31 câu hỏi
You invest \$100 in a risky asset with an expected rate of return of 0.11 and a standard deviation of 0.20 and a T-bill with a rate of return of 0.03. The slope of the Capital Allocation Line formed with the risky asset and the risk-free asset is equal to
Cannot be determined.
0.40
0.47
2.14
0.80
You invest \$100 in a risky asset with an expected rate of return of 0.12 and a standard deviation of 0.15 and a T-bill with a rate of return of 0.05. What percentages of your money must be invested in the risky asset and the risk-free asset, respectively, to form a portfolio with an expected return of 0.09?
67% and 33%
75% and 25%
cannot be determined
85% and 15%
57% and 43%
You invest \$100 in a risky asset with an expected rate of return of 0.12 and a standard deviation of 0.15 and a T-bill with a rate of return of 0.05.
A portfolio that has an expected outcome of \$115 is formed by
Investing \$100 in the risky asset.
Investing \$43 in the risky asset and \$57 in the riskless asset.
Investing \$80 in the risky asset and \$20 in the risk-free asset.
such a portfolio cannot be formed.
Borrowing \$43 at the risk-free rate and investing the total amount (\$143) in the risky asset
You invest \$100 in a risky asset with an expected rate of return of 0.12 and a standard deviation of 0.15 and a T-bill with a rate of return of 0.05. The slope of the Capital Allocation Line formed with the risky asset and the risk-free asset is equal to
Cannot be determined.
0.41667.
0.4667.
0.8000
2.14
You invest \$1000 in a risky asset with an expected rate of return of
0.17 and a standard deviation of 0.40 and a T-bill with a rate of return of
0.04. A portfolio that has an expected outcome of \$114 is formed by
Borrowing \$46 at the risk-free rate and investing the total amount (\$146) in the risky asset.
Investing \$80 in the risky asset and \$20 in the risk-free asset.
Such a portfolio cannot be formed.
Investing \$43 in the risky asset and \$57 in the riskless asset.
Investing \$100 in the risky asset.
You invest \$1000 in a risky asset with an expected rate of return of
0.17 and a standard deviation of 0.40 and a T-bill with a rate of return of
0.04. The slope of the Capital Allocation Line formed with the risky asset and the risk-free asset is equal to
0.8000.
Cannot be determined.
0.3095.
0.41667.
0.4667.
Your client, Bo Regard, holds a complete portfolio that consists of a portfolio of risky assets (P) and T-Bills. The information below refers to these assets.
E(Rp) 12.00 %
Standard Deviation of P 7.20 % T-Bill rate 3.60 %
Proportion of Complete Portfolio in P 80% Proportion of Complete Portfolio in T-Bills 20 %
Composition of P:
Stock A 40.00 % Stock B 25.00 % Stock C 35.00 % Total 100.00
What is the expected return on Bo's complete portfolio?
5.28%
8.44%
10.32%
9.62%
7.58%
Your client, Bo Regard, holds a complete portfolio that consists of a portfolio of risky assets (P) and T-Bills. The information below refers to these assets.
E(Rp) 12.00 %
Standard Deviation of P 7.20 % T-Bill rate 3.60 %
Proportion of Complete Portfolio in P 80 % Proportion of Complete Portfolio in T-Bills 20 %
Composition of P:
Stock A 40.00 % Stock B 25.00 % Stock C 35.00 % Total 100.00 %
What is the standard deviation of Bo's complete portfolio?
4.98%
5.76%
7.20%
5.40%
6.92%
Your client, Bo Regard, holds a complete portfolio that consists of a portfolio of risky assets (P) and T-Bills. The information below refers to these assets.
E(Rp) 12.00 %
Standard Deviation of P 7.20 % T-Bill rate 3.60 %
Proportion of Complete Portfolio in P 80 % Proportion of Complete Portfolio in T-Bills 20 %
Composition of P:
Stock A 40.00 % Stock B 25.00 % Stock C 35.00 % Total 100.00 %
What is the equation of Bo's capital allocation line?
E(rC) = 7.2 + 3.6 * Standard Deviation of C
E(rC) = 0.2 + 1.167 * Standard Deviation of C
E(rC) = 3.6 + 1.167 * Standard Deviation of C
E(rC) = 3.6 + 12.0 * Standard Deviation of C
E(rC) = 3.6 + 0.857 * Standard Deviation of C
Your client, Bo Regard, holds a complete portfolio that consists of a portfolio of risky assets (P) and T-Bills. The information below refers to these assets.
E(Rp) 12.00 %
Standard Deviation of P 7.20 % T-Bill rate 3.60 %
Proportion of Complete Portfolio in P 80 % Proportion of Complete Portfolio in T-Bills 20 % Composition of P:
Stock A 40.00 % Stock B 25.00 % Stock C 35.00 % Total 100.00 %
What are the proportions of stocks A, B, and C, respectively, in Bo's complete portfolio?
32%, 20%, 28%
16%, 10%, 14%
8%, 5%, 7%
20%, 12.5%, 17.5%
40%, 25%, 35%
A statistic(s) that measures how the returns of two risky assets move together is:
both covariance and correlation.
standard deviation.
covariance.
variance.
correlation.
A two-asset portfolio with a standard deviation of zero can be formed when
the assets have a correlation coefficient equal to zero.
the assets have a correlation coefficient less than zero.
the assets have a correlation coefficient equal to one.
the assets have a correlation coefficient greater than zero.
the assets have a correlation coefficient equal to negative one
An investor who wishes to form a portfolio that lies to the right of the optimal risky portfolio on the Capital Allocation Line must:
invest only in risky securities.
such a portfolio cannot be formed.
lend some of her money at the risk-free rate and invest the remainder in the optimal risky portfolio.
both borrow some money at the risk-free rate and invest in the optimal risky portfolio and invest only in risky securities
borrow some money at the risk-free rate and invest in the optimal risky portfolio
As the number of securities in a portfolio is increased, what happens to the average portfolio standard deviation?
It decreases at an increasing rate.
It increases at an increasing rate.
It increases at a decreasing rate.
It first decreases, then starts to increase as more securities are added.
It decreases at a decreasing rate
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
between zero and -1.
greater than zero.
equal to -1.
equal to the sum of the securities' standard deviations.
equal to zero
State | Probability | Return on Stock A | Return on Stock B |
1 | 0.10 | 10% | 8% |
2 | 0.20 | 13% | 7% |
3 | 0.20 | 12% | 6% |
4 | 0.30 | 14% | 9% |
5 | 0.20 | 15% | 8% |
If you invest 40% of your money in A and 60% in B, what would be your portfolio's expected rate of return and standard deviation?
11%; 3%
10.6%; 2.1%
9.9%; 3%
11%; 1.1%
9.9%; 1.1%
State | Probability | Return on Stock A | Return on Stock B |
1 | 0.10 | 10% | 8% |
2 | 0.20 | 13% | 7% |
3 | 0.20 | 12% | 6% |
4 | 0.30 | 14% | 9% |
5 | 0.20 | 15% | 8% |
The expected rates of return of stocks A and B are ______and ____, respectively.
14%; 10%
13.2%; 7.7%
13.2%; 9%
13.8%; 9.3%
7.7%; 13.2%
State | Probability | Return on Stock A | Return on Stock B |
1 | 0.10 | 10% | 8% |
2 | 0.20 | 13% | 7% |
3 | 0.20 | 12% | 6% |
4 | 0.30 | 14% | 9% |
5 | 0.20 | 15% | 8% |
Which of the following portfolio(s) is (are) on the efficient frontier?
The portfolio with 20 percent in A and 80 percent in B, and the portfolio with 15 percent in A and 85 percent in B are both on the efficient frontier.
The portfolio with 20 percent in A and 80 percent in B.
The portfolio with 15 percent in A and 85 percent in B.
The portfolio with 26 percent in A and 74 percent in B.
The portfolio with 10 percent in A and 90 percent in B
Consider the following probability distribution for stocks A and B: Let G be the global minimum variance portfolio. The weights of A and B in G are _____and ______, respectively.
0.40; 0.60
0.66; 0.34
0.77; 0.23
0.23; 0.77
0.34; 0.66
State | Probability | Return on Stock A | Return on Stock B |
1 | 0.10 | 10% | 8% |
2 | 0.20 | 13% | 7% |
3 | 0.20 | 12% | 6% |
4 | 0.30 | 14% | 9% |
5 | 0.20 | 15% | 8% |
The expected rate of return and standard deviation of the global minimum variance portfolio, G, are ________and _______, respectively.
8.97%; 2.03%
7.56%; 0.83%
8.97%; 1.05%
10.07%; 1.05%
10.07%; 3.01%
Consider the following probability distribution for stocks A and B: The variances of stocks A and B are _________and _______, respectively.
1.4%; 2.1%
1.5%; 1.1%
3.2%; 2.0%
2.2%; 1.2%
1.5%; 1.9%
State | Probability | Return on Stock A | Return on Stock B |
1 | 0.10 | 10% | 8% |
2 | 0.20 | 13% | 7% |
3 | 0.20 | 12% | 6% |
4 | 0.30 | 14% | 9% |
5 | 0.20 | 15% | 8% |
The coefficient of correlation between A and B is
1.20.
0.46.
0.58.
0.73.
0.60
State | Probability | Return on Stock A | Return on Stock B |
1 | 0.10 | 10% | 8% |
2 | 0.20 | 13% | 7% |
3 | 0.20 | 12% | 6% |
4 | 0.30 | 14% | 9% |
5 | 0.20 | 15% | 8% |
The standard deviations of stocks A and B are and , respectively.
1.5%; 1.9%
2.5%; 1.1%
1.8%; 1.6%
1.5%; 1.1%
3.2%; 2.0%
Consider two perfectly negatively correlated risky securities A and B.
A has an expected rate of return of 10% and a standard deviation of 16%.
B has an expected rate of return of 8% and a standard deviation of 12%. The weights of A and B in the global minimum variance portfolio are
______and ______, respectively.
0.43; 0.57
0.57; 0.43
0.24; 0.76
0.76; 0.24
0.50; 0.50
Consider two perfectly negatively correlated risky securities A and B.
A has an expected rate of return of 10% and a standard deviation of 16%.
B has an expected rate of return of 8% and a standard deviation of 12%. The risk-free portfolio that can be formed with the two securities will earn _____rate of return.
9.9%
6.2%
9.0%
8.5%
8.9%
Efficient portfolios of N risky securities are portfolios that________
have the lowest standard deviations and the lowest rates of return.
are selected from those securities with the lowest standard deviations regardless of their returns.
have the highest risk and rates of return and the highest standard deviations.
have the highest rates of return for a given level of risk.
are formed with the securities that have the highest rates of return regardless of their standard deviations
Firm-specific risk is also referred to as
nondiversifiable, market risk.
diversifiable risk, market risk.
systematic risk, market risk.
diversifiable risk, unique risk.
systematic risk, diversifiable risk
For a two-stock portfolio, what would be the preferred correlation coefficient between the two stocks?
-1.00.
+0.50.
+1.00.
-0.65.
0.00.
Given an optimal risky portfolio with expected return of 12% and standard deviation of 23% and a risk free rate of 3%, what is the slope of the best feasible CAL?
0.64
0.08
0.36
0.35
0.39
In a two-security minimum variance portfolio where the correlation between securities is greater than -1.0
the return will be zero.
the security with the higher standard deviation will be weighted more heavily.
the risk will be zero.
the two securities will be equally weighted.
the security with the higher standard deviation will be weighted less heavily
Market risk is also referred to as
firm-specific risk.
systematic risk, diversifiable risk.
systematic risk, nondiversifiable risk.
unique risk, nondiversifiable risk.
unique risk, diversifiable risk