投資組合習(xí)題5-8

投資組合習(xí)題1.Overthepastyearyouearnedanominalrateofinterestof10percentonyourmoney.Theinflationratewas5percentoverthesameperiod.Theexactactualgrowthrateofyourpurchasingpowerwas A)15.5%.B)10.0%. C)5.0%.D)4.8%.E)15.0%Answer:DDifficulty:ModerateRationale:r=(1+R)/(1+I)-1;1.10%/1.5%-1=4.8%.Chapter52.Ayearago,youinvested$1,000inasavingsaccountthatpaysanannualinterestrateof7%.Whatisyourapproximateannualrealrateofreturniftherateofinflationwas3%overtheyear? A)4%.B)10%. C)7%.D)3%. E)noneoftheabove.Answer:ADifficulty:EasyRationale:7%-3%=4%.Chapter53.Youpurchasedashareofstockfor$20.Oneyearlateryoureceived$1asdividendandsoldthesharefor$29.Whatwasyourholdingperiodreturn? A)45%B)50% C)5%D)40% E)noneoftheaboveAnswer:BDifficulty:ModerateRationale:($1+$29-$20)/$20=0.5000,or50%.Chapter5Usethefollowingtoanswerquestions4-6:YouhavebeengiventhisprobabilitydistributionfortheholdingperiodreturnforKMPstock:Chapter54.WhatistheexpectedholdingperiodreturnforKMPstock? A)10.40%B)9.32% C)11.63%D)11.54% E)10.88%

Answer:ADifficulty:ModerateRationale:HPR=.30(18%)+.50(12%)+.20(-5%)=10.4%Chapter55.WhatistheexpectedstandarddeviationforKMPstock? A)6.91%B)8.13% C)7.79%D)7.25% E)8.85%

Answer:BDifficulty:DifficultRationale:s=[.30(18-10.4)2+.50(12-10.4)2+.20(-5-10.4)2]1/2=8.13%Chapter56.WhatistheexpectedvarianceforKMPstock? A)66.04%B)69.96% C)77.04%D)63.72% E)78.45%

Answer:ADifficulty:DifficultRationale:s=[.30(18-10.4)2+.50(12-10.4)2+.20(-5-10.4)2]=66.04%Chapter57.YoupurchaseashareofBoeingstockfor$90.Oneyearlater,afterreceivingadividendof$3,yousellthestockfor$92.Whatwasyourholdingperiodreturn? A)4.44%B)2.22% C)3.33%D)5.56% E)noneoftheabove

Answer:DDifficulty:ModerateRationale:HPR=(92-90+3)/90=5.56%Chapter58.Toyotastockhasthefollowingprobabilitydistributionofexpectedpricesoneyearfromnow:IfyoubuyToyotatodayfor$55anditwillpayadividendduringtheyearof$4pershare,whatisyourexpectedholdingperiodreturnonToyota? A)17.72%B)18.89% C)17.91%D)18.18% E)Noneoftheabove

Answer:DDifficulty:DifficultRationale:E(P1)=.25(54/55-1)+.40(64/55-1)+.35(74/55-1)=18.18%.Chapter51.Tomaximizeherexpectedutility,shewouldchoosetheassetwithanexpectedrateofreturnof_______andastandarddeviationof________,respectively. A)12%;20%B)10%;15% C)10%;10%D)8%;10% E)noneoftheabove

Answer:CDifficulty:ModerateRationale:U=0.10-3/2(0.10)2=8.5%;highestutilityofchoices.Usethefollowingtoanswerquestions1-2:Assumeaninvestorwiththefollowingutilityfunction:U=E(r)-3/2(s2).Chapter62.Tomaximizeherexpectedutility,whichoneofthefollowinginvestmentalternativeswouldshechoose?A)Aportfoliothatpays10percentwitha60percentprobabilityor5percentwith40percentprobability.B)Aportfoliothatpays10percentwith40percentprobabilityor5percentwitha60percentprobability.C)Aportfoliothatpays12percentwith60percentprobabilityor5percentwith40percentprobability.D)Aportfoliothatpays12percentwith40percentprobabilityor5percentwith60percentprobability.E)noneoftheabove.

Answer:CDifficulty:DifficultRationale:U(c)=9.02%;highestutilityofpossibilities.Usethefollowingtoanswerquestions1-2:Assumeaninvestorwiththefollowingutilityfunction:U=E(r)-3/2(s2).Chapter63.Aninvestorinvests30percentofhiswealthinariskyassetwithanexpectedrateofreturnof0.15andavarianceof0.04and70percentinaT-billthatpays6percent.Hisportfolio'sexpectedreturnandstandarddeviationare__________

and__________,respectively. A)0.114;0.12B)0.087;0.06 C)0.295;0.12D)0.087;0.12 E)noneoftheabove

Answer:BDifficulty:ModerateRationale:E(rP)=0.3(15%)+0.7(6%)=8.7%;sP=0.3(0.04)1/2=6%.Chapter64.Whatpercentagesofyourmoneymustbeinvestedintheriskyassetandtherisk-freeasset,respectively,toformaportfoliowithanexpectedreturnof0.09? A)85%and15%B)75%and25% C)67%and33%D)57%and43% E)cannotbedetermined

Answer:DDifficulty:ModerateRationale:9%=w1(12%)+(1-w1)(5%);9%=12%w1+5%-5%w1;4%=7%w1;w1=0.57;1-w1=0.43;0.57(12%)+0.43(5%)=8.99%.Usethefollowingtoanswerquestions4-7:Youinvest$100inariskyassetwithanexpectedrateofreturnof0.12andastandarddeviationof0.15andaT-billwitharateofreturnof0.05.Chapter65.Whatpercentagesofyourmoneymustbeinvestedintherisk-freeassetandtheriskyasset,respectively,toformaportfoliowithastandarddeviationof0.06? A)30%and70%B)50%and50% C)60%and40%D)40%and60% E)cannotbedetermined

Answer:CDifficulty:ModerateRationale:0.06=x(0.15);x=40%inriskyasset.Usethefollowingtoanswerquestions4-7

:Youinvest$100inariskyassetwithanexpectedrateofreturnof0.12andastandarddeviationof0.15andaT-billwitharateofreturnof0.05.Chapter66.Aportfoliothathasanexpectedoutcomeof$115isformedbyA)investing$100intheriskyasset.B)investing$80intheriskyassetand$20intherisk-freeasset.C)borrowing$43attherisk-freerateandinvestingthetotalamount($143)intheriskyasset.D)investing$43intheriskyassetand$57intherisklessasset.E)Suchaportfoliocannotbeformed.

Answer:CDifficulty:DifficultRationale:For$100,(115-100)/100=15%;.15=w1(.12)+(1-w1)(.05);.15=.12w1+.05-.05w1;0.10=0.07w1;w1=1.43($100)=$143;(1-w1)$100=-$43.Usethefollowingtoanswerquestions4-7

:Youinvest$100inariskyassetwithanexpectedrateofreturnof0.12andastandarddeviationof0.15andaT-billwitharateofreturnof0.05.Chapter67.TheslopeoftheCapitalAllocationLineformedwiththeriskyassetandtherisk-freeassetisequalto A)0.4667.B)0.8000. C)2.14.D)0.41667. E)Cannotbedetermined.Answer:ADifficulty:ModerateRationale:(0.12-0.05)/0.15=0.4667.Usethefollowingtoanswerquestions4-7

:Youinvest$100inariskyassetwithanexpectedrateofreturnof0.12andastandarddeviationof0.15andaT-billwitharateofreturnof0.05.Chapter68.WhatistheexpectedreturnonBo'scompleteportfolio? A)10.32%B)5.28% C)9.62%D)8.44% E)7.58%Answer:ADifficulty:EasyRationale:E(rC)=.8*12.00%+.2*3.6%=10.32%Usethefollowingtoanswerquestions8-11:Yourclient,BoRegard,holdsacompleteportfoliothatconsistsofaportfolioofriskyassets(P)andT-Bills.Theinformationbelowreferstotheseassets.Chapter69.WhatisthestandarddeviationofBo'scompleteportfolio? A)7.20%B)5.40% C)6.92%D)4.98% E)5.76%

Answer:EDifficulty:EasyRationale:Std.Dev.ofC=.8*7.20%=5.76%Usethefollowingtoanswerquestions8-11

:Yourclient,BoRegard,holdsacompleteportfoliothatconsistsofaportfolioofriskyassets(P)andT-Bills.Theinformationbelowreferstotheseassets.Chapter610.WhatistheequationofBo'sCapitalAllocationLine?A)E(rC)=7.2+3.6*StandardDeviationofCB)E(rC)=3.6+1.167*StandardDeviationofCC)E(rC)=3.6+12.0*StandardDeviationofCD)E(rC)=0.2+1.167*StandardDeviationofCE)E(rC)=3.6+0.857*StandardDeviationofC

Answer:BDifficulty:ModerateRationale:Theinterceptistherisk-freerate(3.60%)andtheslopeis(12.00%-3.60%)/7.20%=1.167.Usethefollowingtoanswerquestions8-11

:Yourclient,BoRegard,holdsacompleteportfoliothatconsistsofaportfolioofriskyassets(P)andT-Bills.Theinformationbelowreferstotheseassets.Chapter611.WhataretheproportionsofStocksA,B,andC,respectivelyinBo'scompleteportfolio?A)40%,25%,35%B)8%,5%,7%C)32%,20%,28%D)16%,10%,14%E)20%,12.5%,17.5%

Answer:CDifficulty:ModerateRationale:ProportioninA=.8*40%=32%;proportioninB=.8*25%=20%;proportioninC=.8*35%=28%.Usethefollowingtoanswerquestions8-11

:Yourclient,BoRegard,holdsacompleteportfoliothatconsistsofaportfolioofriskyassets(P)andT-Bills.Theinformationbelowreferstotheseassets.Chapter6Marketriskisalsoreferredtoas A)systematicrisk,diversifiablerisk. B)systematicrisk,nondiversifiablerisk. C)uniquerisk,nondiversifiablerisk. D)uniquerisk,diversifiablerisk. E)noneoftheabove.Answer:BDifficulty:EasyRationale:Market,systematic,andnondiversifiableriskaresynonymsreferringtotheriskthatcannotbeeliminatedfromtheportfolio.Diversifiable,unique,nonsystematic,andfirm-specificrisksaresynonymsreferringtotheriskthatcanbeeliminatedfromtheportfoliobydiversification.Chapter72.Theriskthatcanbediversifiedawayis A)firmspecificrisk. B)beta. C)systematicrisk. D)marketrisk. E)noneoftheabove.

Answer:ADifficulty:EasyRationale:Seeexplanationsfor1and2above.Chapter73.Otherthingsequal,diversificationismosteffectivewhen A)securities'returnsareuncorrelated. B)securities'returnsarepositivelycorrelated. C)securities'returnsarehigh. D)securities'returnsarenegativelycorrelated. E)BandC.

Answer:DDifficulty:ModerateRationale:Negativecorrelationamongsecuritiesresultsinthegreatestreductionofportfoliorisk,whichisthegoalofdiversification.Chapter7Usethefollowingtoanswerquestions4-10:Chapter74.TheexpectedratesofreturnofstocksAandBare_____and_____,respectively. A)13.2%;9%B)14%;10% C)13.2%;7.7%D)7.7%;13.2% E)noneoftheabove

Answer:CDifficulty:EasyRationale:E(RA)=0.1(10%)+0.2(13%)+0.2(12%)+0.3(14%)+0.2(15%)=13.2%;E(RB)=0.1(8%)+0.2(7%)+0.2(6%)+0.3(9%)+0.2(8%)=7.7%.Chapter75.ThestandarddeviationsofstocksAandBare_____and_____,respectively. A)1.5%;1.9%B)2.5%;1.1% C)3.2%;2.0%D)1.5%;1.1% E)noneoftheabove

Answer:DDifficulty:ModerateRationale:sA=[0.1(10%-13.2%)2+0.2(13%-13.2%)2+0.2(12%-13.2%)2+0.3(14%-13.2%)2+0.2(15%-13.2%)2]1/2=1.5%;sB=[0.1(8%-7.7%)2+0.2(7%-7.7%)2+0.2(6%-7.7%)2+0.3(9%-7.7%)2+0.2(8%-7.7%)2=1.1%.Chapter76.ThecoefficientofcorrelationbetweenAandBis

A)0.47.B)0.60. C)0.58D)1.20. E)noneoftheabove.Answer:ADifficulty:DifficultRationale:covA,B=0.1(10%-13.2%)(8%-7.7%)+0.2(13%-13.2%)(7%-7.7%)+0.2(12%-13.2%)(6%-7.7%)+0.3(14%-13.2%)(9%-7.7%)+0.2(15%-13.2%)(8%-7.7%)=0.76;rA,B=0.76/[(1.1)(1.5)]=0.47.Chapter77.Ifyouinvest40%ofyourmoneyinAand60%inB,whatwouldbeyourportfolio'sexpectedrateofreturnandstandarddeviation? A)9.9%;3%B)9.9%;1.1% C)11%;1.1%D)11%;3% E)noneoftheabove

Answer:BDifficulty:DifficultRationale:E(RP)=0.4(13.2%)+0.6(7.7%)=9.9%;sP=[(0.4)2(1.5)2+(0.6)2(1.1)2+2(0.4)(0.6)(1.5)(1.1)(0.46)]1/2=1.1%.Chapter78.LetGbetheglobalminimumvarianceportfolio.TheweightsofAandBinGare__________and__________,respectively. A)0.40;0.60B)0.66;0.34 C)0.34;0.66D)0.76;0.24 E)0.24;0.76

Answer:EDifficulty:DifficultRationale:wA=[(1.1)2-(1.5)(1.1)(0.46)]/[(1.5)2+(1.1)2-(2)(1.5)(1.1)(0.46)=0.23;wB=1-0.23=0.77.Notethattheabovesolutionassumesthesolutionsobtainedinquestion13and14Chapter79.Theexpectedrateofreturnandstandarddeviationoftheglobalminimumvarianceportfolio,G,are__________and__________,respectively. A)10.07%;1.05%B)9.04%;2.03% C)10.07%;3.01%D)9.04%;1.05% E)noneoftheabove

Answer:DDifficulty:ModerateRationale:E(RG)=0.23(13.2%)+0.77(7.7%)=8.97%.9%;sG=[(0.23)2(1.5)2+(0.77)2(1.1)2+(2)(0.23)(0.77)(1.5)(1.1)(0.46)]1/2=1.05%.Chapter710.Whichofthefollowingportfolio(s)is(are)ontheefficientfrontier?A)Theportfoliowith20percentinAand80percentinB.B)Theportfoliowith15percentinAand85percentinB.C)Theportfoliowith26percentinAand74percentinB.D)Theportfoliowith10percentinAand90percentinB.E)AandBarebothontheefficientfrontier.

Answer:CDifficulty:DifficultRationale:ThePortfolio'sE(Rp),sp,Reward/volatilityratiosare20A/80B:8.8%,1.05%,8.38;15A/85B:8.53%,1.06%,8.07;26A/74B:9.13%,1.05%,8.70;10A/90B:8.25%,1.07%,7.73.Theportfoliowith26%inAand74%inBdominatesalloftheotherportfoliosbythemean-variancecriterion.Chapter711.WhichoneofthefollowingportfolioscannotlieontheefficientfrontierasdescribedbyMarkowitz?A)OnlyportfolioWcannotlieontheefficientfrontier.B)OnlyportfolioXcannotlieontheefficientfrontier.C)OnlyportfolioYcannotlieontheefficientfrontier.D)OnlyportfolioZcannotlieontheefficientfrontier.E)Cannottellfromtheinformationgiven.

Answer:ADifficulty:ModerateRationale:Whenplottingtheaboveportfolios,onlyWliesbelowtheefficientfrontierasdescribedbyMarkowitz.IthasahigherstandarddeviationthanZwithalowerexpectedreturn.Chapter712.ThemeasureofriskinaMarkowitzefficientfrontieris: A)specificrisk. B)standarddeviationofreturns. C)reinvestmentrisk. D)beta. E)noneoftheabove.

Answer:BDifficulty:ModerateRationale:Markowitzwasinterestedineliminatingdiversifiablerisk(andthuslesseningtotalrisk)andthuswasinterestedindecreasingthestandarddeviationofthereturnsoftheportfolio.Chapter713.Foratwo-stockportfolio,whatwouldbethepreferredcorrelationcoefficientbetweenthetwostocks? A)+1.00.B)+0.50. C)0.00.D)-1.00. E)noneoftheabove.

Answer:DDifficulty:ModerateRationale:Thecorrelationcoefficientof-1.00providesthegreatestdiversificationbenefits.Chapter714.Givenanoptimalriskyportfoliowithexpectedreturnof14%andstandarddeviationof22%andariskfreerateof6%,whatistheslopeofthebestfeasibleCAL? A)0.64B)0.14 C)0.08D)0.33 E)0.36Answer:EDifficulty:ModerateRationale:Slope=(14-6)/22=.3636Chapter71.Asdiversificationincreases,thetotalvarianceofaportfolioapproaches____________. A)0 B)1 C)thevarianceofthemarketportfolio D)infinity E)noneoftheaboveAnswer:CDifficulty:EasyRationale:Asmoreandmoresecuritiesareaddedtotheportfolio,unsystematicriskdecreasesandmostoftheremainingriskissystematic,asmeasuredbythevarianceofthemarketportfolio.Chapter82.TheinterceptcalculatedbyMerrillLynchintheregressionequationsisequalto A)αintheCAPM B)α+rf(1+β) C)α+rf(1-β) D)1-α E)noneoftheabove

Answer:CDifficulty:ModerateRationale:TheinterceptthatMerrillLynchcallsalphaisreally,usingtheparametersoftheCAPM,anestimateofa+rf(1-b).Theapparentjustificationforthisprocedureisthat,onamonthlybasis,rf(1-b)issmallandisapttobeswampedbythevolatilityofactualstockreturns.Chapter73.Assumethatstockmarketreturnsdonotresembleasingle-indexstructure.Aninvestmentfundanalyzes100stocksinordertoconstructamean-varianceefficientportfolioconstrainedby100investments.Theywillneedtocalculate_____________expectedreturnsand___________variancesofreturns. A)100,100B)100,4950 C)4950,100D)4950,4950 E)noneoftheabove

Answer:ADifficulty:ModerateRationale:Theexpectedreturnsofeachofthe100securitiesmustbecalculated.Inaddition,the100variancesaroundthesereturnsmustbecalculated.Chapter84.Considerthesingle-indexmodel.Thealphaofastockis0%.Thereturnonthemarketindexis16%.Therisk-freerateofreturnis5%.Thestockearnsareturnthatexceedstherisk-freerateby11%andtherearenofirm-specificeventsaffectingthestockperformance.Theβofthestockis_______. A)0.67B)0.75 C)1.0D)1.33E)1.50

Answer:CDifficulty:ModerateRationale:11%=0%+b(11%);b=1.0.Chapter85.Supposeyouheldawell-diversifiedportfoliowithaverylargenumberofsecurities,andthatthesingleindexmodelholds.Iftheóofyourportfoliowas0.20andóMwas0.16,theβoftheportfoliowouldbeapproximately________. A)0.64B)0.80 C)1.25D)1.56 E)noneoftheaboveAnswer:CDifficulty:DifficultRationale:s2p/s2m=b2;(0.2)2/(0.16)2=1.56;b=1.25.Chapter86.TheindexmodelforstockAhasbeenestimatedwiththefollowingresult:RA=0.01+0.9RM+eAIfσM=0.25andR2A=0.25,thestandarddeviationofreturnofstockAis_________. A)0.2025B)0.2500 C)0.4500D)0.8100 E)noneoftheabove

Answer:CDifficulty:DifficultRationale:R2=b2s2M/s2;0.25=[(0.81)(0.25)2]/s2;s=0.4500.Chapter87.Supposeyouforecastthatthemarketindexwillearnareturnof15%inthecomingyear.Treasurybillsareyielding6%.TheunadjustedβofMobilstockis1.30.AreasonableforecastofthereturnonMobilstockforthecomingyearis_________ifyouuseMerrillLynchadjustedbetas. A)15.0%B)15.5% C)16.0%D)16.8% E)noneoftheabove

Answer:DDifficulty:DifficultRationale:Adjustedbeta=2/3(1.3)+1/3=1.20;E(rM)=6%+1.20(9%)=16.8%.Chapter88.TheindexmodelhasbeenestimatedforstocksAandBwiththefollowingresults:RA=0.01+0.8RM+eA RB=0.02+1.2RM+eB

σM=0.20σ(eA)=0.20σ(eB)=0.10ThestandarddeviationforstockAis__________. A)0.0656B)0.0676 C)0.2561D)0.2600 E)noneoftheabove

Answer:CDifficulty:DifficultRationale:σA=[(0.8)2(0.2)2+(0.2)2]1/2=0.2561.Chapter89.Thebetaofastockhasbeenestimatedas1.8byMerrillLynchusingregressionanalysisonasampleofhistoricalreturns.TheMerrillLynchadjustedbetaofthestockwouldbe___________. A)1.20B)1.53 C)1.13D)1.0 E)noneoftheaboveAnswer:BDifficulty:ModerateRationale:Adjustedbeta=2/3samplebeta+1/3(1);=2/3(1.8)+1/3=1.53.Chapter