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1、Suppose a stock had an initial price of $92 per share, paid a dividend of $1.45 per share during the year, and had an ending share price of $104. 1. What is the percentage total return. (A) 12.62% (B) 13.62% (C) 14.62% (D) 15.62% 2. What is the dividend yield? (A) 0.58% (B) 1.58% (C) 2.58% (D) 3.58%
2、 3. What is the capital gains yield? (A) 10.04% (B) 11.04% (C) 12.04% (D) 13.04% Consider the following information State Probability A B C Boom 0.20 0.30 0.45 0.33 Good 0.35 0.12 0.10 0.15 Poor 0.30 0.01 -0.15 -0.05 Bust 0.15 -0.06 -0.30 -0.09 4. Your portfolio is invested 30% each in A and C, and
3、40% in B. What is your expected return of the portfolio? (A) 6.98% (B) 7.98% (C) 8.98% (D) 9.98% 5. What is the standard deviation of this portfolio? (A) 17.20% (B) 18.20% (C) 19.20% (D) 20.20% An analyst has made the following return projections for each of three possible outcomes with an equal lik
4、elihood of occurrence: Outcome 1 Outcome 2 Outcome 3 Expected Return 1 12 0 6 6 2 12 6 0 6 3 0 6 12 6 6. Which pair of assets is perfectly negatively correlated? (A) Asset 1 and Asset 2 (B) Asset 1 and Asset 3. (C) Asset 2 and Asset 3. 7. If the analyst constructs two-asset portfolios that are equal
5、ly-weighted, which pair of assets has the lowest expected standard deviation? (A) Asset 1 and Asset 2. (B) Asset 1 and Asset 3. (C) Asset 2 and Asset 3. 8. If the analyst constructs two-asset portfolios that are equally weighted, which pair of assets provides the least amount of risk reduction? (A)
6、Asset 1 and Asset 2. (B) Asset 1 and Asset 3. (C) Asset 2 and Asset 3. 9. The planning step of the portfolio management process is least likely to include an assessment of the clients: (A) securities (B) constraints (C) risk tolerance 10. Which of the following lists major U.S. asset classes from ri
7、skiest to least risky based on their returns over the 1926 to 2008 period? (A) Treasury bills, long-term government bonds, long-term corporate bonds. (B) Large-cap stocks, long-term corporate bonds, long-term government bonds. (C) Small-cap stocks, large-cap stocks, long-term corporate bonds. 11. En
8、dowments and foundations typically have investment needs that are best described as: (A) long time horizon, high risk tolerance, and low liquidity needs. (B) long time horizon, low risk tolerance, and high liquidity needs. (C) short time horizon, low risk tolerance, and low liquidity needs. 12. A ri
9、sk-averse investor prefers the lowest-risk investment: (A) for any given level of expected return. (B) when presented with three investment alternatives. (C) with an expected return at least equal to her threshold rate of return. 13. Open-end mutual funds differ from closed-end funds in that: (A) no
10、 difference. (B) closed-end funds require active management, while open-end funds do not. (C) open-end funds issue shares that are then traded in secondary markets, while closed-end funds do not. (D) open-end funds stand ready to redeem their shares, while closed-end funds do not. 14. If Investor 1
11、has steeper indifference curves for return as a function of risk than Investor 2, then Investor ls optimal portfolio on the Markowitz efficient frontier will: (A) be the same as Investor 2s optimal portfolio. (B) have less risk than Investor 2s optimal portfolio. (C) have more risk than Investor 2s
12、optimal portfolio. 15. With respect to the portfolio management process, asset allocation decisions are made in the: (A) planning step. (B) feedback step. (C) execution step. 1. Assume that as a US investor, you decide to hold a portfolio with 80% invested in the S&P 500 US stock index and the remai
13、ning 20% in the MSCI Emerging Markets index. The expected return is 9.93% for the S&P 500 and 18.20% for the Emerging Markets index. The risk (standard deviation) is 16.21%for the S&P 500 and 33.11% for the Emerging Markets index. (A) What will be the portfolios expected return and risk given that t
14、he covariance between the S&P 500 and the Emerging Markets index is 0.5%? (10 points) (B) Plot the relation between expected return and risk. (10 points) 2. Based on investment information given below and the utility formula U=E(r)-0.5A2, answer the following questions. Investment Expected return (%
15、) Std. Dev. (%) 1 12 30 2 15 35 3 21 40 4 24 45 (A) Which investment will be chosen by a risk-averse investor with a risk aversion coefficient of 2? (5 points) (B) Which investment will be chosen by a risk-averse investor with a risk aversion coefficient of 4? (5 points) (C) Which investment will be
16、 chosen by a risk-neutral investor? (5 points) (D) Which investment will be choose by a risk-loving investor? (5 points) 3. Suppose a portfolio that includes two assets, a risk-free asset and a risky asset, with the expected return, E(), and portfolio risk, . Please prove that the equation of capital allocation line (CAL) is E()=+ () )/. (15 points) 1 2 3 4 5 C B D A B 6 7 8 9 10 C C A A C 11 12 13 14 15 A A D B C 1 (A) (B) 2 (A) For
