兹维博迪金融学第二版试题库12TB.docx

兹维博迪金融学第二版试题库12TB.docx

《兹维博迪金融学第二版试题库12TB.docx》由会员分享，可在线阅读，更多相关《兹维博迪金融学第二版试题库12TB.docx（16页珍藏版）》请在冰豆网上搜索。

兹维博迪金融学第二版试题库12TB

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.Theplanninghorizonisthetotallengthoftimeforwhichone