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1、-1、The efficient frontier of risky assets is A)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 highest standard deviations. C)the portion of the investment opportunity set which i
2、ncludes the portfolios with the lowest standard deviation. D)the set of portfolios that have zero standard deviation. E)both A and B are true. 2、The Capital Allocation Line provided by a risk-free security and N risky securities is _A)the line that connects the risk-free rate and the global minimum-
3、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 expected return on the efficient frontier. C)the line tangent to the efficient frontier of risky securities drawn from the risk-free rate. D)the hori
4、zontal line drawn from the risk-free rate. E)none of the above. 3、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 always_A)greater than zero. B)equal to zero. C)equal to
5、 the sum of the securities standard deviations. D)equal to -1. E)none of the above. 4、Which of the following statements is (are) true regarding the variance of a portfolio of two risky securities? A)The higher the coefficient of correlation between securities, the greater the reduction in the portfo
6、lio variance. B)There is a linear relationship between the securities coefficient of correlation and the portfolio variance. C)The degree to which the portfolio variance is reduced depends on the degree of correlation between securities. D)A and B. E)A and C. 5、Efficient portfolios of N risky securi
7、ties are portfolios that A)are formed with the securities that have 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.
8、 D)have the highest risk and rates of return and the highest standard deviations. E)have the lowest standard deviations and the lowest rates of return. 6、As diversification increases, the total variance of a portfolio approaches _. A)0 B)1 C)the variance of the market portfolio D)infinity E)none of
9、the above 7、The index model was first suggested by _. A)Graham B)Markowitz C)Miller D)Sharpe E)none of the above 8、.A single-index model uses _ as a proxy for the systematic risk factor. A)a market index, such as the S&P 500 B)the current account deficit C)the growth rate in GNP D)the unemployment r
10、ate E)none of the above 9、According to the index model, covariances among security pairs are A)due to the influence of a single common factor represented by the market index return B)extremely difficult to calculate C)related to industry-specific events D)usually positive E)A and D 10、In a factor mo
11、del, the return on a stock in a particular period will be related to _. A)firm-specific events B)macroeconomic events C)the error term D)both A and B E)neither A nor B 11、Which of the following statement(s) is (are) true regarding the selection of a portfolio from those that lie on the Capital Alloc
12、ation Line? A)Less risk-averse investors will invest more in the risk-free security and less in the optimal risky portfolio than more risk-averse investors. B)More risk-averse investors will invest less in the optimal risky portfolio and more in the risk-free security than less risk-averse investors
13、. C)Investors choose the portfolio that maximizes their expected utility. D)A and C. E)B and C. 12、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 and invest the remai
14、nder in the optimal risky portfolio. B)borrow some money at the risk-free rate and invest in the optimal risky portfolio. C)invest only in risky securities. D)such a portfolio cannot be formed. E)B and C 13、Portfolio theory as described by Markowitz is most concerned with: A)the elimination of syste
15、matic risk. B)the effect of diversification on portfolio risk. C)the identification of unsystematic risk. D)active portfolio management to enhance returns. E)none of the above. 14、The measure of risk in a Markowitz efficient frontier is: A)specific risk. B)standard deviation of returns. C)reinvestme
16、nt risk. D)beta. E)none of the above. 15、A statistic that measures how the returns of two risky assets move together is: A)variance. B)standard deviation. C)covariance. D)correlation. E)C and D. 16、Rosenberg and Guy found that _ helped to predict a firms beta. A)the firms financial characteristics B
17、)the firms industry group C)firm size D)both A and B E)A, B and C all helped to predict betas. 17、If a firms beta was calculated as 0.6 in a regression equation, Merrill Lynch would state the adjusted beta at a number A)less than 0.6 but greater than zero. B)between 0.6 and 1.0. C)between 1.0 and 1.
18、6. D)greater than 1.6. E)zero or less. 18、The beta of Exxon stock has been estimated as 1.2 by Merrill Lynch using regression analysis on a sample of historical returns. The Merrill Lynch adjusted beta of Exxon stock would be _. A)1.20 B)1.32 C)1.13 D)1.0 E)none of the above 19、Consider the single-i
19、ndex model. The alpha of a stock is 0%. The return on the market index is 16%. The risk-free rate of return is 5%. The stock earns a return that exceeds the risk-free rate by 11% and there are no firm-specific events affecting the stock performance. The of the stock is _. A)0.67 B)0.75 C)1.0 D)1.33
20、E)1.50 20、Suppose you forecast that the market index will earn a return of 15% in the coming year. Treasury bills are yielding 6%. The unadjusted of Mobil stock is 1.30. A reasonable forecast of the return on Mobil stock for the coming year is _ if you use Merrill Lynch adjusted betas. A)15.0% B)15.
21、5% C)16.0% D)16.8% E)none of the above 21、The unsystematic risk of a specific security A)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. E)none of the above. 22、Which statement about portfolio di
22、versification is correct? A)Proper diversification can reduce or eliminate systematic risk. 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 necessar
23、ily reduces the portfolios expected return. D)Typically, as more securities are added to a portfolio, total risk would be expected to decrease at a decreasing rate. E)None of the above statements is correct. 23、Given an optimal risky portfolio with expected return of 12% and standard deviation of 23
24、% and a risk free rate of 3%, what is the slope of the best feasible CAL? A)0.64 B)0.39 C)0.08 D)0.35 E)0.36 24、Given an optimal risky portfolio with expected return of 13% and standard deviation of 26% and a risk free rate of 5%, what is the slope of the best feasible CAL? A)0.60 B)0.14 C)0.08 D)0.
25、36 E)0.31 25、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 ratio in the opportunity set. C)The point of tangency with the opportunity set and the capital a
26、llocation line. D)The point of the highest reward to variability ratio in the indifference curve. E)None of the above. 26、The single-index model A)greatly reduces the number of required calculations, relative to those required by the Markowitz model. B)enhances the understanding of systematic versus
27、 nonsystematic risk. C)greatly increases the number of required calculations, relative to those required by the Markowitz model. D)A and B. E)B and C. 27、The Security Characteristic Line (SCL) A)plots the excess return on a security as a function of the excess return on the market. B)allows one to e
28、stimate the beta of the security. C)allows one to estimate the alpha of the security. D)all of the above. E)none of the above. 28、The expected impact of unanticipated macroeconomic events on a securitys return during the period is A)included in the securitys expected return. B)zero. C)equal to the r
29、isk free rate. D)proportional to the firms beta. E)infinite. 29、Covariances between security returns tend to be A)positive because of SEC regulations. B)positive because of Exchange regulations. C)positive because of economic forces that affect many firms. D)negative because of SEC regulations E)neg
30、ative because of economic forces that affect many firms. 30、One “cost” of the single-index model is that it A)is virtually impossible to apply. B)prohibits specialization of efforts within the security analysis industry. C)requires forecasts of the money supply. D)is legally prohibited by the SEC. E)allows for only two kinds of risk - macro risk and micro risk. 12345678910ACBCBCDAED11121314151617181920EEBBEEBCCD21222324252627282930BDBEADDBCE-第 5 页-