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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 [...]

题目 Which of the following portfolios falls below the Markowitz efficient frontier?「huixue_img/importSubject/1564170578074669056.png」 选项 A.Portfolio A B.Portfolio B C.Portfolio C [...]

题目 According to CAPM, what is the expected return of diversifiable (idiosyncratic) risk? 选项 A.Zero B.Beta C.Beta × Excess Market Return D.Riskless rate + (Beta × Excess Market Return) [...]

题目 There are two assets X and Y, which line is not likely the efficient frontier for X and Y?「huixue_img/importSubject/1564170577994977280.png」 选项 A.A B.B C.C D.D 答案 D 解析 The [...]

题目 An analyst has developed the following data for two companies: PNS Manufacturing (PNS) and ABC Travel (ABC). PNS has an expected return of 15 percent and a standard deviation of 18 percent. [...]