金融工程 相关习题及答案

Chapter 3 Portfolio Risk and Return: Part I

PRACTICE PROBLEMS FOR CHAPTER 3

1. An investor purchased 100 shares of a stock for $34.50 per share at the beginning of the quarter. If the investor sold all of the shares for $30.50 per share after receiving a $51.55 dividend payment at the end of the quarter, the holding period return is closest to: A. - 13.0%. B. - 11.6%. C. - 10.1%.

2. An analyst obtains the following annual rates of return for a mutual fund:

The fund's holding period return over the three-year period is closest to: A. 0.18%. B. 0.55%. C. 0.67%.

3. An analyst observes the following annual rates of return for a hedge fund:

The hedge fund's annual geometric mean return is closest to: A. 0.52%. B. 1.02%. C. 2.67%.

4. Which of the following return calculating methods is best for evaluating the annualized returns of a buy-and-hold strategy of an investor who has made annual deposits to an account for each of the last five years?

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A. Geometric mean return. B. Arithmetic mean return. C. Money-weighted return.

5. An investor evaluating the returns of three recently formed exchange-traded funds gathers the following information:

The ETF with the highest annualized rate of return is: A. ETF 1. B. ETF 2. C. ETF 3.

6. With respect to capital market theory, which of the following asset characteristics is least likely to impact the variance of an investor's equally weighted portfolio? A. Return on the asset.

B. Standard deviation of the asset.

C. Covariances of the asset with the other assets in the portfolio.

7. A portfolio manager creates the following portfolio:

If the correlation of returns between the two securities is 0.40, the expected standard deviation of the portfolio is closest to: A. 10.7%. B. 11.3%. C. 12.1%.

8. A portfolio manager creates the following portfolio:

If the covariance of returns between the two securities is - 0.0240, the expected

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standard deviation of the portfolio is closest to: A. 2.4%. B. 7.5%. C. 9.2%.

The following information relates to Questions 9-10 A portfolio manager creates the following portfolio:

9. If the standard deviation of the portfolio is 14.40%, the correlation between the two securities is equal to: A. - 1.0. B. 0.0. C. 1.0.

10. If the standard deviation of the portfolio is 14.40%, the covariance between the two securities is equal to: A. 0.0006. B. 0.0240. C. 1.0000.

The following information relates to Questions 11-14

An analyst observes the following historic geometric returns:

11 . The real rate of return for equities is closest to: A. 5.4%. B. 5.8%. C. 5.9%.

12. The real rate of return for corporate bonds is closest to: A. 4.3%. B. 4.4%. C. 4.5%.

13. The risk premium for equities is closest to:

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A. 5.4%. B. 5.5%. C. 5.6%.

14. The risk premium for corporate bonds is closest to: A. 3.5%. B. 3.9%. C. 4.0%.

15. With respect to trading costs, liquidity is least likely to impact the: A. stock price. B. bid-ask spreads.

C. brokerage commissions.

16. Evidence of risk aversion is best illustrated by a risk-return relationship that is: A. negative. B. neutral. C. positive.

17. With respect to risk-averse investors, a risk-free asset will generate a numerical utility that is:

A. the same for all individuals.

B. positive for risk-averse investors.

C. equal to zero for risk seeking investors

18. With respect to utility theory, the most risk-averse investor will have an indifference curve with the: A. most convexity.

B. smallest intercept value. C. greatest slope coefficient.

12　A?, which 19. With respect to an investor's utility function expressed as:u=E(r)- 2of the following values for the measure for risk aversion has the least amount of risk

aversion? A. - 4. B. 0. C. 4.

The following information relates to Questions 20-23

A financial planner has created the following data to illustrate the application of utility theory to portfolio selection:

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