金融工程相关习题及答案.docx

金融工程相关习题及答案.docx

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金融工程相关习题及答案

Chapter1MarketOrganizationandStructure

PRACTICEPROBLEMSFORCHAPTER1

1.AkihikoTakabehasdesignedasophisticatedforecastingmodel,whichpredictsthemovementsintheoverallstockmarket,inthehopeofearningareturninexcessofafairreturnfortheriskinvolved.Heusesthepredictionsofthemodeltodecidewhethertobuy,hold,orsellthesharesofanindexfundthataimstoreplicatethemovementsofthestockmarket.Takabewouldbestbecharacterizedasa（n）:

A.hedger.

B.investor.

C.information-motivatedtrader.

2.JamesBeachisyoungandhassubstantialwealth.Asignificantproportionofhisstockportfolioconsistsofemergingmarketstocksthatofferrelativelyhighexpectedreturnsatthecostofrelativelyhighrisk.Beachbelievesthatinvestmentinemergingmarketstocksisappropriateforhimgivenhisabilityandwillingnesstotakerisk.WhichofthefollowinglabelsmostappropriatelydescribesBeach?

A.Hedger.

B.Investor.

C.Information-motivatedtrader.

3.LisaSmithownsamanufacturingcompanyintheUnitedStates.HercompanyhassoldgoodstoacustomerinBrazilandwillbepaidinBrazilianreal（BRL）inthreemonths.SmithisconcernedaboutthepossibilityoftheBRLdepreciatingmorethanexpectedagainsttheU.S.dollar（USD）.Therefore,sheisplanningtosellthree-monthfuturescontractsontheBRL.ThesellerofsuchcontractsgenerallygainswhentheBRLdepreciatesagainsttheUSD.IfSmithweretosellthesefuturecontracts,shewouldmostappropriatelybedescribedasa（n）:

A.hedger.

B.investor.

C.information-motivatedtrader.

4.Whichofthefollowingisnotafunctionofthefinancialsystem?

A.Toregulatearbitrageurs’profits（excessreturns）.

B.Tohelptheeconomyachieveallocationalefficiency.

C.Tofacilitateborrowingbybusinessestofundcurrentoperations.

5.Aninvestorprimarilyinvestsinstocksofpubliclytradedcompanies.Theinvestorwantstoincreasethediversificationofhisportfolio.Afriendhasrecommendedinvestinginrealestateproperties.Thepurchaseofrealestatewouldbestbecharacterizedasatransactioninthe:

A.derivativeinvestmentmarket.

B.traditionalinvestmentmarket.

C.alternativeinvestmentmarket.

6.Ahedgefundholdsitsexcesscashin90-daycommercialpaperandnegotiablecertificatesofdeposit.Thecashmanagementpolicyofthehedgefundisbestdescribedasusing:

A.capitalmarketinstruments.

B.moneymarketinstruments.

C.intermediate-termdebtinstruments.

7.Anoilandgasexplorationandproductioncompanyannouncesthatitisoffering30millionsharestothepublicat$45.50each.Thistransactionismostlikelyasaleinthe:

A.futuresmarket.

B.primarymarket.

C.secondarymarket.

8.Consideramutualfundthatinvestsprimarilyinfixed-incomesecuritiesthathavebeendeterminedtobeappropriategiventhefund’sinvestmentgoal.Whichofthefollowingisleastlikelytobeapartofthisfund?

A.Warrants.

B.Commercialpaper.

C.Repurchaseagreements.

9.Afriendhasaskedyoutoexplainthedifferencesbetweenopen-endandclosed-endfunds.Whichofthefollowingwillyoumostlikelyincludeinyourexplanation?

A.Closed-endfundsareunavailabletonewinvestors.

B.Wheninvestorssellthesharesofanopen-endfund,theycanreceiveadiscountorapremiumtothefund’snetassetvalue.

C.Whensellingshares,investorsinanopen-endfundsellthesharesbacktothefundwhereasinvestorsinaclosed-endfundsellthesharestoothersinthesecondarymarket.

10.Theusefulnessofaforwardcontractislimitedbysomeproblems.Whichofthefollowingismostlikelyoneofthoseproblems?

A.Onceyouhaveenteredintoaforwardcontract,itisdifficulttoexitfromthecontract.

B.Enteringintoaforwardcontractrequiresthelongpartytodepositaninitialamountwiththeshortparty.

C.Ifthepriceoftheunderlyingassetmovesadverselyfromtheperspectiveofthelongparty,periodicpaymentsmustbemadetotheshortparty.

11.TonyHarrisisplanningtostarttradingincommodities.Hehasheardabouttheuseoffuturescontractsoncommoditiesandislearningmoreaboutthem.WhichofthefollowingisHarrisleastlikelytofindassociatedwithafuturescontract?

A.Existenceofcounterpartyrisk.

B.Standardizedcontractualterms.

C.Paymentofaninitialmargintoenterintoacontract.

12.AGermancompanythatexportsmachineryisexpectingtoreceive$10millioninthreemonths.Thefirmconvertsallitsforeigncurrencyreceiptsintoeuros.Thechieffinancialofficerofthecompanywishestolockinaminimumfixedrateforconvertingthe$10milliontoeurobutalsowantstokeeptheflexibilitytousethefuturespotrateifitisfavorable.Whathedgingtransactionismostlikelytoachievethisobjective?

A.Sellingdollarsforward.

B.Buyingputoptionson