资产组合管理(一)及答案解析.doc

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1、资产组合管理(一)及答案解析(总分：53.00，做题时间：90 分钟)一、B单项选择题/B(总题数：53，分数：53.00)1.A portfolio manager adds a new stock that has the same standard deviation of returns as the existing portfolio but has a correlation coefficient with the existing portfolio that is less than +1.Adding this stock will have what effect on

2、 the standard deviation of the revised portfolios returns? The standard deviation will: A. increase. B. remain unchanged. C. decrease.（分数：1.00）A.B.C.D.2.Which statement is most correct about the Security Market Line (SML)? A. The SML is a theoretical, long run relationship and therefore never change

3、s. B. The SML will get a steeper slope if inflation is expected to decrease, reflecting the fact that riskier investments benefit most from 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 w

4、hen their risk aversion increases.（分数：1.00）A.B.C.D.3.Which of the following statements about systematic and unsystematic risk is FALSE? A. As an investor increases the number of stocks in a portfolio, the systematic risk will remain constant. B. Total risk equals market risk plus firm-specific risk.

5、 C. The unsystematic risk for a specific firm is similar to the unsystematic risk for other firms in the same industry.（分数：1.00）A.B.C.D.4.Which of the following statements about portfolio risk is true? A. In the absence of perfectly positive correlation, a portfolio will always have lower risk than

6、the average risk of the component assets. B. In the absence of perfectly positive correlation, a portfolio will always have lower risk than the risk of each of the component assets. C. In the absence of perfectly negative correlation, a portfolio will always have lower risk than the average risk of

7、the component assets.（分数：1.00）A.B.C.D.5.The relationship between risk and return is such that: A. investors increase their required rates of return as perceived risk increases. B. investors decrease their required rates of return as perceived risk increases. C. investors increase their required rate

8、s of return as perceived risk decreases.（分数：1.00）A.B.C.D.6.Which of the following about correlation of two assets is TURE? A. The smaller correlation implies smaller risk reduction potential. B. The smaller correlation implies greater risk reduction potential. C. The larger correlation implies small

9、er risk reduction potential.（分数：1.00）A.B.C.D.7.When an investor can borrow and invest at the risk-free rate, which of the following statements is NOT valid? A. Investors who borrow the risk-free asset to lever their portfolio will move their portfolios to the right of the market portfolio on the CML

10、. B. Any asset/portfolio lying below the CML is inefficient. C. The x-axis measurement of risk is the standardized covariance.（分数：1.00）A.B.C.D.8.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 curre

11、nt portfolio that has an expected return of 13 percent and use the proceeds to purchase a security that has an expected 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 oc

12、curs in the standard deviation of the portfolio B. below 15 percent whether or not any change occurs in the standard deviation 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.D.9.The return on a

13、n asset added to a portfolio is less than perfectly positively correlated with the returns of the other assets in the portfolio but has the same standard deviation. What effect will adding the new asset have on the standard deviation of the portfolios return? The standard deviation: A. will decrease

14、. B. will increase. C. may increase or decrease depending on the individual securities mix in the portfolio.（分数：1.00）A.B.C.D.10.If the Capital Asset Pricing Model(CAPM) assumption that there are no transactions costs is relaxed and transactions costs are permitted, all else equal, the most likely re

15、sult is that the security market line (SML) will: A. plot on a steeper line. B. plot on a flatter line. C. no longer plot on a single line.（分数：1.00）A.B.C.D.11.According to capital asset pricing model( CAPM), if an investor holds a portfolio that lies on the capital market line(CML) to the right of t

16、he market portfolio, that investor should expect that his portfolio will: A. earn less return than on the market portfolio. B. earn more return than on the market portfolio. C. have less systematic risk than the market portfolio.（分数：1.00）A.B.C.D.12.From a theoretical perspective, even though the ass

17、umption 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 more than the risk-free rate.（分数：1.00）A.B

18、.C.D.13.Which of Karabons assumptions 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.

19、 All investors make investment decisions for the same reasons, considering only expected return and standard deviation.（分数：1.00）A.B.C.D.14.When a risk-free asset is combined with a portfolio of risky assets, will the Standard deviation of the resulting portfolio Graph of the possible portfolio retur

20、n and risk combinations be a linear funtion of the standard deviation display increasing incremental return per unit of the risky asset portfolio? of incremental resk change? A. YES NO B. YES YES C. NO YES A. B. C. （分数：1.00）A.B.C.D.15.Which of the following return objectives is most likely the prima

21、ry objective given a 70 year-old widow who owns a portfolio comprised of 100 percent Treasury bonds? A. Capital appreciation. B. Current income. C. Capital preservation.（分数：1.00）A.B.C.D.16.When setting investor objectives in the investment policy statement, expressing goals only in terms of returns

22、can: A. lead to inappropriate investment practices by the portfolio manager, such as the use of low-risk investment strategies. B. distort the expected outcome. C. lead to inappropriate investment practices by the portfolio manager, such as the use of high-risk investment strategies.（分数：1.00）A.B.C.D

23、.17.An analyst gathered the following information about two common stocks:Variance of returns for the Libby Company = 15.5Variance of returns for the Metromedia Company = 22.3Covariance between returns for the two common stocks is close to:The correlation coefficient between returns for the two comm

24、on stocks is closest to: A. 0.025. B. 0.388. C. 0.465.（分数：1.00）A.B.C.D.18.William Bonney, CFA, is writing an investment policy statement 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.

25、He has a portfolio of $ 1.2 million and recently purchased a vacation cabin requiring mortgage and maintenance expenses of $ 6000 per month. 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 princip

26、al amount decline in value by more than 15%.“ The most valid criticism of this return objective statement is that: A. it considers only 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 inco

27、me.（分数：1.00）A.B.C.D.19.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.D.20.Suppose the correlation between the returns of Belgian stocks and US stocks increased. Assuming that the standard devi

28、ations of the countries stock returns remain unchanged, which of the following will occur? A. Risk estimates (standard deviations) for portfolios containing both U. S. and Belgian stocks will increase B. The beta for Belgian stocks from a U.S. perspective will increase C. A and B（分数：1.00）A.B.C.D.21.

29、When the market is in equilibrium: A. all assets plot on the SML. B. all assets plot on the CML. C. stock betas converge to one.（分数：1.00）A.B.C.D.22.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 Ma

30、rket Line corresponds 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.D.23.Stocks A, B, and C each have the same expected return and standard deviation. The following

31、 table shows the correlations between the returns on these stocks. Correlation of Stock ReturnsStock A Stock 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 invest

32、ed in stocks A and B. B. equally invested in stocks A and C. C. equally invested in stocks B and C.（分数：1.00）A.B.C.D.24.All of the following affect an investors risk tolerance EXCEPT: A. years of experience with investing in the markets. B. current net worth and family situation. C. tax bracket.（分数：1

33、.00）A.B.C.D.25.Which of the following statements about portfolio theory is least accurate? A. As the correlation between two assets increases, the benefits of diversification also increase. B. The optimal portfolio for each investor is at the point where her highest indifference curve is tangent to

34、the efficient frontier. C. The efficient frontier represents the set of portfolios that has the highest rate of return for every given level of risk, or the lowest risk for every level of return.（分数：1.00）A.B.C.D.26.Which of the following is NOT an implication of risk aversion for the investment proc

35、ess? 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 expected risk.（分数：1.00）A.B.C.D.27.Asset allocation is important in determining overall investment perf

36、ormance because it: A. helps determine the expected return of the portfolio. B. determines most of the portfolios returns over time. C. helps determine the standard deviation of the portfolio.（分数：1.00）A.B.C.D.28.Which of the following is least likely an implication of risk aversion for the investmen

37、t process? A. The capital market line (CML) is upward sloping. B. The security market line (SML) is upward sloping. C. The promised yield on AAA bonds is higher than on A bonds.（分数：1.00）A.B.C.D.29.The security market line(SML) will resemble a band with fairly tight upper and lower bounds if the foll

38、owing assumptions are made. Which of the following should not be included 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.D.30.Which one of the following statements about correlation is FALSE? A. Positive covariance m

39、eans that asset returns move together. B. If two assets have perfect negative correlation, it is impossible to reduce the portfolios overall variance. C. The covariance is equal to the correlation coefficient times the standard deviation of one stock times the standard deviation of the other stock.（

40、分数：1.00）A.B.C.D.31.Which of the following is NOT an assumption of the Markowitz Portfolio Theory? Investors: 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

41、returns as capturing risk.（分数：1.00）A.B.C.D.32.Stock A has an expected return of 18% and a standard deviation of 40%. Stock B has an expected return of 12% and a standard deviation of 20%. The correlation between returns for A and B is 0.35. Which of the following statements is true for portfolios co

42、mprised of only A and B? A. Any investor holding only A and B can always reduce risk by increasing the proportion of B in his portfolio. B. Many investors can reduce risk by increasing the proportion of B, but at some point additional B will increase portfolio risk. C. For any investor, portfolio ri

43、sk is independent of the proportions of A and B held.（分数：1.00）A.B.C.D.33.Level I CFA candidate Adeline Bass is a member of an investment club. At the next meeting, she is to recommend whether or not the club should purchase the stocks of CS Industries and MG Consolidated. The risk-free rate is at 6

44、percent and the expected return on the market is 15 percent. Prior to the meeting, Bass gathers the following information on the two stocks: CS Industries MG ConsolidatedCurrent Market Value $25 $50Expected Market Value in One Year $30 $55Expected Dividend $1 $1Beta 1.2 0.80Bass should recommend tha

45、t the club: A. purchase MG only. B. purchase both stocks. C. purchase CS only.（分数：1.00）A.B.C.D.34.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 i

46、ncrease in the perceived riskiness of BBB bonds.（分数：1.00）A.B.C.D.35.Duncan Manz believes that he has found an error in a sample CFA Study Program question. Prior to e-mailing the provider about the error, he discusses his logic with Julia Cook, a fellow finance student at the Hess School of Business

47、. Manz does not believe that the following question provides enough information to completely answer the question. Cook disagrees. Who is correct?Manz or Cook? And, if Cook is correct, what is the correct answer?Question: An investors portfolio currently consists of 100% of stocks that have a mean r

48、eturn of 18 percent and an expected variance of 0.0625. The investor plans to diversify slightly by replacing 30 percent of her portfolio with U. S. Treasury bills that earn 4.25 percent. Assuming the investor diversifies, what are the expected return and expected standard deviation of the portfolio

49、? A. Cook is correct. The portfolios expected return is 13.875% and the expected standard deviation is 4.375%. B. Cook is correct. The portfolios expected return is 13.875% and the expected standard deviation is 17.500%. C. Manz is correct. There is not enough information to completely answer the question.（分数：1.00）A.B.C.D.36.A basic assumption of the capital asset pr