兹维博迪金融学第二版试题库12TB1.docx
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兹维博迪金融学第二版试题库12TB1
ChapterTwelve
PortfolioOpportunitiesandChoice
Thischaptercontains30multiplechoicequestions,10shortproblems,and5longerproblems.
MultipleChoice
1.Aperson'swealthportfolioconsistsofallone’s________and________.
(a)retainedearnings;credit
(b)stocks;bonds
(c)assets;liabilities
(d)studentloans;mortgages
Answer:
(c)
2.Theprincipleofdiversificationusuallyappliestoall________.
(a)riskaversepeople
(b)riskneutralpeople
(c)risktolerantpeople
(d)bandc
Answer:
(a)
3.Whichofthefollowingdecisionscanbeconsideredpartofportfolioselection?
(a)Whethertobuyorrentone’shouse
(b)Whatkindoflifeinsurancetopurchase
(c)Whethertoinvestinstocksorbonds
(d)Alloftheabove
Answer:
(d)
4.Aninsurancepolicythatguaranteesapersonanincomeforaslongasonelivesistermeda________.
(a)lumpsumpayment
(b)lifeannuity
(c)perpetualannuity
(d)lifeperpetuity
Answer:
(b)
5.The________isthelengthoftimebetweendecisionstoreviseportfolios,whereasthe________isthetotallengthoftimeforwhichoneplans.
(a)tradinghorizon;decisionhorizon
(b)planninghorizon;decisionhorizon
(c)decisionhorizon;tradinghorizon
(d)decisionhorizon;planninghorizon
Answer:
(d)
6.Inmakingportfolio-selectiondecisions,peoplecaningeneralachievea________expectedrateofreturnbyexposingthemselvesto________risk.
(a)higher;no
(b)higher;greater
(c)higher;lower
(d)lower;greater
Answer:
(b)
7.The________theassetsthatmakeuptheportfolioisfoundtobeaveryimportantfactorwhenconsideringtheabilityofdiversificationtoreducetheriskinessofaninvestor'sportfolio.
(a)expectedreturnof
(b)varianceof
(c)correlationamong
(d)skewnessamong
Answer:
(c)
8.
Risktolerancecanbeinfluencedbywhichofthefollowingcharacteristics?
(a)jobstatus
(b)age
(c)wealth
(d)alloftheabove
Answer:
(d)
9.The________isdefinedasasecuritythatoffersaperfectlypredictablerateofreturnintermsoftheunitofaccountandthelengthoftheinvestor'sdecisionhorizon.
(a)risklessasset
(b)riskyasset
(c)30-daybond
(d)30-daydebenture
Answer:
(a)
10.Aportfoliocontainsoneriskyassetandonerisklessasset.Theexpectedrateofreturnontheriskyassetis0.13andtherisklessrateis0.05.Thestandarddeviationoftheriskyassetis0.2,andthestandarddeviationoftheportfoliois0.075.Whatistheexpectedrateofreturnontheportfoliousingthetrade-offline?
(a)0.0490
(b)0.0800
(c)0.0980
(d)0.1175
Answer:
(b)
11.Aninvestorhasa$100,000investmenttoallocatebetweenariskyassetandarisklessasset.Theequationforthetrade-offlineisdeterminedtobeE(r)=0.05+0.09w.Iftheinvestorisrequiringaportfoliocompositioncorrespondingtoanexpectedrateofreturnof0.11,howmuchshouldbeinvestedintheriskyasset?
(a)$18,181
(b)$33,333
(c)$66,667
(d)$81,819
Answer:
(c)
12.
Aninvestorhasa$100,000investmenttoallocatebetweenariskyassetandarisklessasset.Theequationforthetrade-offlineisdeterminedtobeE(r)=0.07+0.12w.Iftheinvestorisrequiringaportfoliocompositioncorrespondingtoanexpectedrateofreturnof0.17,howmuchshouldbeinvestedintherisklessasset?
(a)$16,667
(b)$29,412
(c)$70,588
(d)$83,333
Answer:
(a)
13.Aninvestorhasa$100,000investmenttoallocatebetweenariskyassetandarisklessasset.Theequationforthetrade-offlineisdeterminedtobeE(r)=0.07+0.12w.Iftheinvestorrequiresaportfoliocompositioncorrespondingtoanexpectedrateofreturnof0.17,whatisthecorrespondingstandarddeviationoftheportfolio?
Thestandarddeviationofriskyassetis0.3.
(a)0.05
(b)0.25
(c)0.49
(d)0.83
Answer:
(b)
14.Theexpectedrateofreturnonariskyassetis0.13andtherisklessrateis0.06.Thestandarddeviationoftheriskyassetis0.25.Whathappenstotheslopeofthetrade-offlineiftherisklessratechangesto0.05peryearandtheexpectedreturnontheriskyassetchangesto0.14?
(a)Nochange
(b)Theslopeofthelinefallsfrom36%to28%
(c)Theslopeofthelinerisesfrom28%to36%
(d)Theslopeofthelinerisesfrom52%to56%
Answer:
(c)
15.Theformulaforthetrade-offlinebetweenriskandexpectedreturnis________.
(a)E(r)=rf+w[E(rs)–rf]
(b)E(r)=rf+[E(rs)–rf]
(c)E(r)=rf+w[E(rs)+rf]
(d)alloftheabove
Answer:
(a)
16.Inthetrade-offline,theriskpremiumdependson________
(a)theriskpremiumoftheriskyasset
(b)theproportionoftheportfolioinvestedintheriskyasset
(c)theriskpremiumoftherisklessasset
(d)bothaandb
Answer:
(d)
17.Whenoneofthetwoassetsinaportfolioisriskless,thestandarddeviationofitsrateofreturnanditscorrelationwithotherassetare________.
(a)greaterthanzerobutlessthanpositiveone
(b)lessthanzerobutgreaterthannegativeone
(c)zero
(d)noneoftheabove
Answer:
(c)
18.Theexpectedrateofreturnonariskyassetis0.16andtherisklessrateis0.07.Thestandarddeviationoftheriskyassetis0.2.Whathappenstotheslopeofthetrade-offlineiftherisklessratechangesto.06peryearandtheexpectedreturnontheriskyassetchangesto0.15?
(a)nochange
(b)thesloperisesfrom0.45to0.5
(c)theslopefallsfrom0.5to0.45
(d)theslopefallsfrom0.45to0.4
Answer:
(a)
19.Aportfoliocontainsarisklessassetwithanexpectedrateofreturnof0.06andariskyassetwithanexpectedrateofreturnof0.15.Thestandarddeviationoftheriskyassetis0.25.Iftheexpectedrateofreturnofthisportfoliois0.10,whatisitsstandarddeviation?
(a)0.11
(b)0.14
(c)0.22
(d)0.44
Answer:
(a)
Consideraportfoliooftworiskyassetswiththefollowingdistributionofratesofreturnonriskyassetsforquestions20and21.Theportfoliois55%RiskyAsset1and45%RiskyAsset2,andthecorrelationcoefficientis0.4.
RiskyAsset1
RiskyAsset2
Mean
StandardDeviation
0.16
0.25
0.09
0.18
20.Whatisthemeanofthisportfolio?
(a)0.1215
(b)0.1285
(c)0.2005
(d)0.2185
Answer:
(b)
21.Whatisthestandarddeviationofthisportfolio?
(a)0.15958
(b)0.18541
(c)0.25467
(d)0.34378
Answer:
(b)
Consideraportfoliooftworiskyassetswiththefollowingdistributionofratesofreturnonriskyassetsforquestions22and23.Theportfoliois70%RiskyAsset1and30%RiskyAsset2,andthecorrelationcoefficientis0.3.
RiskyAsset1
RiskyAsset2
Mean
StandardDeviation
0.12
0.16
0.20
0.30
22.Whatisthemeanofthisportfolio?
(a)0.1716
(b)0.1600
(c)0.1414
(d)0.1320
Answer:
(c)
23.Whatisthestandarddeviationofthisportfolio?
(a)0.16338
(b)0.14368
(c)0.02669
(d)0.02064
Answer:
(a)
24.Inpractice,thevastmajorityofassetsarepositivelycorrelatedwitheachotherbecausetheyareallaffectedby________.
(a)commoneconomicfactors
(b)firmspecificfactors
(c)potentiallawsuits
(d)managerialinefficiencies
Answer:
(a)
25.Amutualfundcompanyoffersasafemoneymarketfundwhosecurrentrateis0.04.Thesamecompanyalsooffersanequityfundwithanaggressivegrowthobjective,whichhistoricallyhasexhibitedanexpectedreturnof0.25andastandarddeviationof0.30.Derivetheequationfortherisk-rewardtrade-offline.
(a)E(r)=0.04+0.25σ
(b)E(r)=0.04+0.7σ
(c)E(r)=0.04+0.21σ
(d)E(r)=0.04+0.83σ
Answer:
(b)
26.The________referstothesetofportfoliosofriskyassetsofferingthehighestpossibleexpectedrateofreturnforanygivenstandarddeviation.
(a)minimumportfoliofrontier
(b)effectiveportfoliofrontier
(c)expectedportfoliofrontier
(d)efficientportfoliofrontier
Answer:
(d)
27.Theoptimalcombinationofriskyassetsisfoundas________betweenastraightlinerepresentingtherisklessassetandtheefficientfrontierofriskyassets.
(a)thepointofbisection
(b)thepointofintersection
(c)thepointoftangency
(d)thepointofhighestreturn
Answer:
(c)
28.Thepowerofdiversificationtoreducetheriskinessofaninvestor’sportfoliodependsonthe________amongtheassetsthatmakeuptheportfolio.
(a)expectedreturns
(b)variances
(c)correlations
(d)noneoftheabove
Answer:
(c)
29.Inthecontextoftheoptimalcombinationofriskyassets,inordertodecideonthemenuofassetchoicestoofferitscustomersafinancialintermediaryshouldconsider:
(a)investorpreferences
(b)theexpectedreturnsandstandarddeviationsoftheriskyassets
(c)bothaandb
(d)neitheranorb
Answer:
(b)
30.Aninvestorhas$100,000investedinaportfoliothatiscomposedofatangencyportfolioandarisklessasset,suchthat35%isinthetangencyportfolioand65%isintherisklessasset.Ifthetangencyportfolioiscomposedof43.75%RiskyAssetAand56.25%RiskyAssetB,whichofthefollowingaccuratelydisplaystheamountofmoneyinvestedineachcomponentoftheportfolio?
(a)$35,000inRisklessAsset;$43,750inRiskyAssetA;$56,250inRiskyAssetB
(b)$65,000inRisklessAsset;$43,750inRiskyAssetA;$56,250inRiskyAssetB
(c)$35,000inRisklessAsset;$28,437.50inRiskyAssetA;$36,562.50inRiskyAssetB
(d)$65,000inRisklessAsset;$15,312.50inRiskyAssetA;$19,687.50inRiskyAssetB
Answer:
(d)
ShortProblems
1.Discussthetimehorizonsastheyrelatetoportfolioplanning.
Answer:
Informulatingaplanforportfolioselectionyoubeginbydeterminingourgoalsandtimehorizons.Theplanninghorizonisthetotallengthoftimeforwhichoneplans.Thelongesttimehorizonwouldtypicallycorrespondtotheretirementgoalandwouldbethebalanceofone’slifetime.Therearealsoshorterplann