数量方法：应用(二+)及答案解析.doc

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1、数量方法：应用(二+)及答案解析(总分：40.00，做题时间：90 分钟)一、B单项选择题/B(总题数：40，分数：40.00)1.Which of the following is NOT a probability distribution? A. Flip a coin: P(H)=P(T)=0.5. B. Roll an irregular die: P(1)=P(2)=P(3)=P(4)=0.2 and P(5)=P(6)=0.1. C. Zeta Corp. : P(dividend increases)=0.60, P(dividend decreases)=0.30.（分数：1

2、.00）A.B.C.D.2.The mean and standard deviation of four portfolios are listed below in percentage terms. Using Roys safety- first criteria and a threshold of 4 percent, select the mean and standard deviation that corresponds to the optimal portfolio.Mean Standard DeviationA. 14 20B. 8 10C. 19 28 A. B.

3、 C. （分数：1.00）A.B.C.D.3.A Type error: A. rejects a true null hypothesis. B. rejects a false null hypothesis. C. fails to reject a false null hypothesis.（分数：1.00）A.B.C.D.4.If X has a normal distribution with =100 and =5, then there is approximately a 90% probability that: A. P(90.2X109.8). B. P(87.1X1

4、12.9). C. P(91.8X108.3).（分数：1.00）A.B.C.D.5.A stock priced at $100 has a 70 percent probability of moving up and a 30 percent probability of moving down. If it moves up, it increases by a factor of 1.02. If it moves down, it decreases by a factor of 1/1.02. What is the probability that the stock will

5、 be $100 after two successive periods? A. 9%. B. 42%. C. 21%.（分数：1.00）A.B.C.D.6.The sample of per square foot sales for 100 U. S. retailers in December 2004 is an example of: A. cross -sectional data. B. unbiased data. C. time -series data.（分数：1.00）A.B.C.D.7.In a two - tailed hypothesis test, Jack O

6、lson observes a t - statistic of -1.38 based on a sample of 20 observations where the population mean is zero. If you choose a 5 percent significance level, you should: A. reject the null hypothesis and conclude that the population mean is significantly different from zero. B. fail to reject the nul

7、l hypothesis that the population mean is not significantly different from zero. C. reject the null hypothesis and conclude that the population mean is not significantly different from zero.（分数：1.00）A.B.C.D.8.The owner of a bowling alley determined that the average weight for a bowling ball is 12 pou

8、nds with a standard deviation of 1.5 pounds. A ball denoted “heavy“ should be one of the top 2 percent based on weight. Assuming the weights of bowling balls are normally distributed, at what weight (in pounds) should the “heavy“ designation be used? A. 15.08 pounds. B. 14.00 pounds. C. 14.22 pounds

9、.（分数：1.00）A.B.C.D.9.Which of the following statements regarding the speed at which analysts believe stock prices reflect new information is most likely accurate? A. Technicians believe that prices adjust quickly to new information. B. Both technicians and followers of the efficient market hypothesis

10、 believe prices adjust slowly to new information. C. Followers of the efficient market hypothesis believe prices adjust quickly to new information.（分数：1.00）A.B.C.D.10.In order to test if Stock A is more volatile than Stock B, prices of both stocks are observed to construct the sample variance of the

11、 two stocks. The appropriate test statistics to carry out the test is the: A. F - test. B. t - test. C. Z - test.（分数：1.00）A.B.C.D.11.If the threshold return is higher than the risk -free rate, what will be the relationship between Roys safety -first ratio (SF) and Sharpes ratio? A. The SF ratio will

12、 be lower. B. The SF ratio will be higher. C. They will be the same.（分数：1.00）A.B.C.D.12.Which of the following is a discrete random variable? A. The amount of time between two successive stock trades. B. The realized return on a corporate bond. C. The number of advancing stocks in the DJIA in a day.

13、（分数：1.00）A.B.C.D.13.Which of the following random variables would be most likely to follow a discrete uniform distribution? A. The outcome of the roll of two standard, six - sided dice where X is the sum of the numbers facing up. B. The number of heads on the flip of two coins. C. The outcome of a r

14、oll of a standard, six - sided die where X equals the number facing up on the die.（分数：1.00）A.B.C.D.14.A test of a hypothesis that the means of two normally distributed populations are equal based on two independent random samples: A. is based on a Chi Square statistic. B. is a paired -comparisons te

15、st. C. is done with a t -statistic.（分数：1.00）A.B.C.D.15.Point and figure charting is most concerned with which of the following? A. Time. B. Price “jumps“. C. Relative Strength.（分数：1.00）A.B.C.D.16.A dealer in a casino has rolled a five on a single die three times in a row. What is the probability of

16、her rolling another five on the next roll, assuming it is a fair die? A. 0.001. B. 0.500. C. 0.167.（分数：1.00）A.B.C.D.17.A random variable follows a continuous uniform distribution over 27 to 89. What is the probability of an outcome between 34 and 38? A. 0.0546. B. 0.0645. C. 0.0719.（分数：1.00）A.B.C.D.

17、18.The number of days a particular stock increases in a given five - day period is uniformly distributed between zero and five inclusive. In a given five -day trading week, what is the probability that the stock will increase exactly three days? A. 0.333. B. 0.200. C. 0.167.（分数：1.00）A.B.C.D.19.Studi

18、es of performance of a sample of mutual fund managers most likely suffer from: A. look -ahead bias. B. time -period bias. C. survivorship bias.（分数：1.00）A.B.C.D.20.An analyst conducts a two - tailed test to determine whether differences between the means of two populations exist: H0: 1-2=0 versus H 2

19、: 1-20. Assume that the populations are independent, normally distributed, and have unequal and unknown variances. The critical value with 50 degrees of freedom is 2.126. The computed test statistic is t=1.753. Using a significance level of x=0.05, which of the following statements is TRUE? A. Use a

20、 t- test to reject the null hypothesis and accept the alternative hypothesis. B. Use a t -test to accept the null hypothesis and reject the alternative hypothesis. C. Use a z- test to reject the null hypothesis and accept the alternative hypothesis.（分数：1.00）A.B.C.D.21.A sample of size n=25 is select

21、ed from a normal population. This sample has a mean of 15 and a sample variance of 4. What is the standard error of the sample mean? A. 2.0. B. 0.4. C. 0.8.（分数：1.00）A.B.C.D.22.Which one of the following statements about the t - distribution is TRUE? A. The t- distribution is the appropriate distribu

22、tion to use when constructing confidence intervals based on large samples. B. Compared to the normal distribution, the t -distribution is more peaked with more area under the tails. C. The t - distribution approaches the standard normal distribution as the number of degrees of freedom becomes large.

23、（分数：1.00）A.B.C.D.23.The central limit theorem concerns the sampling distribution of the: A. population mean. B. sample mean. C. population standard deviation.（分数：1.00）A.B.C.D.24.One advantage of technical analysis is that it tells the analyst: A. Why investors are buying. B. When to buy and why inve

24、stors are buying. C. When to buy; not why investors are buying.（分数：1.00）A.B.C.D.25.If the probability of a Type I error decreases, then the probability of: A. incorrectly rejecting the null increases. B. a Type error increases. C. incorrectly accepting the null increases.（分数：1.00）A.B.C.D.26.A nurser

25、y sells trees of different types and heights. Suppose that 75 pine trees are sold for planting at City Hall. These 75 trees average 60 inches in height with a standard deviation of 16 inches. Using this information, construct a 95 percent confidence interval for the mean height of all trees in the n

26、ursery: A. 601.96(16). B. 0.81.96(16). C. 601.96(1.85).（分数：1.00）A.B.C.D.27.A probability function: A. only applies to continuous distributions. B. specifies the probability that the random variable takes on a specific value. C. is often referred to as the “cdf. “（分数：1.00）A.B.C.D.28.A portfolio manag

27、er is looking at an investment that has an expected annual return of 10% with a standard deviation of annual returns of 5%. Assuming the returns are approximately normally distributed, the probability that the return will exceed 20% in any given year is closest to: A. 0.0%. B. 4.56%. C. 2.28%.（分数：1.

28、00）A.B.C.D.29.In order to test whether the mean IQ of employees in an organization is greater than 100, a sample of 30 employees is taken and the sample value of the computed test statistic, tn-1=3.4. The null and alternative hypothesis are: A. H0: =100; H a: 100. B. H0: 100; H a: 100. C. H0: X=100;

29、 Ha: X100.（分数：1.00）A.B.C.D.30.The use of the F - distributed test statistic, （分数：1.00）A.B.C.D.31.When is the t- distribution the appropriate distribution to use? The t -distribution is the appropriate distribution to use when constructing confidence intervals based on: A. small samples from populati

30、ons with known variance that are at least approximately normal. B. large samples from populations with known variance that are nonnormal. C. small samples from populations with unknown variance that are at least approximately normal.（分数：1.00）A.B.C.D.32.Which of the following statements regarding con

31、fidence intervals is TRUE? A. The higher the alpha level, the wider the confidence interval. B. The relationship between the alpha level and the confidence interval cannot be ascertained. C. The lower the alpha level, the wider the confidence interval.（分数：1.00）A.B.C.D.33.Assume thirty percent of the

32、 CFA candidates have a degree in economics. A random sample of three CFA candidates is selected. What is the probability that none of them has a degree in economics? A. 0.343. B. 0.900. C. 0.027.（分数：1.00）A.B.C.D.34.For a t- distributed test statistic with 30 degrees of freedom, a one -tailed test sp

33、ecifying the parameter greater than some value and a 95 percent confidence level, the critical value is: A. 1.697. B. 1.640. C. 2.042.（分数：1.00）A.B.C.D.35.The fact that it is not heavily dependent on the analysis of accounting information is an advantage of: A. fundamental analysis. B. efficient mark

34、et analysis. C. technical analysis.（分数：1.00）A.B.C.D.36.Ken Wallace is interested in testing whether the average price to earnings (P/E) of firms in the retail industry is 25. Using a t - distributed test statistic and a 5% level of significance, the critical values for a sample of 40 firms is/are: A

35、. -1.685 and 1.685. B. -1.96 and 1.96. C. -2.023 and 2.023.（分数：1.00）A.B.C.D.37.The standard normal distribution is most completely described as a: A. symmetrical distribution with a mean equal to its median. B. normal distribution with a mean of zero and a standard deviation of one. C. distribution

36、that exhibits zero skewness and no excess kurtosis.（分数：1.00）A.B.C.D.38.In a test of the mean of a population, if the population variance is: A. known, a z- distributed test statistic is appropriate. B. known, a t- distributed test statistic is appropriate. C. unknown, a z -distributed test statistic

37、 is appropriate.（分数：1.00）A.B.C.D.39.If the null hypothesis is innocence, then the statement “It is better that the guilty go free, than the innocent are punished“ is an example of preferring a: A. type I error over a type error. B. two tailed test over a one tailed test. C. type error over a type I

38、error.（分数：1.00）A.B.C.D.40.A normal distribution can be completely described by its: A. mean and variance. B. skewness and kurtosis. C. mean and mode.（分数：1.00）A.B.C.D.数量方法：应用(二+)答案解析(总分：40.00，做题时间：90 分钟)一、B单项选择题/B(总题数：40，分数：40.00)1.Which of the following is NOT a probability distribution? A. Flip a c

39、oin: P(H)=P(T)=0.5. B. Roll an irregular die: P(1)=P(2)=P(3)=P(4)=0.2 and P(5)=P(6)=0.1. C. Zeta Corp. : P(dividend increases)=0.60, P(dividend decreases)=0.30.（分数：1.00）A.B.C. D.解析：All the probabilities must be listed. In the case of Zeta Corp. the probabilities do not sum to one.2.The mean and stan

40、dard deviation of four portfolios are listed below in percentage terms. Using Roys safety- first criteria and a threshold of 4 percent, select the mean and standard deviation that corresponds to the optimal portfolio.Mean Standard DeviationA. 14 20B. 8 10C. 19 28 A. B. C. （分数：1.00）A.B.C. D.解析：Accord

41、ing to the safety -first criterion, the optimal portfolio is the one that has the largest value for the SFRatio = (mean - threshold)/Standard Deviation. A mean = 19 and Standard Deviation =28 yields the largest SFRatio from the choices given: (19-4)/28=0.5357.3.A Type error: A. rejects a true null h

42、ypothesis. B. rejects a false null hypothesis. C. fails to reject a false null hypothesis.（分数：1.00）A. B.C.D.解析：A Type I Error is defined as rejecting the null hypothesis when it is actually true. The probability of committing a Type I error is the significance level or alpha risk.4.If X has a normal

43、 distribution with =100 and =5, then there is approximately a 90% probability that: A. P(90.2X109.8). B. P(87.1X112.9). C. P(91.8X108.3).（分数：1.00）A.B.C. D.解析：65 (5)=91.75 to 108.25 or P(91.75X108.25).5.A stock priced at $100 has a 70 percent probability of moving up and a 30 percent probability of m

44、oving down. If it moves up, it increases by a factor of 1.02. If it moves down, it decreases by a factor of 1/1.02. What is the probability that the stock will be $100 after two successive periods? A. 9%. B. 42%. C. 21%.（分数：1.00）A.B. C.D.解析：For the stock to be $100 after two periods, it must move up

45、 once and move down once: $1001.02(1/1.02)=$100. This can happen in one of two ways: 1 ) the stock moves up during period one and down during period two; or 2) the stock moves down during period one and up during period two. The probability of either event is 0.700.30=0.21. The combined probability

46、of either event is 2 (0.21)=0.42 or 42%.6.The sample of per square foot sales for 100 U. S. retailers in December 2004 is an example of: A. cross -sectional data. B. unbiased data. C. time -series data.（分数：1.00）A. B.C.D.解析：Cross - sectional data are a sample of observations taken at a single point i

47、n time. A time - series is a sample of observations taken at specific and equally spaced points in time.7.In a two - tailed hypothesis test, Jack Olson observes a t - statistic of -1.38 based on a sample of 20 observations where the population mean is zero. If you choose a 5 percent significance lev

48、el, you should: A. reject the null hypothesis and conclude that the population mean is significantly different from zero. B. fail to reject the null hypothesis that the population mean is not significantly different from zero. C. reject the null hypothesis and conclude that the population mean is not significantly different from zero.（分数：1.00）A.B. C.D.解析：At a 5 percent significance level, the critical t - statistic using the Students t-distribution table for a two - tailed test and 19 degrees of freedom ( sample size of 20 less