题目 Which of the following statements regarding the Capital Asset Pricing Model is least accurate? 选项 A.It relies on the existence of a risk-free asset. B.It is useful for determining an [...]
题目 The beta of stock D is -0.5. If the expected return of Stock D is 8%, and the risk-free rate of return is 5%, what is the expected return of the market? 选项 A.3.0% B.-1.0% C.3.5% D.-4.0% [...]
题目 Which is best for RANKING portfolios with the same beta (within peer groups)? 选项 A.Treynor ratio. B.Sharpe ratio. C.Jensen’s alpha. D.None. 答案 C 解析 The Jensen alpha can be used [...]
题目 In a two-asset portfolio, reducing the correlation between the two assets moves the efficient frontier in which direction? 选项 A.The efficient frontier is stable unless return expectations [...]
题目 Suppose that the correlation of the return of a portfolio with the return of its benchmark is 0.8, the volatility of the return of the portfolio is 5%, and the volatility of the return of the [...]
题目 Instead of residual-based information ratio (IR), it is also acceptable to compute information ratio (IR) based on active returns. The following table displays twelve (12) months of returns [...]
题目 Consider the expected returns and standard deviations for the following portfolios:「huixue_img/importSubject/1564170578330521600.png」Relative to the other portfolios, the portfolio that is [...]
题目 Over the previous twelve (12) months, Analyst Robert regressed Portfolio (P) excess returns against the Benchmark (M) excess returns:「huixue_img/importSubject/1564170578225664000.png」As [...]
题目 Given a set of risky assets, a Markowitz efficient frontier: 选项 A.can be calculated from the assets\u2019 expected returns and the correlations of returns for each pair of assets. [...]
题目 For an investor to move further up the Capital Market Line than the market portfolio, the investor must: 选项 A.reduce the portfolio's risk below that of the market. B.continue to invest [...]
