06 投资学 第七版.docx

06 投资学 第七版.docx

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06投资学第七版

MultipleChoiceQuestions

C1.Whichofthefollowingstatementsregardingrisk-averseinvestorsistrue?

A）Theyonlycareabouttherateofreturn.

B）Theyacceptinvestmentsthatarefairgames.

C）Theyonlyacceptriskyinvestmentsthatofferriskpremiumsovertherisk-freerate.

D）Theyarewillingtoacceptlowerreturnsandhighrisk.

E）AandB.

C2.Whichofthefollowingstatementsis（are）true?

I）Risk-averseinvestorsrejectinvestmentsthatarefairgames.

II）Risk-neutralinvestorsjudgeriskyinvestmentsonlybytheexpectedreturns.

III）Risk-averseinvestorsjudgeinvestmentsonlybytheirriskiness.

IV）Risk-lovinginvestorswillnotengageinfairgames.

A）Ionly

B）IIonly

C）IandIIonly

D）IIandIIIonly

E）II,III,andIVonly

Rationale:

Risk-averseinvestorsconsiderariskyinvestmentonlyiftheinvestmentoffersariskpremium.Risk-neutralinvestorslookonlyatexpectedreturnswhenmakinganinvestmentdecision.

C3.Inthemean-standarddeviationgraphanindifferencecurvehasa________slope.

A）negative

B）zero

C）positive

D）northeast

E）cannotbedetermined

Rationale:

Therisk-returntrade-offisoneinwhichgreaterriskistakenifgreaterreturnscanbeexpected,resultinginapositiveslope.

C4.Inthemean-standarddeviationgraph,whichoneofthefollowingstatementsistrueregardingtheindifferencecurveofarisk-averseinvestor?

A）Itisthelocusofportfoliosthathavethesameexpectedratesofreturnanddifferentstandarddeviations.

B）Itisthelocusofportfoliosthathavethesamestandarddeviationsanddifferentratesofreturn.

C）Itisthelocusofportfoliosthatofferthesameutilityaccordingtoreturnsandstandarddeviations.

D）Itconnectsportfoliosthatofferincreasingutilitiesaccordingtoreturnsandstandarddeviations.

E）noneoftheabove.

Rationale:

Indifferencecurvesplottrade-offalternativesthatprovideequalutilitytotheindividual（inthiscase,thetrade-offsaretherisk-returncharacteristicsoftheportfolios）.

D5.Inareturn-standarddeviationspace,whichofthefollowingstatementsis（are）trueforrisk-averseinvestors?

（Theverticalandhorizontallinesarereferredtoastheexpectedreturn-axisandthestandarddeviation-axis,respectively.）

I）Aninvestor'sownindifferencecurvesmightintersect.

II）Indifferencecurveshavenegativeslopes.

III）Inasetofindifferencecurves,thehighestoffersthegreatestutility.

IV）Indifferencecurvesoftwoinvestorsmightintersect.

A）IandIIonly

B）IIandIIIonly

C）IandIVonly

D）IIIandIVonly

E）noneoftheabove

Rationale:

Aninvestor'sindifferencecurvesareparallel,andthuscannotintersectandhavepositiveslopes.Thehighestindifferencecurve（theoneinthemostnorthwesternposition）offersthegreatestutility.Indifferencecurvesofinvestorswithsimilarrisk-returntrade-offsmightintersect.

D6.Eliasisarisk-averseinvestor.Davidisalessrisk-averseinvestorthanElias.Therefore,

A）forthesamerisk,DavidrequiresahigherrateofreturnthanElias.

B）forthesamereturn,EliastolerateshigherriskthanDavid.

C）forthesamerisk,EliasrequiresalowerrateofreturnthanDavid.

D）forthesamereturn,DavidtolerateshigherriskthanElias.

E）cannotbedetermined.

Rationale:

Themoreriskaversetheinvestor,thelessriskthatistolerated,givenarateofreturn.

D7.Whenaninvestmentadvisorattemptstodetermineaninvestor'srisktolerance,whichfactorwouldtheybeleastlikelytoassess?

A）theinvestor'spriorinvestingexperience

B）theinvestor'sdegreeoffinancialsecurity

C）theinvestor'stendencytomakeriskyorconservativechoices

D）thelevelofreturntheinvestorprefers

E）theinvestor'sfeelingaboutloss

Usethefollowingtoanswerquestions8-9:

Assumeaninvestorwiththefollowingutilityfunction:

U=E（r）-3/2（s2）.

C8.Tomaximizeherexpectedutility,shewouldchoosetheassetwithanexpectedrateofreturnof_______andastandarddeviationof________,respectively.

A）12%;20%

B）10%;15%

C）10%;10%

D）8%;10%

E）noneoftheabove

Rationale:

U=0.10-3/2（0.10）2=8.5%;highestutilityofchoices.

C9.Tomaximizeherexpectedutility,whichoneofthefollowinginvestmentalternativeswouldshechoose?

A）Aportfoliothatpays10percentwitha60percentprobabilityor5percentwith40percentprobability.

B）Aportfoliothatpays10percentwith40percentprobabilityor5percentwitha60percentprobability.

C）Aportfoliothatpays12percentwith60percentprobabilityor5percentwith40percentprobability.

D）Aportfoliothatpays12percentwith40percentprobabilityor5percentwith60percentprobability.

E）noneoftheabove.

Rationale:

U（c）=9.02%;highestutilityofpossibilities.

D10.Aportfoliohasanexpectedrateofreturnof0.15andastandarddeviationof0.15.Therisk-freerateis6percent.Aninvestorhasthefollowingutilityfunction:

U=E（r）-（A/2）s2.WhichvalueofAmakesthisinvestorindifferentbetweentheriskyportfolioandtherisk-freeasset?

A）5

B）6

C）7

D）8

E）noneoftheabove

Rationale:

0.06=0.15-A/2（0.15）2;0.06-0.15=-A/2（0.0225）;-0.09=-0.01125A;A=8;U=0.15-8/2（0.15）2=6%;U（Rf）=6%.

A11.Accordingtothemean-variancecriterion,whichoneofthefollowinginvestmentsdominatesallothers?

A）E（r）=0.15;Variance=0.20

B）E（r）=0.10;Variance=0.20

C）E（r）=0.10;Variance=0.25

D）E（r）=0.15;Variance=0.25

E）noneofthesedominatestheotheralternatives.

Rationale:

Agivesthehighestreturnwiththeleastrisk;returnperunitofriskis.75,whichdominatesthereward-riskratiofortheotherchoices.

C12.Considerariskyportfolio,A,withanexpectedrateofreturnof0.15andastandarddeviationof0.15,thatliesonagivenindifferencecurve.Whichoneofthefollowingportfoliosmightlieonthesameindifferencecurve?

A）E（r）=0.15;Standarddeviation=0.20

B）E（r）=0.15;Standarddeviation=0.10

C）E（r）=0.10;Standarddeviation=0.10

D）E（r）=0.20;Standarddeviation=0.15

E）E（r）=0.10;Standarddeviation=0.20

Rationale:

PortfolioAhasarewardtoriskratioof1.0;portfolioCistheonlychoicewiththesamerisk-returntradeoff.

Usethefollowingtoanswerquestions13-15:

C13.Basedontheutilityfunctionabove,whichinvestmentwouldyouselect?

A）1

B）2

C）3

D）4

E）cannottellfromtheinformationgiven

Rationale:

U（c）=0.21-4/2（0.16）2=15.88（highestutilityofchoices）.

D14.Whichinvestmentwouldyouselectifyouwereriskneutral?

A）1

B）2

C）3

D）4

E）cannottellfromtheinformationgiven

Rationale:

Ifyouareriskneutral,youronlyconcerniswithreturn,notrisk.

B15.Thevariable（A）intheutilityfunctionrepresentsthe:

A）investor'sreturnrequirement.

B）investor'saversiontorisk.

C）certainty-equivalentrateoftheportfolio.

D）minimumrequiredutilityoftheportfolio.

E）noneoftheabove.

Rationale:

Aisanarbitraryscalefactorusedtomeasureinvestorrisktolerance.ThehigherthevalueofA,themoreriskaversetheinvestor.

D16.Theexactindifferencecurvesofdifferentinvestors

A）cannotbeknownwithperfectcertainty.

B）canbecalculatedpreciselywiththeuseofadvancedcalculus.

C）althoughnotknownwithperfectcertainty,doallowtheadvisortocreatemoresuitableportfoliosfortheclient.

D）AandC.

E）noneoftheabove.

Rationale:

Indifferencecurvescannotbecalculatedprecisely,butthetheorydoesallowforthecreationofmoresuitableportfoliosforinvestorsofdifferinglevelsofrisktolerance.

D17.Theriskinessofindividualassets

A）shouldbeconsideredfortheassetinisolation.

B）shouldbeconsideredinthecontextoftheeffectonoverallportfoliovolatility.

C）combinedwiththeriskinessofotherindividualassets（intheproportionstheseassetsconstituteoftheentireportfolio）shouldbetherelevantriskmeasure.

D）BandC.

E）noneoftheabove.

Rationale:

Therelevantriskisportfoliorisk;thus,theriskinessofanindividualsecurityshouldbeconsideredinthecontextoftheportfolioasawhole.

D18.Afairgame

A）willnotbeundertakenbyarisk-averseinvestor.

B）isariskyinvestmentwithazeroriskpremium.

C）isarisklessinvestment.

D）BothAandBaretrue.

E）BothAandCaretrue.

Rationale:

Afairgameisariskyinvestmentwithapayoffexactlyequaltoitsexpectedvalue.Sinceitoffersnoriskpremium,itwillnotbeacceptabletoarisk-averseinvestor.

B19.Thepresenceofriskmeansthat

A）investorswilllosemoney.

B）morethanoneoutcomeispossible.

C）thestandarddeviationofthepayoffislargerthanitsexpectedvalue.

D）finalwealthwillbegreaterthaninitialwealth.

E）terminalwealthwillbelessthaninitialwealth.

Rationale:

Thepresenceofriskmeansthatmorethanoneoutcomeispossible.

E20.Theutilityscoreaninvestorassignstoaparticularportfolio,otherthingsequal,

A）willdecreaseastherateofreturnincreases.

B）willdecreaseasthestandarddeviationincreases.

C）willdecreaseasthevarianceincreases.

D）willincreaseasthevarianceincreases.

E）willincreaseastherateofreturnincreases.

Rationale:

Utilityisenhancedbyhigherexpectedreturnsanddiminishedbyhigherrisk.

A21.Thecertaintyequivalentrateofaportfoliois

A）theratethatarisk-freeinvestmentwouldneedtoofferwithcertaintytobeconsideredequallyattractiveastheriskyportfolio.

B）t