投资管理习题一.docx
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投资管理习题一
《投资分析与组合管理》课程练习一
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一、单选题（本大题共25小题，每小题1分，共25分）
（备注——请将答案写在题目上方的答题纸上，写在其它地方不给分）
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1.Therateofexchangebetweenfutureconsumption（futuredollars）andcurrentconsumption（currentdollars）is
a.therealrateofinterest.
b.thepurerateofinterest.
c.therisk-freerateofinterest.
d.thenominalrateofinterest.
2.Whichofthefollowingisnotafinancialinvestment?
a.Buyingsharesinaretailcompany.
b.Borrowingmoneytobuyahouse.
c.Buyinganewcomputersystemforyouroffice.
d.Depositingmoneyinabank.
3.Whichofthefollowingdescribestheterm‘riskaverse’?
a.Beingwillingtotakeafairgamble.
b.Notwillingtotakeonanyrisk.
c.Choosingthelessriskyoftwoequalpayoffs.
d.Alwayschoosinglowrisklowreturninvestments.
4.Youhave$1000toinvestinabank,whichhasofferedyou6%interestcompoundedmonthly.Howmuchwouldyouhaveattheendoftheyearifyouplaced$1000inthebank?
a.1060.
b.1060.90.
c.1061.68.
d.1061.83.
5.Theholdingperiodyield（HPY）isequaltotheholdingperiodreturn（HPR）minus
a.0.
b.1.
c.2.
d.3.
6.Whichofthefollowingisnotariskininternationaloperations?
a.Governmentregulations.
b.Manufacturinglocations.
c.Capitalstructuredecision.
d.Dividenddecision.
7.Thesecuritymarketline（SML）
a.tellsusthepriceofasecurityinthemarket.
b.indicatestheamountofunsystematicriskforagivenreturn.
c.describestherelationshipbetweenriskandreturnasbeingpositive.
d.indicatesthecorrelationbetweentheriskfreeassetandthemarket.
8.TheImportantstrategicdecisionsthatshouldbeaddressedinaninvestmentpolicystatementinclude?
a.Theassetclassesthataretobedeemedappropriateforinvestmentinthetargetportfolio.
b.Theallowablerangeofassetmixes.
c.Theallowablerisklevelforindividualsecuritieswithinassetclasses.
d.Allofabovearetruestatements.
9.Whichofthefollowingstatementsregardingrisk-averseinvestorisTRUE?
a.Theyonlycareabouttherateofreturn.
b.Theyacceptinvestmentsthatarefairgame.
c.Theyonlyacceptriskinvestmentsthatofferriskpremiumsovertherisk-freerate.
d.Both“a”and“b”aretruestatements.
10.Liquidityis
a.Theeasewithwhichanassetcanbesold.
b.Theabilitytosellanassetatorverynearitsfairmarketvalue.
c.Thedegreeofinflationprotectionanassetprovides.
d.Both“a”and“b”aretruestatements.
11.Thepresenceofriskmeansthat:
a.Investorswilllosemoney.
b.Morethanoneoutcomeispossible.
c.Thestandarddeviationofthepayoffsislargerthantheexpectedreturn.
d.Terminalwealthwillbelessthaninitialwealth.
12.The______assumesthatcurrentsecuritypricesfullyreflectallpublicinformation.
a.theweak-formEMH
b.thesemistrong-formEMH
c.thestrong-formEMH
d.thefull-formEMH
13.PortfoliotheoryasdescribedbyMarkowitzismostconcernedwith:
a.Theidentificationofunsystematicrisk.
b.Theeliminationofsystematicrisk.
c.Theeffectofdiversificationonportfoliorisk.
d.Noneoftheaboveiscorrect.
14.Aportfolioholding90%ofitsassetsinanS&P500indexfundand10%inTreasurybillsismostsensitiveto:
a.Systematicrisk.
b.Unsystematicrisk.
c.Interest-raterisk.
d.Reinvestmentrisk.
15.Theefficientfrontierofriskyassetsis?
a.Thesetofportfoliosthathavezerostandarddeviation.
b.TheportionoftheinvestmentopportunitysetthathasthehighestSharperatio.
c.Theportionoftheinvestmentopportunitysetthatrepresentsthehighestreward-to-volatilityratio.
d.Both“b”and“c”aretruestatements.
16.Whichofthefollowingwouldbestexplainthechangefromastraighttoakinkedcapitalmarketline?
a.Reward-to-volatilityincreasing.
b.Investorsrisktolerancedecreasing.
c.Borrowingrateexceedinglendingrate.
d.Noneoftheaboveiscorrect.
17.WhichofthefollowingisTRUEaboutriskandreturn?
a.Thehigherthenominalreturn,thelowertherisk.
b.Therewardtobearingriskismeasuredbythestandarddeviation.
c.Anincreaseintheriskofaninvestmentshould,resultinanincreaseinthereturn.
d.Realreturnsoftenexceednominalreturnswhenriskisinvolved.
18.Betacanbeviewedasastandardizedmeasureof
a.Systematicrisk.
b.Unsystematicrisk.
c.Interest-raterisk.
d.Reinvestmentrisk.
19.Thearbitragepricingtheorydevelopedby
a.Ross.
b.Markowitz.
c.Sharpe.
d.Black.
20.Thethree-stepapproachthinkthevaluationprocessshouldbe
a.bottom-up.
b.top-down.
c.bottom-middle-up.
d.Noneoftheaboveiscorrect.
21.Theincomeearnedonreinvestmentoftheinteriminterestpaymentsisreferredtoas
a.interest-on-reinvestment.
b.interest-on-investment.
c.interest-on-interest.
d.interest-on-interest.
22.Theprocessintendedtoeliminateinterestrateriskisreferredtoas
a.hedger.
b.diversification.
c.immunization.
d.portfolio.
23.Switchingfromoneindustrygrouptoanotheroverthecourseofabusinesscycleisknownas
a.rotationstrategy.
b.activestrategy.
c.positivestrategy.
d.buyandholdstrategy.
24.Aportfolioholding10%ofitsassetsinanS&P500indexfundand90%inTreasurybillsismostsensitiveto:
a.Systematicrisk.
b.Unsystematicrisk.
c.Interest-raterisk.
d.Reinvestmentrisk.
25.Whichofthefollowingfundhasleastrisk?
a.stockindex.
b.bond.
c.growth.
d.industry.
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二、判断题（本大题共25小题，每小题1分，共25分）
（备注——只回答对或错，对打√，错打×，请将答案写在题目上方的答题纸上，写在其它地方不给分。
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1.Thesecuritymarketline（SML）reflectsthecombinationofriskandreturnavailableonalternativeinvestments.
2.Individualsintheearly-to-middleyearsoftheirworkingcareersareintheconsolidationphase.
3.Abondtradesat$110.50inthemarket;ithasacouponof9%whichhasjustbeenpaidandthenextpaymentwillbeinexactlyoneyear.Thebondhasexactlyfiveyearsuntilmaturity（at$100）.Thebond’syieldtomaturityis5.59%.
4.Theforwardratesthatareimpliedbythecurrentspotratestructureoftenturnouttobepoorpredictorsoftheactualratesthatappearinfutureperiods.
5.Companyshareholderstothecompanyarepaidbythecompanyintheformofcapitalgains.
6.Shareholdersareentitledtovoteforthedirectors.
7.Theequityofacompanylistedonastockmarkethaslimitedliability.
8.Priceearningsratioscanbeusedasanindicatoroffuturegrowthprospects.
9.Gibbon’ssharepriceis206,andithasjustpaida10dividendwhichhasagrowthrateof3%.Thecompanycostofcapitalis4.85%.Gibbon’ssharepriceisovervalued.
10.Acompanyp/eratioisthepayoutratiodividedbyearningspershare.
11.BisonTelecomhasap/eratioof40.Thestockmarketasawholehasap/eratioof25.Thetelecomssectorhasap/eof60.Themediacompaniessectorhasap/eof30.ThesefactsindicateBisonisdoingbetterthanmediacompanies.
12.Forexpensestobeconsidered‘operations’cashoutlays,they
mustbepaidincashtheyeartheexpenseisdeclared.
13.Cashflowsaremoreimportantthanearningsforinvestmentappraisalpurposesbecausedonotreflecttimingofpaymentsaccurately.
14.Equityclaimshaveahigherprioritythandebtclaimsforcashpayments.
15.ThefigurestouseintheWACCcalculationarebookvaluesofdebtandequity.
16.Interesttaxshieldsaresimplythecorporatetaxratemultipliedbytheexpectedinterestpaymentineachperiod.
17.Thesecuritymarketline（SML）indicatesthecorrelationbetweentheriskfreeassetandthemarket.
18.Portfolioriskislessthantheaverageriskofthesecuritiesinit.
19.Themorepositivetherelationbetweensecuritiesthegreaterthegainwillbefromdiversification.
20.Ifweaddasharewithabetaof1.15tothemarketportfolio,theriskoftheportfoliowilldefinitelygoup.
21.Thestrong-formEMHassumesthatcurrentsecuritypricesfullyreflectallpublicinformation.
22.PortfoliotheoryasdescribedbyMarkowitzismostconcernedwiththeeliminationofsystematicrisk.
23.Theefficientfrontierofriskyassetsisthesetofportfoliosthathavezerostandarddeviation.
24.Betacanbeviewedasastandardizedmeasureofsystematicrisk.
25.Theincomeearnedonreinvestmentoftheinteriminterestpaymentsisreferredtoasinterest-on-investment.
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三、分析计算题（本大题共2小题，每小题10分，共20分）
1.YouhavecalculatedthefollowingannualrateofreturnforbothXandY,calculatethecorrelationcoefficient（showyourcalculatingprocess）.
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-4
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12
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5.67
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2.38
5.67
RIj=5.67/（2.65）（2.38）=0.898
2．Norenisconsideringundertakingaproject.Norenisfinancedby80%equityand20%.Norenestimatesthattheprojectriskisthesameasitsownandplanstofinanceitinthesameproportionsasitisfinanceditself.Theproject’scashflowsareexpectedtobe$200，000forthenextfouryears.Attheendofthefourthyearthegovernmentwillpurchasetheongoingprojectfromthecompanyfor$4m.Noren’sequitybetais1.4andthebetaofitsdebtis0.2.Theriskfreerateofinterestis4.5%
andthestockmarket
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