1、Absent research, you should assume the alpha of a stock iszero.positive.negative.not zero.zero or positive.3.If you begin with a _ and obtain additional data from an experiment you can form a _.posterior distribution; prior distributionprior distribution; posterior distributiontight posterior; Bayes
2、ian analysistight prior;4.Benchmark risk is defined asthe return difference between the portfolio and the benchmark.the standard deviation of the return of the benchmark portfolio.the standard deviation of the return difference between the portfolio and the benchmark.the standard deviation of the re
3、turn of the actively-managed portfolio.5.Benchmark riskis inevitable and is never a significant issue in practice.is inevitable and is always a significant issue in practice.cannot be constrained to keep a Treynor-Black portfolio within reasonable weights.can be constrained to keep a Treynor-Black p
4、ortfolio within reasonable weights.6._ can be used to measure forecast quality and guide in the proper adjustment of forecasts.Regression analysisExponential smoothingARIMAMoving average modelsGAUSS7.Even low-quality forecasts have proven to be valuable because R-squares of only _ in regressions of
5、analysts forecasts can be used to substantially improve portfolio performance.0.6560.4520.2580.1530.0018.The _ model allows the private views of the portfolio manager to be incorporated with market data in the optimization procedure.Black-LittermanTreynor-BlackTreynor-MazuyBlack-Scholes9.The Black-L
6、itterman model and Treynor-Black model arenice in theory but practically useless in modern portfolio plementary tools that should be used in portfolio management.contradictory models that cannot be used together; therefore, portfolio managers must choose which one suits their needs.not useful due to
7、 their complexity.10.The Black-Litterman model is geared toward _ while the Treynor-Black model is geared toward _.security analysis; security analysisasset allocation; asset allocation11.Alpha forecasts must be _ to account for less-than-perfect forecasting quality. When alpha forecasts are _ to ac
8、count for forecast imprecision, the resulting portfolio position becomes _.shrunk; shrunk; far less moderateshrunk, shrunk; far more moderategrossed up; grossed up;12.Tracking error is defined asthe difference between the returns on the overall risky portfolio versus the benchmark return.the varianc
9、e of the return of the benchmark portfolio.the variance of the return difference between the portfolio and the benchmark.the variance of the return of the actively-managed portfolio.13.The tracking error of an optimized portfolio can be expressed in terms of the _ of the portfolio and thus reveals _
10、.return; portfolio performancetotal risk;beta; benchmark riskrelative return;14.The Treynor-Black model is a model that shows how an investment manager can use security analysis and statistics to construct _.a market portfolioa passive portfolioan active portfolioan index portfolioa balanced portfol
11、io15.If a portfolio manager consistently obtains a high Sharpe measure, the managers forecasting ability _.is above averageis averageis below averagedoes not existcannot be determined based on the Sharpe measure16.Active portfolio management consists of _.market timingsecurity analysisindexingmarket
12、 timing and security analysis17.Passive portfolio management consists of _.18.The critical variable in the determination of the success of the active portfolio is _.alpha/systematic riskalpha/nonsystematic riskgamma/systematic riskgamma/nonsystematic risk19.The Treynor-Black model requires estimates
13、 of _.alpha/betaalpha/beta/residual variancebeta/residual variancealpha/residual variance20.Active portfolio managers try to construct a risky portfolio with _.a higher Sharpe measure than a passive strategya lower Sharpe measure than a passive strategythe same Sharpe measure as a passive strategyve
14、ry few securities21.The beta of an active portfolio is 1.20. The standard deviation of the returns on the market index is 20%. The nonsystematic variance of the active portfolio is 1%. The standard deviation of the returns on the active portfolio is _.3.84%5.84%19.60%24.17%26.0%22.The beta of an act
15、ive portfolio is 1.36. The standard deviation of the returns on the market index is 22%. The nonsystematic variance of the active portfolio is 1.2%. The standard deviation of the returns on the active portfolio is _.3.19%31.86%42.00%27.57%2.86%23.Consider the Treynor-Black model. The alpha of an act
16、ive portfolio is 2%. The expected return on the market index is 16%. The variance of return on the market portfolio is 4%. The nonsystematic variance of the active portfolio is 1%. The risk-free rate of return is 8%. The beta of the active portfolio is 1. The optimal proportion to invest in the acti
17、ve portfolio is _.0%25%50%100%24.Consider the Treynor-Black model. The alpha of an active portfolio is 1%. The expected return on the market index is 16%. The variance of the return on the market portfolio is 4%. The nonsystematic variance of the active portfolio is 1%. The risk-free rate of return
18、is 8%. The beta of the active portfolio is 1.05. The optimal proportion to invest in the active portfolio is _.48.7%50.0%51.3%100.0%25.There appears to be a role for a theory of active portfolio management becausesome portfolio managers have produced sequences of abnormal returns that are difficult
19、to label as lucky outcomes.the noise in the realized returns is enough to prevent the rejection of the hypothesis that some money managers have outperformed a passive strategy by a statistically small, yet economic, margin.some anomalies in realized returns have been persistent enough to suggest tha
20、t portfolio managers who identified these anomalies in a timely fashion could have outperformed a passive strategy over prolonged periods.some portfolio managers have produced sequences of abnormal returns that are difficult to label as lucky outcomes; and the the in the realized returns is enough t
21、o prevent the rejection of the hypothesis that some money managers have outperformed a passive strategy by a statistically small, yet economic, margin; and some anomalies in realized returns have been persistent enough to suggest that portfolio managers who identified these anomalies in a timely fas
22、hion could have outperformed a passive strategy over prolonged periods.26.The Treynor-Black modelconsiders both macroeconomic and microeconomic risks.considers security selection only.is nearly impossible to implement.considers both macroeconomic and microeconomic risks and is nearly impossible to i
23、mplement.considers security selection only and is nearly impossible to implement.27.Which of the following are not true regarding the Treynor-Black model?considers both macroeconomic and microeconomic risksconsiders security selection onlyis nearly impossible to implementconsiders both macroeconomic
24、 and microeconomic risks and is nearly impossible to implementconsiders security selection only and is nearly impossible to implement28.To improve future analyst forecasts using the statistical properties of past forecasts, a regression model can be fitted to past forecasts. The intercept of the regression is a _ coefficient, and the regression be
copyright@ 2008-2022 冰豆网网站版权所有
经营许可证编号:鄂ICP备2022015515号-1