题目 Assume the slope of the security market line (SML) is 0.060 while the risk-free rate is 2.0%. What is the Treynor measure of a security with an alpha of 2.40% and beta of 0.30? 选项 A.0.140 [...]
题目 Which of the following best describes the shape of the portfolio possibilities curve? 选项 A.The curve is strictly convex. B.The curve is strictly concave. C.The curve is concave above the [...]
题目 The market portfolio (M) contains the optimal allocation of only risky assets and no risky assets. Let the S1be the Sharpe ratio of this market portfolio. There exists a risk-free asset. [...]
题目 Which of the following statements about the security market line (SML) is least accurate? 选项 A.The market portfolio consists of all risky assets. B.Securities that plot above the SML are [...]
题目 You are analyzing a portfolio that has a Jensen’s alpha of 4.75% and an actual return of 14.2%. The risk-free rate is 4.25% and the equity risk premium is 6%. Based on the information [...]
题目 Portfolios that represent combinations of the risk-free asset and the market portfolio are plotted on the: 选项 A.utility curve B.capital asset pricing line C.capital market line [...]
题目 To describe the shape of the portfolio possibilities curve, which one of the following is best? 选项 A.The curve is strictly convex. B.The curve is strictly concave. C.The curve is convex [...]
题目 A portfolio is invested equally in two asset classes: bonds with expected return of 3.0% per annum and volatility of 18.0%; equities with expected return of 7.0% per annum and volatility of [...]
题目 A security’s systematic risk is proportional to： 选项 A.the covariance of its return with the return on the market portfolio. B.the standard deviation of its return. C.the variance of [...]
题目 For the past four years, the returns on a portfolio were 6%，9% ，4%, and 12%. The corresponding returns of the benchmark were 7%, 10%, 4%, and 14%. The risk-free rate of return is 7%, and [...]
