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Investment Sample Exam For Fudan Essay

2307 words - 10 pages

复旦大学管理学院院
投资学期末考试试卷
样品

课程名称:__投资学 _________ 课程代码: MANA130029.01____________
开课院系:__管理学院财务金融系____ 考试形式:闭卷

姓 名: 学 号: 专 业:

"题 号 "1 "2 "3 "4 "5 "总 分 "
"得 分 " " " " " " "

(以下为试卷正文)

一、选择题 (60分)Multiple choices (60 point, one point each)

1. 资本配置线可以描述为
A) 投资机会集由一个无风险资产和一个风险资产构成
B) 投资机会集由两个风险资产构成
C) 上面每个点对某个投资者来说效用都一样
D) 每个点期望收益一样但风险不一样
E) ...view middle of the document...

B) The set of portfolios formed with the T-bill and security B.
C) The set of portfolios formed with the T-bill and security C.
D) The set of portfolios formed with the T-bill and security D.
E) Cannot be determined.

E) a and c.

10. 投资者希望构造一个资产组合,在资本配置线上,但在最优风险资产组合右边
A)按无风险利率投资一些资金,剩余的投资在最优风险资产组合上
B)借入一些资金(按无风险利率),投资于最优风险资产组合上
C)仅投资于最优风险资产组合上
D)无法构造该组合
E)B)和C)

10. An investor who wishes to form a portfolio that lies to the right of the optimal risky portfolio on the Capital Allocation Line must:
A) lend some of her money at the risk-free rate and invest the remainder in the optimal risky portfolio.
B) borrow some money at the risk-free rate and invest in the optimal risky portfolio.
C) invest only in risky securities.
D) such a portfolio cannot be formed.
E) b and c

15.当可以按无风险利率借贷并与风险资产组合构成组合时,哪个资本配置线是投资者的选择?
I)具有最高的回报风险比率
II)最大化效用
III)具有最陡的斜率
IV)具有最小的斜率
A) I and III
B) I and IV
C) II and IV
D) I only
E) I, II, and III

15. When borrowing and lending at a risk-free rate are allowed, which Capital Allocation Line (CAL) should the investor choose to combine with the efficient frontier?

I) with the highest reward-to-variability ratio.
II) that will maximize his utility.
III) with the steepest slope.
IV) with the lowest slope.

A) I and III
B) I and IV
C) II and IV
D) I only
E) I, II, and III

25.市场资产组合的价值等于
A)所有股票价值的和
B)所有股票和固定收益证券价值的和
C)所有股票和固定收益证券和衍生证券价值的和
D)所有股票和固定收益证券和衍生证券价值的和,外加所有互助基金的价值
E)经济中的所有财富的价值

25. The value of the market portfolio equals
A) the sum of the values of all equity securities.
B) the sum of the values of all equity and fixed income securities.
C) the sum the values of all equity, fixed income, and derivative securities.
D) the sum of the values of all equity, fixed income, and derivative securities plus the value of all mutual funds.
E) the entire wealth of the economy.

31. 假定股票市场回报率不服从单因子模型.一个投资基金分析了100只股票用于构造均值方差有效前沿组合,他们需要计算____________个协方差。
A) 45
B) 100
C) 4,950
D) 10,000
E) none of the above
31. Assume that stock market returns do not resemble a single-index structure. An investment fund analyzes 100 stocks in order to construct a mean-variance efficient portfolio constrained by 100 investments. They will need to calculate ____________ covariances.
A) 45
B) 100
C) 4,950
D) 10,000
...

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