投资练习题(含答案)

1、TheefficientfrontierofriskyassetsisA)theportionoftheinvestmentopportunitysetthatliesabovetheglobalminimumvarianceportfolio.B)theportionoftheinvestmentopportunitysetthatrepresentsthehigheststandarddeviations.C)theportionoftheinvestmentopportunitysetwhichincludestheportfolioswiththeloweststandarddeviation.D)thesetofportfoliosthathavezerostandarddeviation.E)bothAandBaretrue.2、TheCapitalAllocationLineprovidedbyarisk-freesecurityandNriskysecuritiesis______A)thelinethatconnectstherisk-freerateandtheglobalminimum-varianceportfoliooftheriskysecurities.B)thelinethatconnectstherisk-freerateandtheportfoliooftheriskysecuritiesthathasthehighestexpectedreturnontheefficientfrontier.C)thelinetangenttotheefficientfrontierofriskysecuritiesdrawnfromtherisk-freerate.D)thehorizontallinedrawnfromtherisk-freerate.E)noneoftheabove.3、Consideraninvestmentopportunitysetformedwithtwosecuritiesthatareperfectlynegativelycorrelated.Theglobalminimumvarianceportfoliohasastandarddeviationthatisalways_____A)greaterthanzero.B)equaltozero.C)equaltothesumofthesecurities'standarddeviations.D)equalto-1.E)noneoftheabove.4、Whichofthefollowingstatementsis(are)trueregardingthevarianceofaportfoliooftworiskysecurities?A)Thehigherthecoefficientofcorrelationbetweensecurities,thegreaterthereductionintheportfoliovariance.B)Thereisalinearrelationshipbetweenthesecurities'coefficientofcorrelationandtheportfoliovariance.C)Thedegreetowhichtheportfoliovarianceisreduceddependsonthedegreeofcorrelationbetweensecurities.D)AandB.E)AandC.5、EfficientportfoliosofNriskysecuritiesareportfoliosthatA)areformedwiththesecuritiesthathavethehighestratesofreturnregardlessoftheirstandarddeviations.B)havethehighestratesofreturnforagivenlevelofrisk.C)areselectedfromthosesecuritieswiththeloweststandarddeviationsregardlessoftheirreturns.D)havethehighestriskandratesofreturnandthehigheststandarddeviations.E)havetheloweststandarddeviationsandthelowestratesofreturn.6、Asdiversificationincreases,thetotalvarianceofaportfolioapproaches____________.A)0B)1C)thevarianceofthemarketportfolioD)infinityE)noneoftheabove7、Theindexmodelwasfirstsuggestedby____________.A)GrahamB)MarkowitzC)MillerD)SharpeE)noneoftheabove8、.Asingle-indexmodeluses__________asaproxyforthesystematicriskfactor.A)amarketindex,suchastheS&P500B)thecurrentaccountdeficitC)thegrowthrateinGNPD)theunemploymentrateE)noneoftheabove9、Accordingtotheindexmodel,covariancesamongsecuritypairsareA)duetotheinfluenceofasinglecommonfactorrepresentedbythemarketindexreturnB)extremelydifficulttocalculateC)relatedtoindustry-specificeventsD)usuallypositiveE)AandD10、Inafactormodel,thereturnonastockinaparticularperiodwillberelatedto_________.A)firm-specificeventsB)macroeconomiceventsC)theerrortermD)bothAandBE)neitherAnorB11、Whichofthefollowingstatement(s)is(are)trueregardingtheselectionofaportfoliofromthosethatlieontheCapitalAllocationLine?A)Lessrisk-averseinvestorswillinvestmoreintherisk-freesecurityandlessintheoptimalriskyportfoliothanmorerisk-averseinvestors.B)Morerisk-averseinvestorswillinvestlessintheoptimalriskyportfolioandmoreintherisk-freesecuritythanlessrisk-averseinvestors.C)Investorschoosetheportfoliothatmaximizestheirexpectedutility.D)AandC.E)BandC.12、AninvestorwhowishestoformaportfoliothatliestotherightoftheoptimalriskyportfolioontheCapitalAllocationLinemust:A)lendsomeofhermoneyattherisk-freerateandinvesttheremainderintheoptimalriskyportfolio.B)borrowsomemoneyattherisk-freerateandinvestintheoptimalriskyportfolio.C)investonlyinriskysecurities.D)suchaportfoliocannotbeformed.E)BandC13、PortfoliotheoryasdescribedbyMarkowitzismostconcernedwith:A)theeliminationofsystematicrisk.B)theeffectofdiversificationonportfoliorisk.C)theidentificationofunsystematicrisk.D)activeportfoliomanagementtoenhancereturns.E)noneoftheabove.14、ThemeasureofriskinaMarkowitzefficientfrontieris:A)specificrisk.B)standarddeviationofreturns.C)reinvestmentrisk.D)beta.E)noneoftheabove.15、Astatisticthatmeasureshowthereturnsoftworiskyassetsmovetogetheris:A)variance.B)standarddeviation.C)covariance.D)correlation.E)CandD.16、RosenbergandGuyfoundthat__________helpedtopredictafirm'sbeta.A)thefirm'sfinancialcharacteristicsB)thefirm'sindustrygroupC)firmsizeD)bothAandBE)A,BandCallhelpedtopredictbetas.17、Ifafirm'sbetawascalculatedas0.6inaregressionequation,MerrillLynchwouldstatetheadjustedbetaatanumberA)lessthan0.6butgreaterthanzero.B)between0.6and1.0.C)between1.0and1.6.D)greaterthan1.6.E)zeroorless.18、ThebetaofExxonstockhasbeenestimatedas1.2byMerrillLynchusingregressionanalysisonasampleofhistoricalreturns.TheMerrillLynchadjustedbetaofExxonstockwouldbe___________.A)1.20B)1.32C)1.13D)1.0E)noneoftheabove19、Considerthesingle-indexmodel.Thealphaofastockis0%.Thereturnonthemarketindexis16%.Therisk-freerateofreturnis5%.Thestockearnsareturnthatexceedstherisk-freerateby11%andtherearenofirm-specificeventsaffectingthestockperformance.Theβofthestockis_______.A)0.67B)0.75C)1.0D)1.33E)1.5020、Supposeyouforecastthatthemarketindexwillearnareturnof15%inthecomingyear.Treasurybillsareyielding6%.Theunadjuste