29 câu hỏi
Nondiversifiable risk is also referred to as
unique risk, market risk.
unique risk, firm-specific risk.
systematic risk, market risk.
systematic risk, unique risk.
systematic risk, firm-specific risk
Other things equal, diversification is most effective when
securities' returns are uncorrelated.
securities' returns are negatively correlated.
securities' returns are positively correlated.
both securities' returns are positively correlated and securities' returns are high.
securities' returns are high.
Portfolio theory as described by Markowitz is most concerned with:
the identification of unsystematic risk.
active portfolio management to enhance returns.
the elimination of systematic risk.
the elimination of unsystematic risk.
the effect of diversification on portfolio risk.
The Capital Allocation Line provided by a risk-free security and N risky securities is
the line that connects the risk-free rate and the global minimum-variance portfolio of the risky securities.
the horizontal line drawn from the risk-free rate.
the line tangent to the efficient frontier of risky securities drawn from the risk-free rate.
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.
the line that connects the risk-free rate and the global maximum-variance portfolio of the risky securities.
The efficient frontier of risky assets is
the portion of the investment opportunity set that lies above the global minimum variance portfolio.
both the portion of the investment opportunity set that lies above the global minimum variance portfolio and the portion of the investment opportunity set that represents the highest standard deviations.
the portion of the investment opportunity set which includes the portfolios with the lowest standard deviation.
the set of portfolios that have zero standard deviation.
the portion of the investment opportunity set that represents the highest standard deviations
The expected return of a portfolio of risky securities
is the sum of the securities' returns.
is both a weighted average of the securities' returns and a weighted sum of the securities' variances and covariances.
is the weighted sum of the securities' variances and covariances.
is a weighted average of the securities' returns.
is the weighted sum of the securities' covariances
The global minimum variance portfolio formed from two risky securities will be riskless when the correlation coefficient between the two securities is
1.0
0.5
0.0
-1.0
negative.
The individual investor's optimal portfolio is designated by:
None of these is correct.
The point of tangency with the opportunity set and the capital allocation line.
The point of tangency with the indifference curve and the capital allocation line.
The point of highest reward to variability ratio in the opportunity set.
The point of the highest reward to variability ratio in the indifference curve
The line representing all combinations of portfolio expected returns and standard deviations that can be constructed from two available assets is called the
portfolio opportunity set
risk/reward tradeoff line
Capital Allocation Line
Security Market Line
efficient frontier
The measure of risk in a Markowitz efficient frontier is:
standard deviation of returns.
unique risk.
specific risk.
reinvestment risk.
beta
The separation property refers to the conclusion that
the determination of the best CAL is objective and the choice of the inputs to be used to determine the efficient frontier is subjective.
investors are separate beings and will therefore have different preferences regarding the risk-return tradeoff.
the choice of inputs to be used to determine the efficient frontier is objective and the choice of the best CAL is subjective.
the determination of the best risky portfolio is objective and the choice of the best complete portfolio is subjective.
the choice of the best complete portfolio is objective and the determination of the best risky portfolio is objective
The standard deviation of a two-asset portfolio is a linear function of the assets' weights when
the assets have a correlation coefficient less than one.
the assets have a correlation coefficient equal to one.
the assets have a correlation coefficient equal to zero.
the assets have a correlation coefficient greater than zero.
the assets have a correlation coefficient less than zero
The unsystematic risk of a specific security
cannot be diversified away.
results from factors unique to the firm.
depends on market volatility.
is likely to be higher in an increasing market.
is likely to be lower in a decreasing market.
When two risky securities that are positively correlated but not perfectly correlated are held in a portfolio,
the portfolio standard deviation will always be equal to the securities' covariance.
both the portfolio standard deviation will be greater than the weighted average of the individual security standard deviations and it will always be equal to the securities' covariance .
the portfolio standard deviation will be equal to the weighted average of the individual security standard deviations.
the portfolio standard deviation will be greater than the weighted average of the individual security standard deviations.
the portfolio standard deviation will be less than the weighted average of the individual security standard deviations.
Which of the following statement(s) is (are) true regarding the selection of a portfolio from those that lie on the Capital Allocation Line?
Less risk-averse investors will invest more in the risk-free security and less in the optimal risky portfolio than more risk-averse investors.
Investors choose the portfolio that maximizes their expected utility.
Less risk-averse investors will invest more in the risk-free security and less in the optimal risky portfolio than more risk-averse investors and investors will choose the portfolio that maximizes their expected utility.
More risk-averse investors will invest less in the optimal risky portfolio and more in the risk-free security than less risk-averse investors and investors will choose the portfolio that maximizes their expected utility.
More risk-averse investors will invest less in the optimal risky portfolio and more in the risk-free security than less risk-averse investors.
Which of the following statements is (are) true regarding the variance of a portfolio of two risky securities?
There is a linear relationship between the securities' coefficient of correlation and the portfolio variance.
The higher the coefficient of correlation between securities, the greater the reduction in the portfolio variance and there is a linear relationship between the securities' coefficient of correlation and the portfolio variance.
The degree to which the portfolio variance is reduced depends on the degree of correlation between securities.
The higher the coefficient of correlation between securities, the greater the reduction in the portfolio variance.
The higher the coefficient of correlation between securities, the greater the reduction in the portfolio variance and the degree to which the portfolio variance is reduced depends on the degree of correlation between securities.
Which one of the following portfolios cannot lie on the efficient frontier as described by Markowitz?
Portfolio | Expected Return | Standard Deviation |
W | 9% | 21% |
X | 5% | 7% |
Y | 15% | 36% |
Z | 12% | 15% |
Only portfolio X cannot lie on the efficient frontier.
Only portfolio W cannot lie on the efficient frontier.
Only portfolio Y cannot lie on the efficient frontier.
Cannot tell from the information given.
Only portfolio Z cannot lie on the efficient frontier.
Which one of the following portfolios cannot lie on the efficient frontier as described by Markowitz?
Portfolio | Expected Return | Standard Deviation |
A | 10% | 12% |
B | 5% | 7% |
C | 15% | 20% |
D | 12% | 25% |
Only portfolio D cannot lie on the efficient frontier.
Only portfolio A cannot lie on the efficient frontier.
Cannot tell from the information given.
Only portfolio B cannot lie on the efficient frontier.
Only portfolio C cannot lie on the efficient frontier.
Which statement about portfolio diversification is correct?
The risk-reducing benefits of diversification do not occur meaningfully until at least 50-60 individual securities have been purchased.
Proper diversification can eliminate systematic risk.
Typically, as more securities are added to a portfolio, total risk would be expected to decrease at a decreasing rate.
Proper diversification can eliminate systematic risk and increase return.
Because diversification reduces a portfolio's total risk, it necessarily reduces the portfolio's expected return
A security has an expected rate of return of 0.10 and a beta of 1.1. The market expected rate of return is 0.08 and the risk-free rate is 0.05. The alpha of the stock is
8.3%.
1.7%
-1.7%.
-5.5%.
5.5%
A security has an expected rate of return of 0.13 and a beta of 2.1. The market expected rate of return is 0.09 and the risk-free rate is 0.045. The alpha of the stock is
-0.95%.
-1.7%.
5.5%.
4.4%.
8.3%
According to the Capital Asset Pricing Model (CAPM) a well diversified portfolio's rate of return is a function of
unsystematic risk.
interest rate risk.
market risk.
reinvestment risk.
unique risk.
A 10% coupon bond, annual payments, 10 years to maturity is callable in 3 years at a call price of \$1,100. If the bond is selling today for \$975, the yield to call is
None of these is correct.
10.00%
10.26%
9.25%
13.98%
A convertible bond has a par value of \$1,000 and a current market price of \$850. The current price of the issuing firm's stock is \$29 and the conversion ratio is 30 shares. The bond's market conversion value is______.
None of these is correct.
\$729
\$870
\$1,000
\$810
A coupon bond is reported as having an ask price of 108% of the
\$1,000 par value in the Wall Street Journal. If the last interest payment was made one month ago and the coupon rate is 9%, the invoice price of the bond will be_____.
\$1,110.10
None of these is correct.
\$1,160.25
\$1,087.50
\$1,150.00
A coupon bond that pays interest of \$100 annually has a par value of
\$1,000, matures in 5 years, and is selling today at a \$72 discount from par value. The yield to maturity on this bond is______.
6.00%
8.33%
12.00%
60.00%
None of these is correct.
A Treasury bill with a par value of \$100,000 due one month from now is selling today for \$99,010. The effective annual yield is .
12.62%
12.68%
12.40%
12.55%
None of these is correct
A Treasury bond due in one year has a yield of 5.7%; a Treasury bond due in 5 years has a yield of 6.2%. A bond issued by Ford Motor Company due in 5 years has a yield of 7.5%; a bond issued by Shell Oil due in one year has a yield of 6.5%. The default risk premiums on the bonds issued by Shell and Ford, respectively, are
1.0% and 1.2%
0.7% and 1.5%
0.8% and 1.3%
None of these is correct.
1.2% and 1.0%
An 8% coupon U. S. Treasury note pays interest on May 30 and November 30 and is traded for settlement on August 15. The accrued interest on the \$100,000 face value of this note is______.
\$1,661.20
\$983.61
\$491.80
None of these is correct.
\$800.00