题目 A portfolio contains only two assets. The first asset (a) has volatility of 9.0% and the second asset (b) has volatility of 16.0%. If the assets are uncorrelated, what is nearest to the weight [...]
题目 Suppose the S&P 500 has an expected annual return of 7.6% and volatility of 10.8%. Suppose the Atlantis Fund has an expected annual return of 8.3% and volatility of 8.8% and is benchmarked [...]
题目 A portfolio to the right of the market portfolio on the capital market line (CML) is created by: 选项 A.holding more than 100% of the risky asset. B.fully diversifying. C.buying the [...]
题目 While the risk-free rate was 4.0%, a portfolio's realized a return of 14.0% exactly matched the return of its benchmark, the market index, which also returned 14.0%. The portfolio's covariance [...]
题目 On a graph of risk, measured by standard deviation, and expected return, the efficient frontier represents: 选项 A.all portfolios plotted in the northeast quadrant that maximize return. [...]
题目 An investor believes there are three important factors that determine the expected return for a common stock. The investor uses the following factor betas and factor risk [...]
题目 Which of the following is least likely to be one of the inputs to a multifactor model? 选项 A.The mean-variance efficient market portfolio B.Factor betas C.Deviation of factor values from [...]
题目 「huixue_img/importSubject/1564170575012827136.png」Please note: Two industry classifications: expected excess return is 8.0% for the chemical industry and 6.0% for all other industries. The [...]
题目 A growing regional bank has added a risk committee to its board. One of the first recommendations of the risk committee is that the bank should develop a risk appetite statement. What best [...]
题目 Consider below the multifactor (APT) model of security returns for a particular stock. In addition to factor betas and risk premiums, two of the factors experience "surprises." Specifically, [...]
