题目 A portfolio is invested equally in two asset classes: 50% in bonds with expected return of 4.0% per annum and volatility of 20.0%; equities with expected return of 9.0% per annum and [...]
题目 All of the following are assumptions of the Capital Asset Pricing Model except: 选项 A.Each investor seeks to maximize the expected utility of wealth at the end of that investor’s horizon. [...]
题目 Jim manages a well-diversified portfolio containing forty stocks. The portfolio has a beta of 1.05. Jim is considering adding the stock of ABC Inc. to the portfolio, and would fund the [...]
题目 A security will produce only two cash flows: $100 at the end of the first year, and $100 at the end of the second year. The risk-free rate is 3.0% and the Market's expected return is 8.0%. The [...]
题目 During the most recent period, a Portfolio returned 10.3% when the Market return was only 8.0%. The risk-free rate was 2.0%. The Market's return was 8.0% with volatility of 29.0%. Finally, the [...]
题目 A portfolio with a volatility of 30.0% has a Treynor measure of 0.080. The portfolio has a correlation of 0.50 with the market index which itself has a volatility of 20.0%. What is the [...]
题目 Which of the following statements concerning the capital asset pricing model （CAPM） and the security market line （SML） is correct? 选项 A.Beta identifies the appropriate level of [...]
题目 In the context of the CML, the market portfolio includes: 选项 A.12-18 stocks needed to provide maximum diversification B.all existing risky assets C.risky stocks and bonds only D.the [...]
题目 A portfolio has a correlation of 0.40 with the overall market and produces a Sharpe ratio of 0.2. If the market’s volatility is 20%, what is the portfolio’s Treynor ratio? 选项 A.4.0% [...]
