投资学题库Chap006

6-1Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.Chapter06CapitalAllocationtoRiskyAssetsMultipleChoiceQuestions1.Whichofthefollowingstatementsregardingrisk-averseinvestorsistrue?A.Theyonlycareabouttherateofreturn.B.Theyacceptinvestmentsthatarefairgames.C.Theyonlyacceptriskyinvestmentsthatofferriskpremiumsovertherisk-freerate.D.Theyarewillingtoacceptlowerreturnsandhighrisk.E.Theyonlycareabouttherateofreturn,andtheyacceptinvestmentsthatarefairgames.2.Whichofthefollowingstatementsis(are)true?I)Risk-averseinvestorsrejectinvestmentsthatarefairgames.II)Risk-neutralinvestorsjudgeriskyinvestmentsonlybytheexpectedreturns.III)Risk-averseinvestorsjudgeinvestmentsonlybytheirriskiness.IV)Risk-lovinginvestorswillnotengageinfairgames.A.IonlyB.IIonlyC.IandIIonlyD.IIandIIIonlyE.II,III,andIVonly6-2Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.3.Whichofthefollowingstatementsis(are)false?I)Risk-averseinvestorsrejectinvestmentsthatarefairgames.II)Risk-neutralinvestorsjudgeriskyinvestmentsonlybytheexpectedreturns.III)Risk-averseinvestorsjudgeinvestmentsonlybytheirriskiness.IV)Risk-lovinginvestorswillnotengageinfairgames.A.IonlyB.IIonlyC.IandIIonlyD.IIandIIIonlyE.IIIandIVonly4.Inthemean-standarddeviationgraphanindifferencecurvehasa________slope.A.negativeB.zeroC.positiveD.verticalE.cannotbedetermined6-3Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.5.Inthemean-standarddeviationgraph,whichoneofthefollowingstatementsistrueregardingtheindifferencecurveofarisk-averseinvestor?A.Itisthelocusofportfoliosthathavethesameexpectedratesofreturnanddifferentstandarddeviations.B.Itisthelocusofportfoliosthathavethesamestandarddeviationsanddifferentratesofreturn.C.Itisthelocusofportfoliosthatofferthesameutilityaccordingtoreturnsandstandarddeviations.D.Itconnectsportfoliosthatofferincreasingutilitiesaccordingtoreturnsandstandarddeviations.E.Noneoftheoptions6.Inareturn-standarddeviationspace,whichofthefollowingstatementsis(are)trueforrisk-averseinvestors?(Theverticalandhorizontallinesarereferredtoastheexpectedreturn-axisandthestandarddeviation-axis,respectively.)I)Aninvestor'sownindifferencecurvesmightintersect.II)Indifferencecurveshavenegativeslopes.III)Inasetofindifferencecurves,thehighestoffersthegreatestutility.IV)Indifferencecurvesoftwoinvestorsmightintersect.A.IandIIonlyB.IIandIIIonlyC.IandIVonlyD.IIIandIVonlyE.Noneoftheoptions6-4Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.7.Eliasisarisk-averseinvestor.Davidisalessrisk-averseinvestorthanElias.Therefore,A.forthesamerisk,DavidrequiresahigherrateofreturnthanElias.B.forthesamereturn,EliastolerateshigherriskthanDavid.C.forthesamerisk,EliasrequiresalowerrateofreturnthanDavid.D.forthesamereturn,DavidtolerateshigherriskthanElias.E.Cannotbedetermined8.Whenaninvestmentadvisorattemptstodetermineaninvestor'srisktolerance,whichfactorwouldtheybeleastlikelytoassess?A.Theinvestor'spriorinvestingexperienceB.Theinvestor'sdegreeoffinancialsecurityC.Theinvestor'stendencytomakeriskyorconservativechoicesD.ThelevelofreturntheinvestorprefersE.Theinvestor'sfeelingsaboutloss9.Assumeaninvestorwiththefollowingutilityfunction:U=E(r)-3/2(s2).Tomaximizeherexpectedutility,shewouldchoosetheassetwithanexpectedrateofreturnof_______andastandarddeviationof________,respectively.A.12%;20%B.10%;15%C.10%;10%D.8%;10%6-5Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.10.Assumeaninvestorwiththefollowingutilityfunction:U=E(r)-3/2(s2).Tomaximizeherexpectedutility,whichoneofthefollowinginvestmentalternativeswouldshechoose?A.Aportfoliothatpays10%witha60%probabilityor5%with40%probability.B.Aportfoliothatpays10%with40%probabilityor5%witha60%probability.C.Aportfoliothatpays12%with60%probabilityor5%with40%probability.D.Aportfoliothatpays12%with40%probabilityor5%with60%probability.11.Aportfoliohasanexpectedrateofreturnof0.15andastandarddeviationof0.15.Therisk-freerateis6%.Aninvestorhasthefollowingutilityfunction:U=E(r)-(A/2)s2.WhichvalueofAmakesthisinvestorindifferentbetweentheriskyportfolioandtherisk-freeasset?A.5B.6C.7D.812.Accordingtothemean-variancecriterion,whichoneofthefollowinginvestmentsdominatesallothers?A.E(r)=0.15;Variance=0.20B.E(r)=0.10;Variance=0.20C.E(r)=0.10;Variance=0.25D.E(r)=0.15;Variance=0.25E.Noneoftheseoptionsdominatestheotheralternatives.6-6Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.13.Considerariskyportfolio,A,withanexpectedrateofreturnof0.15andastandarddeviationof0.15,thatliesonagivenindifferencecurve.Whichoneofthefollowingportfoliosmightlieonthesameindifferencecurve?A.E(r)=0.15;Standarddeviation=0.20B.E(r