爱考云 - 搜题找答案神器_海量试题解析在线查

题目 Consider the following five random variables: A standard normal random variable; no parameters needed. A student's t distribution with 10 degrees of freedom; df = 10. A Bernoulli variable that [...]

题目 If Security A and Security B are positively correlated, and the price of Security A increases, then the price of Security B: 选项 A.will increase. B.will decrease. C.is most likely to [...]

题目 James Tulsma, FRM, is analyzing a publicly traded firm and is using the company's beta, the risk-free rate of return, and the expected return on the market to estimate the company's required [...]

题目 Which of the following is a DIFFERENCE between the capital asset pricing model (CAPM) and the capital market line (CML) 选项 A.The CML does not include the risk-free asset, but CAPM does. [...]

题目 Which of the following statements about portfolio risk and diversification is least accurate? 选项 A.Not all risk is diversifiable. B.Unsystematic risk can be substantially reduced by [...]

题目 In order for CAPM to hold, markets must exhibit the STRONG form of efficiency; is it NOT enough that markets are weak- or semi-strong efficient. Which assumption is the key to achieving the [...]

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 Consider the following already-annualized statistics for portfolio (P):Risk-free rate = 2.00%Realized portfolio (P) return (average) = 9.50%Portfolio (P) excess return = 9.50% - 2.00% = [...]

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% [...]

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 [...]