投资学第7版TestBank答案27.docx
《投资学第7版TestBank答案27.docx》由会员分享，可在线阅读，更多相关《投资学第7版TestBank答案27.docx（15页珍藏版）》请在冰豆网上搜索。
投资学第7版TestBank答案27
投资学第7版Test-Bank答案27
投资学第7版Test-Bank答案27
MultipleChoiceQuestions
1.IntheTreynor-Blackmodel
A）portfolioweightaresensitivetolargealphavalueswhichcanleadtoinfeasiblelongorshortpositionformanyportfoliomanagers.
B）portfolioweightarenotsensitivetolargealphavalueswhichcanleadtoinfeasiblelongorshortpositionformanyportfoliomanagers.
C）portfolioweightaresensitivetolargealphavalueswhichcanleadtotheoptimalportfolioformostportfoliomanagers.
D）portfolioweightarenotsensitivetolargealphavalueswhichcanleadtotheoptimalportfolioformostportfoliomanagers.
E）noneoftheabove.
Answer:
ADifficulty:
Moderate
2.Benchmarkportfolioriskisdefinedas
A）thereturndifferencebetweentheportfolioandthebenchmark
B）thevarianceofthereturnofthebenchmarkportfolio
C）thevarianceofthereturndifferencebetweentheportfolioandthebenchmark
D）thevarianceofthereturnoftheactively-managedportfolio
E）noneoftheabove.
Answer:
CDifficulty:
Moderate
3.Benchmarkportfoliorisk
A）isinevitableandisneverasignificantissueinpractice.
B）isinevitableandisalwaysasignificantissueinpractice.
C）cannotbeconstrainedtokeepaTreynor-Blackportfoliowithinreasonableweights.
D）canbeconstrainedtokeepaTreynor-Blackportfoliowithinreasonableweights.
E）noneoftheabove.
Answer:
DDifficulty:
Moderate
4.____________canbeusedtomeasureforecastqualityandguideintheproperadjustmentofforecasts.
A）regressionanalysis
B）exponentialsmoothing
C）ARIMA
D）movingaveragemodels
E）GAUSS
Answer:
ADifficulty:
Moderate
5.Evenlow-qualityforecastshaveproventobevaluablebecauseR-squaresofonly____________inregressionsofanalysts'forecastscanbeusedtosubstantiallyimproveportfolioperformance.
A）
B）
C）
D）
E）
Answer:
EDifficulty:
Moderate
6.The____________modelallowstheprivateviewsoftheportfoliomanagertobeincorporatedwithmarketdataintheoptimizationprocedure.
A）Black-Litterman
B）Treynor-Black
C）Treynor-Mazuy
D）Black-Scholes
E）noneoftheabove.
Answer:
ADifficulty:
Moderate
7.TheBlack-LittermanmodelandTreynor-Blackmodelare
A）niceintheorybutpracticallyuselessinmodernportfoliomanagement.
B）complementarytoolsthatshouldbeusedinportfoliomanagement.
C）contradictorymodelscannotbeusetogether;therefore,portfoliomanagersmustchoosewhichonesuitstheirneeds.
D）notusefulduetotheircomplexity.
E）noneoftheabove.
Answer:
BDifficulty:
Moderate
8.TheBlack-Littermanmodelisgearedtoward____________whiletheTreynor-Blackmodelisgearedtoward____________.
A）securityanalysis;securityanalysis
B）assetallocation;assetallocation
C）securityanalysis;assetallocation
D）assetallocation;securityanalysis
E）noneoftheabove
Answer:
DDifficulty:
Moderate
9.Alphaforecastsmustbe____________toaccountforless-than-perfectforecastingquality.Whenalphaforecastsare____________toaccountforforecastimprecision,theresultingportfoliopositionbecomes____________.
A）shrunk,shrunk,farlessmoderate
B）shrunk,shrunk,farmoremoderate
C）grossedup,grossedup,farlessmoderate
D）grossedup,grossedup,farmoremoderate
E）noneoftheabove
Answer:
BDifficulty:
Moderate
10.Trackingerrorisdefinedas
A）thedifferencebetweenthereturnsontheoverallriskyportfolioversusthebenchmarkreturn.
B）thevarianceofthereturnofthebenchmarkportfolio
C）thevarianceofthereturndifferencebetweentheportfolioandthebenchmark
D）thevarianceofthereturnoftheactively-managedportfolio
E）noneoftheabove.
Answer:
ADifficulty:
Moderate
11.Thetrackingerrorofanoptimizedportfoliocanbeexpressedintermsofthe____________oftheportfolioandthusreveal____________.
A）return;portfolioperformance
B）totalrisk;portfolioperformance
C）beta;portfolioperformance
D）beta;benchmarkrisk
E）relativereturn;benchmarkrisk
Answer:
DDifficulty:
Moderate
12.TheTreynor-Blackmodelisamodelthatshowshowaninvestmentmanagercanusesecurityanalysisandstatisticstoconstruct__________.
A）amarketportfolio
B）apassiveportfolio
C）anactiveportfolio
D）anindexportfolio
E）abalancedportfolio
Answer:
CDifficulty:
Easy
Rationale:
TheTreynor-Blackmodelutilizesthestatisticsofdiversificationtoselectsecuritiesforanactivelymanagedportfolio.
13.IfaportfoliomanagerconsistentlyobtainsahighSharpemeasure,themanager'sforecastingability__________.
A）isaboveaverage
B）isaverage
C）isbelowaverage
D）doesnotexist.
E）cannotbedeterminedbasedontheSharpemeasure
Answer:
ADifficulty:
Easy
Rationale:
ThemanagerwiththehighestSharpemeasurepresumablyhastrueforecastingabilities.
14.Activeportfoliomanagementconsistsof__________.
A）markettiming
B）securityanalysis
C）indexing
D）AandB
E）noneoftheabove
Answer:
DDifficulty:
Easy
Rationale:
Althoughonecanengageinvariousdegreesofactiveportfoliomanagement（securityselectionwithoutmarkettimingandviceversa）,themostactiveportfoliomanagementstrategyconsistsofengaginginbothpursuits.
15.Thecriticalvariableinthedeterminationofthesuccessoftheactiveportfoliois________.
A）alpha/systematicrisk
B）alpha/nonsystematicrisk
C）gamma/systematicrisk
D）gamma/nonsystematicrisk
E）noneoftheabove
Answer:
BDifficulty:
Moderate
Rationale:
Aportfoliowithapositivealphaisoutperformingthemarket.Ifthisportfolioalsohasalowdegreeofnonsystematicrisk,theportfolioisadequatelydiversified.
16.IntheTreynor-Blackmodel,theweightofeachsecurityintheportfolioshouldbeproportionaltoits__________.
A）alpha/beta
B）alpha/beta/residualvariance
C）beta/residualvariance
D）alpha/residualvariance
E）noneoftheabove
Answer:
BDifficulty:
Moderate
Rationale:
Usetheestimatesofalpha,beta,andresidualrisktodeterminetheoptimalweightofeachsecurityintheportfolio.
17.Activeportfoliomanagerstrytoconstructariskyportfoliowith__________.
A）ahigherSharpemeasurethanapassivestrategy
B）alowerSharpemeasurethanapassivestrategy
C）thesameSharpemeasureasapassivestrategy
D）veryfewsecurities
E）noneoftheabove
Answer:
ADifficulty:
Moderate
Rationale:
AhigherSharpemeasurethanapassivestrategyisindicativeofthebenefitsofactivemanagement.
18.Thebetaofanactiveportfoliois.Thestandarddeviationofthereturnsonthemarketindexis20%.Thenonsystematicvarianceoftheactiveportfoliois1%.Thestandarddeviationofthereturnsontheactiveportfoliois__________.
A）%
B）%
C）%
D）%
E）%
Answer:
EDifficulty:
Difficult
Rationale:
s=[22+]1/2=[]1/2=%.
19.ConsidertheTreynor-Blackmodel.Thealphaofanactiveportfoliois2%.Theexpectedreturnonthemarketindexis16%.Thevarianceofreturnonthemarketportfoliois4%.Thenonsystematicvarianceoftheactiveportfoliois1%.Therisk-freerateofreturnis8%.Thebetaoftheactiveportfoliois1.Theoptimalproportiontoinvestintheactiveportfoliois__________.
A）0%
B）25%
C）50%
D）100%
E）noneoftheabove
Answer:
DDifficulty:
Difficult
Rationale:
wO=[2%/1%]/[（16%-8%）/4%]=1,or100%;w*=1/[1+（1-1）1]=1.
20.ConsidertheTreynor-Blackmodel.Thealphaofanactiveportfoliois1%.Theexpectedreturnonthemarketindexis16%.Thevarianceofthereturnonthemarketportfoliois4%.Thenonsystematicvarianceoftheactiveportfoliois1%.Therisk-freerateofreturnis8%.Thebetaoftheactiveportfoliois.Theoptimalproportiontoinvestintheactiveportfoliois__________.
A）%
B）%
C）%
D）%
E）noneoftheabove
Answer:
CDifficulty:
Difficult
Rationale:
wO=[1%/1%]/[（16%-8%）/4%]=;w*=[1+（1-]=,or%.
21.Thereappearstobearoleforatheoryofactiveportfoliomanagementbecause
A）someportfoliomanagershaveproducedsequencesofabnormalreturnsthataredifficulttolabelasluckyoutcomes.
B）the"noise"intherealizedreturnsisenoughtopreventtherejectionofthehypothesisthatsomemoneymanagershaveoutperformedapassivestrategybyastatisticallysmall,yeteconomic,margin.
C）someanomaliesinrealizedreturnshavebeenpersistentenoughtosuggestthatportfoliomanagerswhoidentifiedtheseanomaliesinatimelyfashioncouldhaveoutperformedapassivestrategyoverprolongedperiods.
D）AandB.
E）A,B,andC.
Answer:
EDifficulty:
Easy
Rationale:
StatementsA,B,andCaretrue.
22.TheTreynor-Blackmodel
A）considersbothmacroeconomicandmicroeconomicrisks.
B）considerssecurityselectiononly.
C）isrelativelyeasytoimplement.
D）AandC.
E）BandC.
Answer:
DDifficulty:
Easy
Rationale:
AandCaretrueforthemodel.
23.Toimprovefutureanalystforecastsusingthestatisticalpropertiesofpastforecasts,aregressionmodelcanbefittedtopastforecasts.Theinterceptoftheregressionisa__________coefficient,andtheregressionbetarepresentsa__________coefficient.
A）bias,precision
B）bias,bias
C）precision,precision
D）precision,bias
E）noneoftheabove
Answer:
ADifficulty:
Moderate
Rationale:
Theestimatedequationadjustsfutureforecastsfordirectionandmagnitudeofbiasanddegreeofimprecisioninpastforecasts.
24.Apurelypassivestrategyisdefinedas
A）onethatusesonlyi
升级会员 