金融工程相關(guān)習題及答案

1、Chapter1MarketOrganizationandStructurePRACTICEPROBLEMSFORCHAPTER1AkihikoTakabehasdesignedasophisticatedforecastingmodel,whichpredictsthemovementsintheoverallstockmarket,inthehopeofearningareturninexcessofafairreturnfortheriskinvolved.Heusesthepredictionsofthemodeltodecidewhethertobuy,hold,orsellthes

2、haresofanindexfundthataimstoreplicatethemovementsofthestockmarket.Takabewouldbestbecharacterizedasa(n):A.hedger.B.investor.C.information-motivatedtrader.JamesBeachisyoungandhassubstantialwealth.Asignificantproportionofhisstockportfolioconsistsofemergingmarketstocksthatofferrelativelyhighexpectedretu

3、rnsatthecostofrelativelyhighrisk.Beachbelievesthatinvestmentinemergingmarketstocksisappropriateforhimgivenhisabilityandwillingnesstotakerisk.WhichofthefollowinglabelsmostappropriatelydescribesBeach?Hedger.Investor.Information-motivatedtrader.LisaSmithownsamanufacturingcompanyintheUnitedStates.Hercom

4、panyhassoldgoodstoacustomerinBrazilandwillbepaidinBrazilianreal(BRL)inthreemonths.SmithisconcernedaboutthepossibilityoftheBRLdepreciatingmorethanexpectedagainstthe.dollar(USD).Therefore,sheisplanningtosellthree-monthfuturescontractsontheBRL.ThesellerofsuchcontractsgenerallygainswhentheBRLdepreciates

5、againsttheUSD.IfSmithweretosellthesefuturecontracts,shewouldmostappropriatelybedescribedasa(n):hedger./rmation-motivatedtrader.Whichofthefollowingisnotafunctionofthefinancialsystem?Toregulatearbitrageursprofits(excessreturns).Tohelptheeconomyachieveallocationalefficiency.Tofacilitatebor

6、rowingbybusinessestofundcurrentoperations.Aninvestorprimarilyinvestsinstocksofpubliclytradedcompanies.Theinvestorwantstoincreasethediversificationofhisportfolio.Afriendhasrecommendedinvestinginrealestateproperties.Thepurchaseofrealestatewouldbestbecharacterizedasatransactioninthe:derivativeinvestmen

7、tmarket.traditionalinvestmentmarket. TOC o 1-5 h z alternativeinvestmentmarket./6.Ahedgefundholdsitsexcesscashin90-daycommercialpaperandnegotiablecertificatesofdeposit.Thecashmanagementpolicyofthehedgefundisbestdescribedasusing:/ermediate-termdebtin

8、struments.Anoilandgasexplorationandproductioncompanyannouncesthatitisoffering30millionsharestothepublicat$each.Thistransactionismostlikelyasaleinthe:A.futuresmarket.primarymarket.secondarymarket.Consideramutualfundthatinvestsprimarilyinfixed-incomesecuritiesthathavebeendeterminedtobeappropriategiven

9、thefundsinvestmentgoal.Whichofthefollowingisleastlikelytobeapartofthisfund?Warrants.Commercialpaper.Repurchaseagreements.Afriendhasaskedyoutoexplainthedifferencesbetweenopen-endandclosed-endfunds.Whichofthefollowingwillyoumostlikelyincludeinyourexplanation?Closed-endfundsareunavailabletonewinvestors

10、.Wheninvestorssellthesharesofanopen-endfund,theycanreceiveadiscountorapremiumtothefundsnetassetvalue.Whensellingshares,investorsinanopen-endfundsellthesharesbacktothefundwhereasinvestorsinaclosed-endfundsellthesharestoothersinthesecondarymarket.Theusefulnessofaforwardcontractislimitedbysomeproblems.

11、Whichofthefollowingismostlikelyoneofthoseproblems?Onceyouhaveenteredintoaforwardcontract,itisdifficulttoexitfromthecontract.Enteringintoaforwardcontractrequiresthelongpartytodepositaninitialamountwiththeshortparty./Ifthepriceoftheunderlyingassetmovesadverselyfromtheperspectiveofthelongparty,periodic

12、paymentsmustbemadetotheshortparty.TonyHarrisisplanningtostarttradingincommodities.Hehasheardabouttheuseoffuturescontractsoncommoditiesandislearningmoreaboutthem.WhichofthefollowingisHarrisleastlikelytofindassociatedwithafuturescontract?Existenceofcounterpartyrisk.Standardizedcontractualterms./Paymen

13、tofaninitialmargintoenterintoacontract.AGermancompanythatexportsmachineryisexpectingtoreceive$10millioninthreemonths.Thefirmconvertsallitsforeigncurrencyreceiptsintoeuros.Thechieffinancialofficerofthecompanywishestolockinaminimumfixedrateforconvertingthe$10milliontoeurobutalsowantstokeeptheflexibili

14、tytousethefuturespotrateifitisfavorable.Whathedgingtransactionismostlikelytoachievethisobjective?Sellingdollarsforward.Buyingputoptionsonthedollar.Sellingfuturescontractsondollars.13.Abookpublisherrequiressubstantialquantitiesofpaper.Thepublisherandapaperproducerhaveenteredintoanagreementforthepubli

15、shertobuyandtheproducertosupplyagivenquantityofpaperfourmonthslateratapriceagreedupontoday.Thisagreementisa:modityswap.TheStandard&PoorsDeposiceiptReSPDRs)isaninvestmentthattrackstheS&P500stockmarketindex.PurchasesandsalesofSPDRsduringanaveragetradingdayarebestdescribedas:primarymarkettransactionsin

16、apooledinvestment.secondarymarkettransactionsinapooledinvestment.secondarymarkettransactionsinanactivelymanagedinvestment.TheStandard&PoorsDepositaryReceipts(SPDRs)isanexchdengeundintheUnitedStatesthatisdesignedtotracktheS&P500stockmarketindex.ThecurrentpriceofashareofSPDRsis$113.Atraderhasjustbough

17、tcalloptionsonsharesofSPDRsforapremiumof$3pershare.Thecalloptionsexpireinfivemonthsandhaveanexercisepriceof$120pershare.Ontheexpirationdate,thetraderwillexercisethecalloptions(ignoreanytransactioncosts)ifandonlyifthesharesofSPDRsaretrading: TOC o 1-5 h z below$120pershare./above$120pershare./above$1

18、23pershare./Whichofthefollowingstatementsaboutexchange-tradedfundsismostcorrect?A.Exchange-tradedfundsarenotbackedbyanyassets.Theinvestmentcompaniesthatcreateexchange-tradedfundsarefinancialintermediaries.Thetransactioncostsoftradingsharesofexchange-tradedfundsaresubstantiallygreaterthanthecombinedc

19、ostsoftradingtheunderlyingassetsofthefund.JasonSchmidtworksforahedgefundandhespecializesinfindingprofitopportunitiesthataretheresultofinefficienciesinthemarketforconvertiblebondsbondsthatcanbeconvertedint(apredeterminedamountofacompanyscommonstock.Schmidttriestofindconvertiblesthatarepricedinefficie

20、ntlyrelativetotheunderlyingstock.Thetradingstrategyinvolvesthesimultaneouspurchaseoftheconvertiblebondandtheshortsaleoftheunderlyingcommonstock.Theaboveprocesscouldbestbedescribedas:hedging.arbitrage.securitization.18.Pierre-LouisRobertjustpurchasedacalloptiononsharesoftheMichelinGroup.Afewdaysagohe

21、wroteaputoptiononMichelinshares.Thecallandputoptionshavethesameexerciseprice,expirationdate,andnumberofsharesunderlying.Consideringbothpositions,RobertsexposuretotheriskofthestockoftheMichelinGroupis:long.short.neutral.19.Anonlinebrokeragefirmhassettheminimummarginrequirementat55percent.Whatisthemax

22、imumleverageratioassociatedwithapositionfinancedbythisminimummarginrequirement?1.55.Atraderhaspurchased200sharesofanon-dividend-payingfirmonmarginatapriceof$50pershare.Theleverageratiois.Sixmonthslater,thetradersellsthesesharesat$60pershare.Ignoringtheinterestpaidontheborrowedamountandthetransaction

23、costs,whatwasthereturntothetraderduringthesix-monthperiod?20percent./percent.50percent./JasonWilliamspurchased500sharesofacompanyat$32pershare.Thestockwasboughton75percentmargin.Onemonthlater,Williamshadtopayinterestontheamountborrowedatarateof2percentpermonth.Atthattime,Williamsreceivedadividendof$

24、pershare.Immediatelyafterthathesoldthesharesat$28pershare.Hepaidcommissionsof$10onthepurchaseand$10onthesaleofthestock.Whatwastherateofreturnonthisinvestmentfortheone-monthperiod?-percent.-percent.-percent.CarolineRogersbelievesthepriceofGammaCorp.stockwillgodowninthenearfuture.Shehasdecidedtosellsh

25、ort200sharesofGammaCorp.atthecurrentmarketpriceof?47.Theinitialmarginrequirementis40percent.WhichofthefollowingisanappropriatestatementregardingthemarginrequirementthatRogersissubjecttoonthisshortsale?Shewillneedtocontribute?3,760asmargin.Shewillneedtocontribute?5,640asmargin.Shewillonlyneedtoleavet

26、heproceedsfromtheshortsaleasdepositanddoesnotneedtocontributeanyadditionalfunds.Thecurrentpriceofastockis$25pershare.Youhave$10,000toinvest.Youborrowanadditional$10,000fromyourbrokerandinvest$20,000inthestock.Ifthemaintenancemarginis30percent,atwhatpricewillamargincallfirstoccur?$.$.$.24.Youhaveplac

27、edasellmarket-on-openorderamarketorderthatwouldautomaticallybesubmittedatthemarketsopentomorrowandwouldfillatthemarketprice.Yourinstruction,tosellthesharesatthemarketopen,isa(n):A.executioninstruction.validityinstruction.clearinginstruction.25.Amarkethasthefollowinglimitordersstandingonitsbookforapa

28、rticularstock.Thebidandasksizesarenumberofsharesinhundreds.BldSizeLirtihPrice僮)OfferSize/ TOC o 1-5 h z 59.73L29.8149.84699510.02510401210.148Whatisthemarket?bid,offeredat.bid,offeredat.bid,offeredat.26.Considerthefollowinglimitorderbookforastock.ThebidandasksizesarenumberofsharesinhundredsBidSizLim

29、itPrice()OfferSbze38123.00 TOC o 1-5 h z 412335123.807124.106124.507Anewbuylimitorderisplacedfor300sharesat.Thislimitordevissaidto:takethemarket.makethemarket.makeanewmarket.Currently,themarketinastockis$bid,offeredat$.Anewselllimitorderisplacedat$.Thislimitorderissaidto:takethemarket.makethemarket.

30、makeanewmarket.JimWhitehassoldshort100sharesofSuperStoresatapriceof$42pershare.Hehasalsosimultaneouslyplacedagood-till-cancelled,stop50,limit55buyorder.AssumethatifthestopconditionspecifiedbyWhiteissatisfiedandtheorderbecomesvalid,itwillgetexecuted.Excludingtransactioncosts,whatisthemaximumpossiblel

31、ossthatWhitecanhave?$800.$1,300.Unlimited.29.Youownsharesofacompanythatarecurrentlytradingat$30ashare.Yourtechnicalanalysisofthesharesindicatesasupportlevelof$.Thatis,ifthepriceofthesharesisgoingdown,itismorelikelytostayabovethislevelratherthanfallbelowit.Ifthepricedoesfallbelowthislevel,however,you

32、believethatthepricemaycontinuetodecline.Youhavenoimmediateintenttosellthesharesbutareconcernedaboutthepossibilityofahugelossifthesharepricedeclinesbelowthesupportlevel.Whichofthefollowingtypesoforderscouldyouplacetomostappropriatelyaddressyourconcern?Shortsellorder.Good-till-cancelledstopsellorder.G

33、ood-till-cancelledstopbuyorder.30.Inanunderwrittenoffering,theriskthattheentireissuemaynotbesoldtothepublicatthestipulatedofferingpriceisbornebythe:A.issuer./investmentbank.buyersofthepartoftheissuethatissold.31.ABritishcompanylistedontheAlternativeInvestmentMarketoftheLondonStockExchange,announcedt

34、hesaleof6,686,665sharestoasmallgroupofqualifiedinvestorsatper:share.Whichofthefollowingbestdescribesthissale?Shelfregistration.Privateplacement.Initialpublicoffering.32.AGermanpubliclytradedcompany,toraisenewcapital,gaveitsexistingshareholderstheopportunitytosubscribefornewshares.Theexistingsharehol

35、derscouldpurchasetwonewsharesatasubscriptionpriceofpershareforevery15sharesheld.Thisisanexampleofa(n):A.rightsoffering.privateplacement.initialpublicoffering.Consideranorder-drivensystemthatallowshiddenorders.Thefollowingfoursellordersonaparticularstockarecurrentlyinthesystemslimitorderbook.Basedont

36、hecommonlyusedorderprecedencehierarchy,whichoftheseorderswillhaveprecedenceoverothers?OrderTimeofArrivatHHiMMzSS)LimitPrice博SpecialInstruction(Ifiny)19:52:0120,33IL9:52:0820.29Hiddenorder1119:53:0420.29IV9:53:4920.29A.OrderI(timeofarrivalof9:52:01).B.OrderII(timeofarrivalof9:52:08).C.OrderIII(timeof

37、arrivalof9:53:04)ZhenhuLihassubmittedanimmediate-or-cancelbuyorderfor500sharesofacompanyatalimitpriceofCNY.Therearetwoselllimitordersstandinginthatstocksorderbookatthattime.Oneisfor300sharesatalimitpriceofCNYandtheotherisfor400sharesatalimitpriceofCNY.HowmanysharesinLisorderwouldgetcancelled?/None(t

38、heorderwouldremainopenbutunfilled).200(300shareswouldgetfilled).500(therewouldbenofill).35.Amarkethasthefollowinglimitordersstandingonitsbookforaparticularstock:SidSiieOfferSizeBuyerNumberofShares)LimitPrice()(NumberofShares)SellerKeithLOCOPau200Arn4flOMary30019.7019.8419朋20.0210-03&0CJad20.1L1J00Ma

39、rgaret20.16400JeffIansubmitsadayordertosell1,000shares,limit.AssumingthatnomorebuyordersaresubmittedonthatdayafterIansubmitshisorder,whatwouldbeIansaveragetradeprice?Afinancialanalystisexaminingwhetheracountrysfinancialmarketiswellfunctioning.Shefindsthatthetransactioncostsinthismarketarelowandtradi

40、ngvolumesarehigh.Sheconcludesthatthemarketisquiteliquid.Insuchamarket:A.traderswillfindithardtomakeuseoftheirinformation.traderswillfinditeasytotradeandtheirtradingwillmakethemarketlessinformationallyefficient.traderswillfinditeasytotradeandtheirtradingwillmakethemarketmoreinformationallyefficient.T

41、hegovernmentofacountrywhosefinancialmarketsareinanearlystageofdevelopmenthashiredyouasaconsultantonfinancialmarketregulation.Yourfirsttaskistopreparealistoftheobjectivesofmarketregulation.Whichofthefollowingisleastlikelytobeincludedinthislistofobjectives?Minimizeagencyproblemsinthefinancialmarkets.E

42、nsurethatfinancialmarketsarefairandorderly.Ensurethatinvestorsinthestockmarketachievearateofreturnthatisatleastequaltotherisk-freerateofreturn.Chapter2PortfolioManagement:AnOverviewPRACTICEPROBLEMSFORCHAPTER2Investorsshoulduseaportfolioapproachto:reducerisk.monitorrisk.eliminaterisk.Whichofthefollow

43、ingisthebestreasonforaninvestortobeconcernedwiththecompositionofaportfolio?Riskreduction.Downsideriskprotection.Avoidanceofinvestmentdisasters.Withrespecttotheformationofportfolios,whichofthefollowingstatementsismostaccurate?Portfoliosaffectrisklessthanreturns.Portfoliosaffectriskmorethanreturns.Por

44、tfoliosaffectriskandreturnsequally.Whichofthefollowinginstitutionswillonaveragehavethegreatestneedforliquidity?Banks.Investmentcompanies.Non-lifeinsurancecompanies.Whichofthefollowinginstitutionalinvestorswillmostlikelyhavethelongesttimehorizon?/Definedbenefitplan.Universityendowment.Lifeinsuranceco

45、mpany.Adefinedbenefitplanwithalargenumberofretireesislikelytohaveahighneedfor TOC o 1-5 h z income.x/liquidity./insurance./Whichofthefollowinginstitutionalinvestorsismostlikelytomanageinvestmentsinmutualfunds?A.Insurancecompanies.Investmentcompanies. TOC o 1-5 h z Universityendowments./Withrespectto

46、theportfoliomanagementprocess,theassetallocationisdeterminedinthe:planningstep./、feedbackstep./executionstepTheplanningstepoftheportfoliomanagementprocessisleastlikelytoincludeanassessmentoftheclientssecurities.constraints.risktolerance.10.Withrespecttotheportfoliomanagementprocess,therebalancingofa

47、portfolioscompositionismostlikelytooccurinthe:planningstep.feedbackstep.executionstep.11.Ananalystgathersthefollowinginformationfortheassetallocationsofthreeportfolios:PortfolioFixedIncomeEquky(%)Alternttlvt!Assets(由)125601526025153156。25Whichoftheportfoliosismostlikelyappropriateforaclientwhohasahi

48、ghdegreeofrisktolerance?Portfolio1.Portfolio2.Portfolio3.Whichofthefollowinginvestmentproductsismostlikelytotradeattheirnetassetvaluepershare? TOC o 1-5 h z Exchangetradedfunds./Open-endmutualfunds./Closed-endmutualfunds./Whichofthefollowingfinancialproductsisleastlikelytohaveacapitalgaindistributio

49、n?Exchangetradedfunds.Open-endmutualfunds.Closed-endmutualfunds.Whichofthefollowingformsofpooledinvestmentsissubjecttotheleastamountofregulation?Hedgefunds./Exchangetradedfunds.Closed-endmutualfunds.Whichofthefollowingpooledinvestmentsismostlikelycharacterizedbyafewlargeinvestments?Hedgefunds.Buyout

50、funds.Venturecapitalfunds.Chapter3PortfolioRiskandReturn:PartIPRACTICEPROBLEMSFORCHAPTER31.Aninvestorpurchased100sharesofastockfor$pershareatthebeginningofthequarter.Iftheinvestorsoldallofthesharesfor$pershareafterreceivinga$dividendpaymentattheendofthequarter,theholdingperiodreturnisclosestto:A.-%.

51、-%.-%.Ananalystobtainsthefollowingannualratesofreturnforamutualfund:Thefundsholdingperiodreturnoverthethree-yearperiodisclosestto:A.0.18%.%.%.Ananalystobservesthefollowingannualratesofreturnforahedgefund:YearReturn(%) TOC o 1-5 h z 200s222009-252C1011Thehedgefundsannualgeometricmeanreturnisclosestto

52、:0.52%.%.%.Whichofthefollowingreturncalculatingmethodsisbestforevaluatingtheannualizedreturnsofabuy-and-holdstrategyofaninvestorwhohasmadeannualdepositstoanaccountforeachofthelastfiveyears?Geometricmeanreturn.Arithmeticmeanreturn.Money-weightedreturn.5.Aninvestorevaluatingthereturnsofthreerecentlyfo

53、rmedexchange-tradedfundsgathersthefollowinginformation:ETFTimeSEnceInceptionReturnSincetnception(%)1146days4.6125weeks1.10315months1435TheETFwiththehighestannualizedrateofreturnis:ETF1.ETF2.ETF3.6.Withrespecttocapitalmarkettheory,whichofthefollowingassetcharacteristicsisleastlikelytoimpactthevarianc

54、eofaninvestorsequallyweightedportfolio?Returnontheasset.Standarddeviationoftheasset.Covariancesoftheassetwiththeotherassetsintheportfolio.7.Aportfoliomanagercreatesthefollowingportfolio:SecuritySecurEtyWeight(%)ExpectedStandardDeviation(%)I302027012Ifthecorrelationofreturnsbetweenthetwosecuritiesis,

55、theexpectedstandarddeviationoftheportfolioisclosestto:10.7%.%.%.Aportfoliomanagercreatesthefollowingportfolio:ExpectedSecuritySecurityWeight(%)StandardDeviation(%)30207012Ifthecovarianceofreturnsbetweenthetwosecuritiesis-,theexpectedstandarddeviationoftheportfolioisclosestto:2.4%.%.%.Thefollowinginf

56、ormationrelatestoQuestions9-10Aportfoliomanagercreatesthefollowingportfolio:Ifthestandarddeviationoftheportfoliois%,thecorrelationbetweenthetwosecuritiesisequalto:A.-.Ifthestandarddeviationoftheportfoliois%,thecovariancebetweenthetwosecuritiesisequalto:0.0006.ThefollowinginformationrelatestoQuestion

57、s11-14Ananalystobservesthefollowinghistoricgeometricreturns:AssetClassGeametrkReturnt%) TOC o 1-5 h z Equities8.0CorporateBonds6.5TreasurybULsInflation2.1.Therealrateofreturnforequitiesisclosestto:5.4%.%.%.Therealrateofreturnforcorporatebondsisclosestto:4.3%.%.%.Theriskpremiumforequitiesisclosestto:

58、5.4%.%.%.Theriskpremiumforcorporatebondsisclosestto:3.5%.%.%.Withrespecttotradingcosts,liquidityisleastlikelytoimpactthe:stockprice.bid-askspreads.brokeragecommissions.Evidenceofriskaversionisbest川ustratedbyarisk-returnrelationshipthatis:negative.neutral.positive.Withrespecttorisk-averseinvestors,ar

59、isk-freeassetwillgenerateanumericalutilitythatis:thesameforallindividuals.positiveforrisk-averseinvestors.equaltozeroforriskseekinginvestorsWithrespecttoutilitytheory,themostrisk-averseinvestorwillhaveanindifferencecurvewiththe:mostconvexity.smallestinterceptvalue.greatestslopecoefficient.12Withresp

60、ecttoaninvestorsutilityfunctionexpressedasu=E(r)-萬A,whichofthefollowingvaluesforthemeasureforriskaversionhastheleastamountofriskaversion?-4.0.4.ThefollowinginformationrelatestoQuestions20-23Afinancialplannerhascreatedthefollowingdatatoillustratetheapplicationofutilitytheorytoportfolioselection:/Inve