金融工程-相关习题及答案

Chapter1MarketOrganizationandStructurePRACTICEPROBLEMSFORCHAPTER11.AkihikoTakabehasdesignedasophisticatedforecastingmodel,whichpredictsthemovementsintheoverallstockmarket,inthehopeofearningareturninexcessofafairreturnfortheriskinvolved.Heusesthepredictionsofthemodeltodecidewhethertobuy,hold,orsellthesharesofanindexfundthataimstoreplicatethemovementsofthestockmarket.Takabewouldbestbecharacterizedasa(n):A.hedger.B.investor.C.information-motivatedtrader.2.JamesBeachisyoungandhassubstantialwealth.Asignificantproportionofhisstockportfolioconsistsofemergingmarketstocksthatofferrelativelyhighexpectedreturnsatthecostofrelativelyhighrisk.Beachbelievesthatinvestmentinemergingmarketstocksisappropriateforhimgivenhisabilityandwillingnesstotakerisk.WhichofthefollowinglabelsmostappropriatelydescribesBeach?A.Hedger.B.Investor.C.Information-motivatedtrader.3.LisaSmithownsamanufacturingcompanyintheUnitedStates.HercompanyhassoldgoodstoacustomerinBrazilandwillbepaidinBrazilianreal(BRL)inthreemonths.SmithisconcernedaboutthepossibilityoftheBRLdepreciatingmorethanexpectedagainsttheU.S.dollar(USD).Therefore,sheisplanningtosellthree-monthfuturescontractsontheBRL.ThesellerofsuchcontractsgenerallygainswhentheBRLdepreciatesagainsttheUSD.IfSmithweretosellthesefuturecontracts,shewouldmostappropriatelybedescribedasa(n):A.hedger.B.investor.C.information-motivatedtrader.4.Whichofthefollowingisnotafunctionofthefinancialsystem?A.Toregulatearbitrageurs’profits(excessreturns).B.Tohelptheeconomyachieveallocationalefficiency.C.Tofacilitateborrowingbybusinessestofundcurrentoperations.5.Aninvestorprimarilyinvestsinstocksofpubliclytradedcompanies.Theinvestorwantstoincreasethediversificationofhisportfolio.Afriendhasrecommendedinvestinginrealestateproperties.Thepurchaseofrealestatewouldbestbe1characterizedasatransactioninthe:A.derivativeinvestmentmarket.B.traditionalinvestmentmarket.C.alternativeinvestmentmarket.6.Ahedgefundholdsitsexcesscashin90-daycommercialpaperandnegotiablecertificatesofdeposit.Thecashmanagementpolicyofthehedgefundisbestdescribedasusing:A.capitalmarketinstruments.B.moneymarketinstruments.C.intermediate-termdebtinstruments.7.Anoilandgasexplorationandproductioncompanyannouncesthatitisoffering30millionsharestothepublicat$45.50each.Thistransactionismostlikelyasaleinthe:A.futuresmarket.B.primarymarket.C.secondarymarket.8.Consideramutualfundthatinvestsprimarilyinfixed-incomesecuritiesthathavebeendeterminedtobeappropriategiventhefund’sinvestmentgoal.Whichofthefollowingisleastlikelytobeapartofthisfund?A.Warrants.B.Commercialpaper.C.Repurchaseagreements.9.Afriendhasaskedyoutoexplainthedifferencesbetweenopen-endandclosed-endfunds.Whichofthefollowingwillyoumostlikelyincludeinyourexplanation?A.Closed-endfundsareunavailabletonewinvestors.B.Wheninvestorssellthesharesofanopen-endfund,theycanreceiveadiscountorapremiumtothefund’snetassetvalue.C.Whensellingshares,investorsinanopen-endfundsellthesharesbacktothefundwhereasinvestorsinaclosed-endfundsellthesharestoothersinthesecondarymarket.10.Theusefulnessofaforwardcontractislimitedbysomeproblems.Whichofthefollowingismostlikelyoneofthoseproblems?A.Onceyouhaveenteredintoaforwardcontract,itisdifficulttoexitfromthecontract.B.Enteringintoaforwardcontractrequiresthelongpartytodepositaninitialamountwiththeshortparty.C.Ifthepriceoftheunderlyingassetmovesadverselyfromtheperspectiveofthelongparty,periodicpaymentsmustbemadetotheshortparty.211.TonyHarrisisplanningtostarttradingincommodities.Hehasheardabouttheuseoffuturescontractsoncommoditiesandislearningmoreaboutthem.WhichofthefollowingisHarrisleastlikelytofindassociatedwithafuturescontract?A.Existenceofcounterpartyrisk.B.Standardizedcontractualterms.C.Paymentofaninitialmargintoenterintoacontract.12.AGermancompanythatexportsmachineryisexpectingtoreceive$10millioninthreemonths.Thefirmconvertsallitsforeigncurrencyreceiptsintoeuros.Thechieffinancialofficerofthecompanywishestolockinaminimumfixedrateforconvertingthe$10milliontoeurobutalsowantstokeeptheflexibilitytousethefuturespotrateifitisfavorable.Whathedgingtransactionismostlikelytoachievethisobjective?A.Sellingdollarsforward.B.Buyingputoptionsonthedollar.C.Sellingfuturescontractsondollars.13.Abookpublisherrequiressubstantialquantitiesofpaper.Thepublisherandapaperproducerhaveenteredintoanagreementforthepublishertobuyandtheproducertosupplyagivenquantityofpaperfourmonthslateratapriceagreedupontoday.Thisagreementisa:A.futurescontract.B.forwardcontract.C.commodityswap.14.TheStandard&Poor’sDepositaryReceipts(SPDRs)isaninvestmentthattrackstheS&P500stockmarketindex.PurchasesandsalesofSPDRsduringanaveragetradingdayarebestdescribedas:A.primarymarkettransactionsinapooledinvestment.B.secondarymarkettransactionsinapooledinvestment.C.secondarymarkettransactionsinanactivelymanagedinvestment.15.TheStandard&Poor’sDepositaryReceipts(SPDRs)isanexchange-tradedfundintheUnitedStatesthatisdesignedtotracktheS&P500stockmarketindex.ThecurrentpriceofashareofSPDRsis$113.AtraderhasjustboughtcalloptionsonsharesofSPDRsforapremiumof$3pershare