2307 words - 10 pages

ĺ¤ćŚĺ¤§ĺŚçŽĄçĺŚé˘é˘

ćčľĺŚććŤččŻčŻĺˇ

ć ˇĺ

čŻžç¨ĺç§°ďź__ćčľĺŚ _________ čŻžç¨äťŁç ďź MANA130029.01____________

ĺźčŻžé˘çłťďź__çŽĄçĺŚé˘č´˘ĺĄéčçłť____ ččŻĺ˝˘ĺźďźéĺˇ

ĺ§ ĺďź ĺŚ ĺˇďź ä¸ ä¸ďź

"é˘ ĺˇ "1 "2 "3 "4 "5 "ćť ĺ "

"ĺž ĺ " " " " " " "

(äťĽä¸ä¸şčŻĺˇćŁć)

ä¸ăéćŠé˘ ďź60ĺďźMultiple choices ďź60 point, one point eachďź

1. čľćŹé
ç˝ŽçşżĺŻäťĽćčż°ä¸ş

A) ćčľćşäźéçąä¸ä¸Şć éŁéŠčľäş§ĺä¸ä¸ŞéŁéŠčľäş§ćć

B) ćčľćşäźéçąä¸¤ä¸ŞéŁéŠčľäş§ćć

C) ä¸é˘ćŻä¸ŞçšĺŻšćä¸Şćčľč
ćĽčŻ´ćç¨é˝ä¸ć ˇ

D) ćŻä¸Şçšćććśçä¸ć ˇä˝éŁéŠä¸ä¸ć ˇ

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.

10ďź ćčľč
ĺ¸ććé ä¸ä¸Şčľäş§çťĺďźĺ¨čľćŹé
ç˝Žçşżä¸ďźä˝ĺ¨ćäźéŁéŠčľäş§çťĺĺłčžš

Aďźćć éŁéŠĺŠçćčľä¸äşčľéďźĺŠä˝çćčľĺ¨ćäźéŁéŠčľäş§çťĺä¸

Bďźĺĺ
Ľä¸äşčľéďźćć éŁéŠĺŠçďźďźćčľäşćäźéŁéŠčľäş§çťĺä¸

Cďźäť
ćčľäşćäźéŁéŠčľäş§çťĺä¸

Dďźć ćłćé čŻĽçťĺ

EďźBďźĺCďź

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

15ďźĺ˝ĺŻäťĽćć éŁéŠĺŠçĺč´ˇĺšśä¸éŁéŠčľäş§çťĺććçťĺćśďźĺŞä¸ŞčľćŹé
ç˝ŽçşżćŻćčľč
çéćŠďź

Iďźĺ
ˇććéŤçĺćĽéŁéŠćŻç

IIďźćĺ¤§ĺćç¨

IIIďźĺ
ˇććéĄçćç

IVďźĺ
ˇććĺ°çćç

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

25ďźĺ¸ĺşčľäş§çťĺçäťˇĺźçäş

AďźććčĄçĽ¨äťˇĺźçĺ

BďźććčĄçĽ¨ĺĺşĺŽćśçčŻĺ¸äťˇĺźçĺ

CďźććčĄçĽ¨ĺĺşĺŽćśçčŻĺ¸ĺčĄçčŻĺ¸äťˇĺźçĺ

DďźććčĄçĽ¨ĺĺşĺŽćśçčŻĺ¸ĺčĄçčŻĺ¸äťˇĺźçĺďźĺ¤ĺ ććäşĺŠĺşéçäťˇĺź

Eďźçťćľä¸çććč´˘ĺŻçäťˇĺź

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. ĺĺŽčĄçĽ¨ĺ¸ĺşĺćĽçä¸ćäťĺĺ ĺć¨Ąĺ.ä¸ä¸Şćčľĺşéĺćäş100ĺŞčĄçĽ¨ç¨äşćé ĺĺźćšĺˇŽććĺć˛żçťĺďźäťäťŹéčŚčŽĄçŽ____________ä¸ŞĺćšĺˇŽă

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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