题目 Assume the risk-free rate is 4% and the expected (overall) market return is 12% with 20% volatility. Our portfolio (P) has volatility of 30% and a correlation with the market of 0.4. According [...]
题目 A risk manager is analyzing the characteristics of a portfolio created by combining two stocks with standard deviations of returns of 14% and 19%, and a correlation coefficient of -1 between [...]
题目 An analyst is evaluating the performance of a portfolio of Mexican equities that is benchmarked to the IPC Index. The analyst collects the information about the portfolio and the benchmark [...]
题目 Assume that you are only concerned with systematic risk. Which of the following would be the best measure to use to rank order funds with different betas based on their risk-return [...]
题目 Which of the following statements is true? 选项 A.The nominal returns of U.S. Treasury bills are risk-free returns. B.Predicted variance is always greater than historical variance. C.When [...]
题目 CAPM assumptions: Which of the following is NOT an underlying assumption of the CAPM model? 选项 A.Investors only consider the first two moments of return distribution: the expected return [...]
题目 The market portfolio in the Capital Market Theory contains which types of investments? 选项 A.All stocks in existence. B.All stocks and bonds in existence. C.All risky and risk-free assets [...]
题目 「huixue_img/importSubject/1564170576732491776.jpeg」The efficient frontier consists of the portfolios between and including: 选项 A.X and W B.Y and Z C.X and Z D.Y and X 答案 C 解析 [...]
题目 According to the CAPM, over a single time period, investors seek to maximize their: 选项 A.wealth and are concerned about the tails of return distributions. B.wealth and are not concerned [...]
题目 Roger is an analyst employing the capital asset pricing model (CAPM) to estimate the return of a portfolio. However, his colleague Sally makes four observations. Which of the following [...]
