillyandKeithC.Brown答案解析:“”FrankK.ReillyandKeithC.Brown2010ModularLevelI,Vol.4,p.241StudySession12-50-bListtheassumptionsaboutinvestorbehaviorunderlyingtheMarkowitzmodel.Aiscorrect.ThisisnotanassumptionoftheMarkowitzmodel,itisanassumptionoftheCapitalAssetPricingModel(CAPM).3、Aportfoliomanagergeneratedarateofreturnof15.5%onaportfoliowithbetaof1.2.Iftherisk-freerateofreturnis2.5%andthemarketreturnis11.8%,Jensen'salphafortheportfolioisclosestto:【單選題】1.84%.3.70%.4.34%.正確答案:A”,VijaySingal,CFA答案解析:“PortfolioRiskandReturnPartII”,VijaySingal,CFAStudySession12-44-hDescribeanddemonstrateapplicationsoftheCAPMandtheSML.Aiscorrect.Jensen'salpha=Rp-[Rf+pp(Rm一Rd]=0.155-[0.025+1.2X(0.118一0.025)]二0.01844、Ananalystdoesresearchaboutbetaandgathersthefollowinginformationaboutanassetandthemarketportfolio:

Siatidarddeviationofrhemarkelparifolio'srctiim(J.75STandaiddcviittidnoftheiisscr'sretuni(J.75Correhiionbetween「tjiimisofihc andtlicmarketportfolioThebetaoftheassetisclosestto:【單選題】0.531.061.89正確答案答案解析代入數(shù)據(jù)得:答案解析0.75X0.75X78%/55%=1.065、Aportfoliomanagerdecidestotemporarilyinvestmoreofaportfolioinequitiesthantheinvestmentpolicystatementprescribes,becauseheexpectsequitieswillgenerateahigherreturnthanotherassetclasses.Thisdecisionismostlikelyanexampleof: 【單選題】rebalancing.tacticalassetallocation.strategicassetallocation.正確答案:B

答案解析:BasicsofPortfolioPlanningandConstruction,答案解析:BasicsofPortfolioPlanningandConstruction,”AlistairByrne,CFA,andFrankE.Smudde,CFA2011ModularLevelI,Vol.4,pp.450,467,477StudySession12-54-gfactorswiththeintenttoaddvalueDiscusstheprinciplesofportfolioconstructionandtheroleofassetallocationinrelationtotheIPS.factorswiththeintenttoaddvalueBiscorrect.Tacticalassetallocationisthedecision