1、资产组合管理及答案解析(总分：107.00，做题时间：90 分钟)一、B单项选择题/B(总题数：107，分数：107.00)1.Which one of the following statements about correlation is FALSE? A. Positive covariance means that asset returns move together. B. If two assets have perfect negative correlation, it is impossible to reduce the portfolios overall varia
2、nce. C. The covariance is equal to the correlation coefficient times the standard deviation of one stock times the standard deviation of the other stock.（分数：1.00）A.B.C.2.When the market is in equilibrium:（分数：1.00）A.A. all assets plot on the SML. B.B. all assets plot on the CML. C.C. stock betas conv
3、erge to one.3.Which statement is most correct about the Security Market Line (SML)? A. The SML is a theoretical, long run relationship and therefore never changes. B. The SML will get a steeper slope if inflation is expected to decrease, reflecting the fact that riskier investments benefit most from
4、 reductions in inflation. C. The SML will get a steeper slope if investors become more risk-averse, indicating that investors will demand a higher risk premium when their risk aversion increases.（分数：1.00）A.B.C.4.Which of the following is NOT an assumption of the Markowitz Portfolio Theory? Investors
5、: A. view the mean of the distribution of returns as capturing the expected return. B. maximize their expected utility over a given investment horizon. C. view the range of the distribution of returns as capturing risk.（分数：1.00）A.B.C.5.An analyst gathered the following return information over a lO-y
6、ear period for two funds, Fund X and Fund Y: （分数：1.00）A.A. 4.35. B.B. 7.42. C.C. 31.61.6.If the standard deviation of stock A is 7.2 percent, the standard deviation of stock B is 5.4 percent, and the covariance between the two is - 0. 0031, what is the correlation coefficient?（分数：1.00）A.A. -0.64. B.
7、B. -0.80. C.C. -0.19.7.Which of the following will NOT cause a parallel shift in the position of the security market line (SML)? A. A decrease in the rate of inflation. B. An increase in expected real economic growth. C. An increase in the perceived riskiness of BBB bonds.（分数：1.00）A.B.C.8.From a the
8、oretical perspective, even though the assumption that investors can borrow and lend at the same (risk-free) rate is violated, a straight-line capital market line can still be constructed if: A. investors are risk neutral. B. there are no transaction costs. C. a zero-beta portfolio exists and yields
9、more than the risk-free rate.（分数：1.00）A.B.C.9.An analyst developed the following data on Stock X and the market: Return on the market =0.1200 Covariance between the return on Stock X and the return on the market = 0.0288 Correlation coefficient between the return on Stock X and the return on the mar
10、ket = 0.8000 Standard deviation of the returns on Stock X = 0.1800 Standard deviation of the returns on the market = 0.2000 Based on the data above, the beta of Stock X is:（分数：1.00）A.A. 0.144. B.B. 0.720. C.C. 0.800.10.The market portfolio in the Capital Market Theory contains which types of investm
11、ents? A. All risky assets in existence. B. All risky and risk-free assets in existence. C. All stocks and bonds in existence.（分数：1.00）A.B.C.11.An investor owns the following portfolio today.（分数：1.00）A.StockB.Market ValueC.Expected Annual ReturnD.RE.$ 2000F.17%G.SH.$ 3200I.8%J.TK.$ 2800L.13%12.An ana
12、lyst 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 600.0standard deviation of the market index 20.0Risk-free rate of retum 5%Yield of zero coupon Treasury bond 6%Expected future rate of
13、return for the market index 13%Based only on the information above, the analysts most appropriate conclusion is that the stock is: A. overvalued because the required rate of return for the stock is 15.5%. B. overvalued because the required rate of return for the stock is 17.0%. C. undervalued becaus
14、e the required rate of return for the stock is 15.5%.（分数：1.00）A.B.C.13.Which of the following about the description of the security market line (SML) is false? A. The SML will shift downward in a parallel fashion if inflation expectations increase. B. The SML will shift upward in a parallel fashion
15、if capital markets tighten. C. The SML will rotate counterclockwise if risk perception increase.（分数：1.00）A.B.C.14.Which of the following statements about portfolio diversification is TRUE? A. The efficient frontier represents individual securities. B. When a risk-averse investor is confronted with t
16、wo investment opportunities having the same expected return, the investor will take the opportunity with the lower risk. C. When a portfolio is efficient, it will lie above and to the left of the efficient frontier.（分数：1.00）A.B.C.15.An analyst believes that EFG will pay a $1 dividend a year from now
17、, 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）A.A. EFG is overvalued. B.B. EFG is undervalued. C.C.
18、 EFG is fairly priced.16.Which of the following is not a characteristic of a portfolio located on the efficient frontier? 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 portfol
19、io offers the lowest possible risk for its level of return.（分数：1.00）A.B.C.17.All else equal, as the correlation of returns among a set of securities decrease, will a portfolio composed of those securities most likely experience an increase in expected: Return ? Risk ? A. Yes No B. Yes Yes C. No No（分
20、数：1.00）A.A. B.B. C.C. 18.An investor currently holds a portfolio that is expected to return 15 percent. The investor is planning to sell one of the securities included in the current portfolio that has an expected return of 13 percent and use the proceeds to purchase a security that has an expected
21、return of 14 percent. Compared to the investors current portfolio, the expected return for the investors revised portfolio will be: A. above 15 percent whether or not any change occurs in the standard deviation of the portfolio B. below 15 percent whether or not any change occurs in the standard dev
22、iation of the portfolio C. above 15 percent only if the covariance of the new security is lower than the covariance of the security that was sold.（分数：1.00）A.B.C.19.Empirical evidence suggests that the security market line (SML) does not maintain a constant slope or intercept across time, creating va
23、luation 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. An increase in expected inflation A decrease in real growth B. A decrease in real growth An increase in the mar
24、ket risk premium C. An increase in the market risk premium Unexpected growth of the money supply（分数：1.00）A.A. B.B. C.C. 20.The security market line(SML) will resemble a band with fairly tight upper and lower bounds if the following assumptions are made. Which of the following should not be included
25、in this list? A. Transaction costs. B. Differences in investor tax brackets. C. Unequal borrowing and lending rates.（分数：1.00）A.B.C.21.The particular portfolio on the efficient frontier that best suits an individual investor is determined by: A. the individuals asset allocation plan. B. the beta of t
26、he market at that particular time. C. the individuals utility curve.（分数：1.00）A.B.C.22.Which of the following statements about risk is FALSE? Generally, greater: A. spending needs allows for greater risk. B. existing wealth allows for greater risk. C. current cash reserves allows for greater risk.（分数
27、：1.00）A.B.C.23.Which of the following is NOT an implication of risk aversion for the investment process? A. The security market line is upward sloping. B. The promised yield on AAA-rated bonds is higher than on A-rated bonds. C. Investors expect a positive relationship between expected return and ex
28、pected risk.（分数：1.00）A.B.C.24.All of the following are investment constraints EXCEPT: A. liquidity needs. B. pension plan contributions of the employer. C. tax concerns.（分数：1.00）A.B.C.25.Which of the following factors is least likely to affect an investors risk tolerance? A. Number of dependent fami
29、ly members. B. Level of inflation in the economy. C. Level of insurance coverage and level of cash savings.（分数：1.00）A.B.C.26.Which type of risk is positively related to expected excess returns according to the CAPM?（分数：1.00）A.A. Unique. B.B. Systematic. C.C. Diversifiable.27.Which of Karabons assump
30、tions about the capital market theory is least accurate? A. Every investor has the same market expectations, which allows for the identification of the optimal portfolio. B. Investors can borrow at the risk-free rate and know in advance about their real cash flows. C. All investors make investment d
31、ecisions for the same reasons, considering only expected return and standard deviation.（分数：1.00）A.B.C.28.Stocks A, B, and C each have the same expected return and standard deviation. The following table shows the correlations between the returns on these stocks. Correlation of Stock ReturnsStock A S
32、tock B Stock CStock A +1.0Stock B +0.9 +1.0Stock C +0.1 -0.4 +1.0Given the above correlations, the portfolio constructed from these stocks having the lowest risk is a portfolio : A. equally invested in stocks A and B. B. equally invested in stocks A and C. C. equally invested in stocks B and C.（分数：1
33、.00）A.B.C.29.An analyst determines that four stocks have the following characteristics:（分数：1.00）A.StockB.BetaC.Estimated returnD.AE.0.6F.5%G.BH.1.0I.10%J.CK.1.6L.16%M.DN.2.0O.16%30.The statistics for three stocks A, B, and C are shown below. Based only on the information provided, and given a choice
34、 between portfolios of equal amounts of stock A and B or B and C,（分数：1.00）A.Correlation of ReturnsB.StockC.AD.BE.CF.AG.1.00H.0.90I.0.50J.BK.L.1.00M.0.10N.CO.P.Q.1.00R.Standard Deviation of ReturnsS.StockT.AU.BV.W.SdevX.0.40Y.0.20A.0.4031.William Bonney, CFA, is writing an investment policy statement
35、 for one of his high net worth clients, Joey Rook. Rook is a retiree who receives Social Security benefits but because he was self-employed, has no pension income. He has a portfolio of $ 1.2 million and recently purchased a vacation cabin requiring mortgage and maintenance expenses of $ 6000 per mo
36、nth. After meeting with his client, Bonney writes the following policy statement: “The total return objective is to earn 6% after-tax. At no time should the principal amount decline in value by more than 15%.“ The most valid criticism of this return objective statement is that: A. it considers only
37、the after-tax return. B. the return objective is too conservative and the risk allowed is unrealistically low in todays market. C. it fails to consider current income.（分数：1.00）A.B.C.32.Using the Markowitz model, calculation of the portfolio standard deviation does not require the: A. Expected rate o
38、f 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.（分数：1.00）A.B.C.33.An analyst gathered the following information about two common stocks: Variance of ret
39、urns for the Libby Company = 15.5 Variance of returns for the Metromedia Company = 22.3 Covariance between returns for the two common stocks is close to: The correlation coefficient between returns for the two common stocks is closest to:（分数：1.00）A.A. 0.025. B.B. 0.388. C.C. 0.465.34.An analyst gath
40、ered the following data on Stock A and Stock B:（分数：1.00）A.ScenarioB.ProbabilityC.Stock As returnD.Stock Bs returnE.1F.0.5G.0.30H.0.150I.2J.0.5K.0.15L.0.07535.An investor is evaluating the following possible portfolios. Which of the following portfolios would not lie on the efficient frontier?（分数：1.0
41、0）A.PortfolioB.Expected ReturnC.Standard DeviationD.AE.26%F.28%G.BH.23%I.34%J.CK.14%L.23%M.DN.18%O.14%P.EQ.11%R.8%S.FT.18%U.16%36.As part of the portfolio management process, Jill Mathews is collecting data in order to estimate the Security Market line. The slope of the Security Market Line correspo
42、nds to: A. the amount of risk per unit return that investors must take in the market. B. the nominal risk-free rate. C. the return per unit risk required by all investors.（分数：1.00）A.B.C.37.The manager of the Fullen Balanced Fund is putting together a report that breaks out the percentage of portfoli
43、o return that is explained by the target asset allocation, security selection, and tactical variations from the target, respectively. Which of the following sets of numbers was the most likely conclusion for the report?（分数：1.00）A.A. 90%, 6%,4%. B.B. 50%,25%,25%. C.C. 33%, 33%, 33%.38.A portfolio cur
44、rently holds Randy Co. and the portfolio manager is thinking of adding either XYZ Co. or Branton Co. to the portfolio. All three stocks offer the same expected return and total risk. The covariance of returns between Randy Co. and XYZ is + 0.5 and the covariance between Randy Co. and Branton Co. is-
45、 0.5. The portfolios risk would decrease: A. most if she put half your money in XYZ Co. and half in Branton Co. B. more if she bought Branton Co. C. if she bought XYZ Co. but increase if she bought Branton Co.（分数：1.00）A.B.C.39.A basic assumption of the capital asset pricing model (CAPM) is that ther
46、e are no transaction costs. If this assumption is relaxed, which of the following would be the least likely to occur? A. Diversification benefits will be realized up to the point that they offset transactions costs. B. Each investor can have a unique view of a security market line. C. Investors will
47、 not correct all mispricing.（分数：1.00）A.B.C.40.Which of the 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.A. No transaction costs. B.B. Equa
48、l borrowing and lending rates. C.C. Homogeneous expectations.41.Which of the following types of risk are essentially the same? A. Market risk and unsystematic risk. B. Total risk and the variance of returns. C. Undiversifiable risk and unsystematic risk.（分数：1.00）A.B.C.42.The correlation between rate
49、s of return for stock X and stock Y is 1.0. X and Y have standard deviations of 22% and 34% , respectively. Which of the following portfolios has the lowest risk?（分数：1.00）A.A. 90%X, 10%Y. B.B. 50% X, 50% Y. C.C. 10% X, 90% Y.43.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.A. +0.50. B.B. 0.00. C.C. +1.00.44.An investor has identified the following possible portfolios. Which portfolio lies to the right of the efficient frontier?（分数：1.00）A.PortfolioB.Expected Retu
