投资学第7版TestBank标准答案07.docx
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投资学第7版TestBank标准答案07
MultipleChoiceQuestions
1.Marketriskisalsoreferredtoas
A）systematicrisk,diversifiablerisk.
B）systematicrisk,nondiversifiablerisk.
C）uniquerisk,nondiversifiablerisk.
D）uniquerisk,diversifiablerisk.
E）noneoftheabove.
Answer:
BDifficulty:
Easy
Rationale:
Market,systematic,andnondiversifiableriskaresynonymsreferringtotheriskthatcannotbeeliminatedfromtheportfolio.Diversifiable,unique,nonsystematic,andfirm-specificrisksaresynonymsreferringtotheriskthatcanbeeliminatedfromtheportfoliobydiversification.
2.Theriskthatcanbediversifiedawayis
A）firmspecificrisk.
B）beta.
C）systematicrisk.
D）marketrisk.
E）noneoftheabove.
Answer:
ADifficulty:
Easy
Rationale:
Seeexplanationsfor1and2above.
3.Thevarianceofaportfolioofriskysecurities
A）isaweightedsumofthesecurities'variances.
B）isthesumofthesecurities'variances.
C）istheweightedsumofthesecurities'variancesandcovariances.
D）isthesumofthesecurities'covariances.
E）noneoftheabove.
Answer:
CDifficulty:
Moderate
Rationale:
Thevarianceofaportfolioofriskysecuritiesisaweightedsumtakingintoaccountboththevarianceoftheindividualsecuritiesandthecovariancesbetweensecurities.
4.Theexpectedreturnofaportfolioofriskysecurities
A）isaweightedaverageofthesecurities'returns.
B）isthesumofthesecurities'returns.
C）istheweightedsumofthesecurities'variancesandcovariances.
D）AandC.
E）noneoftheabove.
Answer:
ADifficulty:
Easy
5.Otherthingsequal,diversificationismosteffectivewhen
A）securities'returnsareuncorrelated.
B）securities'returnsarepositivelycorrelated.
C）securities'returnsarehigh.
D）securities'returnsarenegativelycorrelated.
E）BandC.
Answer:
DDifficulty:
Moderate
Rationale:
Negativecorrelationamongsecuritiesresultsinthegreatestreductionofportfoliorisk,whichisthegoalofdiversification.
6.Theefficientfrontierofriskyassetsis
A）theportionoftheinvestmentopportunitysetthatliesabovetheglobalminimumvarianceportfolio.
B）theportionoftheinvestmentopportunitysetthatrepresentsthehigheststandarddeviations.
C）theportionoftheinvestmentopportunitysetwhichincludestheportfolioswiththeloweststandarddeviation.
D）thesetofportfoliosthathavezerostandarddeviation.
E）bothAandBaretrue.
Answer:
ADifficulty:
Moderate
Rationale:
Portfoliosontheefficientfrontierarethoseprovidingthegreatestexpectedreturnforagivenamountofrisk.Onlythoseportfoliosabovetheglobalminimumvarianceportfoliomeetthiscriterion.
7.TheCapitalAllocationLineprovidedbyarisk-freesecurityandNriskysecuritiesis
A）thelinethatconnectstherisk-freerateandtheglobalminimum-varianceportfoliooftheriskysecurities.
B）thelinethatconnectstherisk-freerateandtheportfoliooftheriskysecuritiesthathasthehighestexpectedreturnontheefficientfrontier.
C）thelinetangenttotheefficientfrontierofriskysecuritiesdrawnfromtherisk-freerate.
D）thehorizontallinedrawnfromtherisk-freerate.
E）noneoftheabove.
Answer:
CDifficulty:
Moderate
Rationale:
TheCapitalAllocationLinerepresentsthemostefficientcombinationsoftherisk-freeassetandriskysecurities.OnlyCmeetsthatdefinition.
8.Consideraninvestmentopportunitysetformedwithtwosecuritiesthatareperfectlynegativelycorrelated.Theglobalminimumvarianceportfoliohasastandarddeviationthatisalways
A）greaterthanzero.
B）equaltozero.
C）equaltothesumofthesecurities'standarddeviations.
D）equalto-1.
E）noneoftheabove.
Answer:
BDifficulty:
Difficult
Rationale:
Iftwosecuritieswereperfectlynegativelycorrelated,theweightsfortheminimumvarianceportfolioforthosesecuritiescouldbecalculated,andthestandarddeviationoftheresultingportfoliowouldbezero.
9.Whichofthefollowingstatementsis（are）trueregardingthevarianceofaportfoliooftworiskysecurities?
A）Thehigherthecoefficientofcorrelationbetweensecurities,thegreaterthereductionintheportfoliovariance.
B）Thereisalinearrelationshipbetweenthesecurities'coefficientofcorrelationandtheportfoliovariance.
C）Thedegreetowhichtheportfoliovarianceisreduceddependsonthedegreeofcorrelationbetweensecurities.
D）AandB.
E）AandC.
Answer:
CDifficulty:
Moderate
Rationale:
Thelowerthecorrelationbetweenthereturnsofthesecurities,themoreportfolioriskisreduced.
10.EfficientportfoliosofNriskysecuritiesareportfoliosthat
A）areformedwiththesecuritiesthathavethehighestratesofreturnregardlessoftheirstandarddeviations.
B）havethehighestratesofreturnforagivenlevelofrisk.
C）areselectedfromthosesecuritieswiththeloweststandarddeviationsregardlessoftheirreturns.
D）havethehighestriskandratesofreturnandthehigheststandarddeviations.
E）havetheloweststandarddeviationsandthelowestratesofreturn.
Answer:
BDifficulty:
Moderate
Rationale:
Portfoliosthatareefficientarethosethatprovidethehighestexpectedreturnforagivenlevelofrisk.
11.Whichofthefollowingstatement（s）is（are）trueregardingtheselectionofaportfoliofromthosethatlieontheCapitalAllocationLine?
A）Lessrisk-averseinvestorswillinvestmoreintherisk-freesecurityandlessintheoptimalriskyportfoliothanmorerisk-averseinvestors.
B）Morerisk-averseinvestorswillinvestlessintheoptimalriskyportfolioandmoreintherisk-freesecuritythanlessrisk-averseinvestors.
C）Investorschoosetheportfoliothatmaximizestheirexpectedutility.
D）AandC.
E）BandC.
Answer:
EDifficulty:
Moderate
Rationale:
Allrationalinvestorsselecttheportfoliothatmaximizestheirexpectedutility;forinvestorswhoarerelativelymorerisk-averse,doingsomeansinvestinglessintheoptimalriskyportfolioandmoreintherisk-freeasset.
Usethefollowingtoanswerquestions12-18:
ConsiderthefollowingprobabilitydistributionforstocksAandB:
12.TheexpectedratesofreturnofstocksAandBare_____and_____,respectively.
A）13.2%;9%
B）14%;10%
C）13.2%;7.7%
D）7.7%;13.2%
E）noneoftheabove
Answer:
CDifficulty:
Easy
Rationale:
E（RA）=0.1（10%）+0.2（13%）+0.2（12%）+0.3（14%）+0.2（15%）=13.2%;E（RB）=0.1（8%）+0.2（7%）+0.2（6%）+0.3（9%）+0.2（8%）=7.7%.
13.ThestandarddeviationsofstocksAandBare_____and_____,respectively.
A）1.5%;1.9%
B）2.5%;1.1%
C）3.2%;2.0%
D）1.5%;1.1%
E）noneoftheabove
Answer:
DDifficulty:
Moderate
Rationale:
sA=[0.1（10%-13.2%）2+0.2（13%-13.2%）2+0.2（12%-13.2%）2+0.3（14%-13.2%）2+0.2（15%-13.2%）2]1/2=1.5%;sB=[0.1（8%-7.7%）2+0.2（7%-7.7%）2+0.2（6%-7.7%）2+0.3（9%-7.7%）2+0.2（8%-7.7%）2=1.1%.
14.ThecoefficientofcorrelationbetweenAandBis
A）0.47.
B）0.60.
C）0.58
D）1.20.
E）noneoftheabove.
Answer:
ADifficulty:
Difficult
Rationale:
covA,B=0.1（10%-13.2%）（8%-7.7%）+0.2（13%-13.2%）（7%-7.7%）+0.2（12%-13.2%）（6%-7.7%）+0.3（14%-13.2%）（9%-7.7%）+0.2（15%-13.2%）（8%-7.7%）=0.76;rA,B=0.76/[（1.1）（1.5）]=0.47.
15.Ifyouinvest40%ofyourmoneyinAand60%inB,whatwouldbeyourportfolio'sexpectedrateofreturnandstandarddeviation?
A）9.9%;3%
B）9.9%;1.1%
C）11%;1.1%
D）11%;3%
E）noneoftheabove
Answer:
BDifficulty:
Difficult
Rationale:
E（RP）=0.4（13.2%）+0.6（7.7%）=9.9%;sP=[（0.4）2（1.5）2+（0.6）2（1.1）2+2（0.4）（0.6）（1.5）（1.1）（0.46）]1/2=1.1%.
16.LetGbetheglobalminimumvarianceportfolio.TheweightsofAandBinGare__________and__________,respectively.
A）0.40;0.60
B）0.66;0.34
C）0.34;0.66
D）0.76;0.24
E）0.24;0.76
Answer:
EDifficulty:
Difficult
Rationale:
wA=[（1.1）2-（1.5）（1.1）（0.46）]/[（1.5）2+（1.1）2-
（2）（1.5）（1.1）（0.46）=0.23;wB=1-0.23=0.77.Notethattheabovesolutionassumesthesolutionsobtainedinquestion13and14.
17.Theexpectedrateofreturnandstandarddeviationoftheglobalminimumvarianceportfolio,G,are__________and__________,respectively.
A）10.07%;1.05%
B）9.04%;2.03%
C）10.07%;3.01%
D）9.04%;1.05%
E）noneoftheabove
Answer:
DDifficulty:
Moderate
Rationale:
E（RG）=0.23（13.2%）+0.77（7.7%）=8.97%.9%;sG=[（0.23）2（1.5）2+（0.77）2（1.1）2+
（2）（0.23）（0.77）（1.5）（1.1）（0.46）]1/2=1.05%.
18.Whichofthefollowingportfolio（s）is（are）ontheefficientfrontier?
A）Theportfoliowith20percentinAand80percentinB.
B）Theportfoliowith15percentinAand85percentinB.
C）Theportfoliowith26percentinAand74percentinB.
D）Theportfoliowith10percentinAand90percentinB.
E）AandBarebothontheefficientfrontier.
Answer:
CDifficulty:
Difficult
Rationale:
ThePortfolio'sE（Rp）,sp,Reward/volatilityratiosare20A/80B:
8.8%,1.05%,8.38;15A/85B:
8.53%,1.06%,8.07;26A/74B:
9.13%,1.05%,8.70;10A/90B:
8.25%,1.07%,7.73.Theportfoliowith26%inAand74%inBdominatesalloftheotherportfoliosbythemean-variancecriterion.
Usethefollowingtoanswerquestions19-21:
ConsidertwoperfectlynegativelycorrelatedriskysecuritiesAandB.Ahasanexpectedrateofreturnof10%andastandarddeviationof16%.Bhasanexpectedrateofreturnof8%andastandarddeviationof12%.
19.TheweightsofAandBintheglobalminimumvarianceportfolioare_____and_____,respectively.
A）0.24;0.76
B）0.50;0.50
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