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1、1、The efficient frontier of risky assets is A)the portion of the investment opportunity set that lies above the global minimum variance portfolio. B)the portion of the investment opportunity set that represents the highest standard deviations. C)the portion of the investment opportunity set which in
2、cludes the portfolios with the lowest standard deviation. D)the set of portfolios that have zero standard deviation. E)both A and B are true. 2、The Capital Allocation Line provided by a risk-free security and N risky securities is _A)the line that connects the risk-free rate and the global minimum-v
3、ariance portfolio of the risky securities. B)the line that connects the risk-free rate and the portfolio of the risky securities that has the highest expected return on the efficient frontier. C)the line tangent to the efficient frontier of risky securities drawn from the risk-free rate. D)the horiz
4、ontal line drawn from the risk-free rate. E)none of the above. 3、Consider an investment opportunity set formed with two securities that are perfectly negatively correlated. The global minimum variance portfolio has a standard deviation that is always_A)greater than zero. B)equal to zero. C)equal to
5、the sum of the securities standard deviations. D)equal to -1. E)none of the above. 4、Which of the following statements is (are) true regarding the variance of a portfolio of two risky securities? A)The higher the coefficient of correlation between securities, the greater the reduction in the portfol
6、io variance. B)There is a linear relationship between the securities coefficient of correlation and the portfolio variance. C)The degree to which the portfolio variance is reduced depends on the degree of correlation between securities. D)A and B. E)A and C. 5、Efficient portfolios of N risky securit
7、ies are portfolios that A)are formed with the securities that have the highest rates of return regardless of their standard deviations. B)have the highest rates of return for a given level of risk. C)are selected from those securities with the lowest standard deviations regardless of their returns.
8、D)have the highest risk and rates of return and the highest standard deviations. E)have the lowest standard deviations and the lowest rates of return. 6、As diversification increases, the total variance of a portfolio approaches _. A)0 B)1 C)the variance of the market portfolio D)infinity E)none of t
9、he above 7、The index model was first suggested by _. A)Graham B)Markowitz C)Miller D)Sharpe E)none of the above 8、.A single-index model uses _ as a proxy for the systematic risk factor. A)a market index, such as the S&P 500 B)the current account deficit C)the growth rate in GNP D)the unemployment ra
10、te E)none of the above 9、According to the index model, covariances among security pairs are A)due to the influence of a single common factor represented by the market index return B)extremely difficult to calculate C)related to industry-specific events D)usually positive E)A and D 10、In a factor mod
11、el, the return on a stock in a particular period will be related to _. A)firm-specific events B)macroeconomic events C)the error term D)both A and B E)neither A nor B 11、Which of the following statement(s) is (are) true regarding the selection of a portfolio from those that lie on the Capital Alloca
12、tion Line? A)Less risk-averse investors will invest more in the risk-free security and less in the optimal risky portfolio than more risk-averse investors. B)More risk-averse investors will invest less in the optimal risky portfolio and more in the risk-free security than less risk-averse investors.
13、 C)Investors choose the portfolio that maximizes their expected utility. D)A and C. E)B and C. 12、An investor who wishes to form a portfolio that lies to the right of the optimal risky portfolio on the Capital Allocation Line must: A)lend some of her money at the risk-free rate and invest the remain
14、der in the optimal risky portfolio. B)borrow some money at the risk-free rate and invest in the optimal risky portfolio. C)invest only in risky securities. D)such a portfolio cannot be formed. E)B and C 13、Portfolio theory as described by Markowitz is most concerned with: A)the elimination of system
15、atic risk. B)the effect of diversification on portfolio risk. C)the identification of unsystematic risk. D)active portfolio management to enhance returns. E)none of the above. 14、The measure of risk in a Markowitz efficient frontier is: A)specific risk. B)standard deviation of returns. C)reinvestment risk. D)beta. E)none of the above. 15、A statistic that measures how the returns of two risky assets move tog
