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1、R TMultiple Choice Questions1. Market risk is also referred to asA) systematic risk, diversifiable risk.B) systematic risk, nondiversifiable risk.C) unique risk, nondiversifiable risk.D) unique risk, diversifiable risk.E) none of the above.Answer: B Difficulty: EasyRationale: Market, systematic, and
2、 nondiversifiable risk are synonyms referring to the risk that cannot be eliminated from the portfolio. Diversifiable, unique, nonsystematic, and firm-specific risks are synonyms referring to the risk that can be eliminated from the portfolio by diversification.2. The risk that can be diversified aw
3、ay isA) firm specific risk.b) beta.C) systematic risk.D) market risk.E) none of the above.Answer: A Difficulty: EasyRationale: See explanations for 1 and 2 above.3. The variance of a portfolio of risky securitiesA) is a weighted sum of the securities variances.B) is the sum of the securities varianc
4、es.C) is the weighted sum of the securities variances and covariances.D) is the sum of the securities covariances.E) none of the above.Answer: C Difficulty: ModerateRationale: The variance of a portfolio of risky securities is a weighted sum taking into account both the variance of the individual se
5、curities and the covariances between securities.4. The expected return of a portfolio of risky securitiesA) is a weighted average of the securities returns.B) is the sum of the securities returns.C) is the weighted sum of the securities variances and covariances.D) A and C.E) none of the above.Answe
6、r: A Difficulty: Easy5. Other things equal, diversification is most effective whenA) securities returns are uncorrelated.B) securities returns are positively correlated.C) securities returns are high.D) securities returns are negatively correlated.E) B and C.Answer: D Difficulty: ModerateRationale:
7、Negative correlation among securities results in the greatest reduction of portfolio risk, which is the goal of diversification.6. The efficient frontier of risky assets isA) the portion of the investment opportunity set that lies above the global minimum variance portfolio.B) the portion of the inv
8、estment opportunity set that represents the highest standard deviations.C) the portion of the investment opportunity set which includes the portfolios with the lowest standard deviation.D) the set of portfolios that have zero standard deviation.E) both A and B are true.Answer: A Difficulty: Moderate
9、Rationale: Portfolios on the efficient frontier are those providing the greatest expected return for a given amount of risk. Only those portfolios above the global minimum variance portfolio meet this criterion.R |7. The Capital Allocation Line provided by a risk-free security and N risky securities
10、 is A) the line that connects the risk-free rate and the global minimum-variance 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 efficien
11、t frontier of risky securities drawn from the risk-free rate.D) the horizontal line drawn from the risk-free rate.E) none of the above.Answer: C Difficulty: ModerateRationale: The Capital Allocation Line represents the most efficient combinations of the risk-free asset and risky securities. Only C m
12、eets that definition.8. 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 alwaysA) greater than zero.B) equal to zero.C) equal to the sum of the securities standard deviat
13、ions.D) equal to -1.E) none of the above.Answer: B Difficulty: DifficultRationale: If two securities were perfectly negatively correlated, the weights for the minimum variance portfolio for those securities could be calculated, and the standard deviation of the resulting portfolio would be zero.9. W
14、hich 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 portfolio variance.B) There is a linear relationship between the securities coefficient of co
15、rrelation 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.Answer: C Difficulty: ModerateRationale: The lower the correlation between the returns of the securities, the more portfolio ris
16、k is reduced.-4 A 所看 |10. Efficient portfolios of N risky securities are portfolios thatA) 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
