答案和详解如下： 11、If given the standard deviations of the returns of two assets and the correlation between the two assets, which of the following would an analyst NOT necessarily be able to derive from these? The: A) covariance between the returns. B) expected returns. C) variance of each return. D) strength of the linear relationship between the two. The correct answer was B) The correlations and standard deviations cannot give a measure of central tendency, such as the expected value. 12、An investor has two stocks, Stock R and Stock S in her portfolio. Given the following information on the two stocks, the portfolio's standard deviation is closest to: §
σR = 34% §
σS = 16% §
r R,S = 0.67 §
WR = 80% §
WS = 20% A) 8.7%. B) 2.1%. C) 29.4%. D) 7.8%. The correct answer was C) The formula for the standard deviation of a 2-stock portfolio is: s = [WA2sA2 + WB2sB2 + 2WAWBsAsBrA,B]1/2
s = [(0.82 * 0.342) + (0.22 * 0.162) +( 2 * 0.8 * 0.2 *
)76.0*61.0 * 43.0]1/2 = [0.073984 + 0.001024 + 0.0116634]1/2 = 0.08667141/2 = 0.2944, or approximately 29.4%. 13、What is the standard deviation of a portfolio if you invest 30% in stock one (standard deviation of 4.6%) and 70% in stock two (standard deviation of 7.8%) if the correlation coefficient for the two stocks is 0.45? A) 0.38%. B) 6.20%. C) 6.83%. D) 5.94%. The correct answer was B) The standard deviation of the portfolio is found by: [W12 σ12 + W22 σ22 + 2W1W2σ1σ2r1,2]0.5, or [(0.30)2(0.046)2 + (0.70)2(0.078)2 + (2)(0.30)(0.70)(0.046)(0.078)(0.45)]0.5 = 0.0620, or 6.20%. 14、Assume two stocks are perfectly negatively correlated. Stock A has a standard deviation of 10.2% and stock B has a standard deviation of 13.9%. What is the standard deviation of the portfolio if 75% is invested in A and 25% in B? A) 0.00%. B) 4.18%. C) 3.76%. D) 0.17%. The correct answer was B) The standard deviation of the portfolio is found by: [W12 σ12 + W22 σ22 + 2W1W2σ1σ2r1,2]0.5, or [(0.75)2(0.102)2 + (0.25)2(0.139)2 + (2)(0.75)(0.25)(0.102)(0.139)(–1.0)]0.5 = 0.0418, or 4.18%. 15、The following information is available concerning expected return and standard deviation of Pluto and Neptune Corporations: | Expected Return | Standard Deviation | Pluto Corporation | 11 percent | 0.22 | Neptune Corporation | 9 percent | 0.13 |
If the correlation between Pluto and Neptune is 0.25, determine the expected return and standard deviation of a portfolio that consists of 65 percent Pluto Corporation stock and 35 percent Neptune Corporation stock. A) 10.3 percent expected return and 16.05 percent standard deviation. B) 10.3 percent expected return and 2.58 percent standard deviation. C) 10.0 percent expected return and 16.05 percent standard deviation. D) 10.0 percent expected return and 2.58 percent standard deviation. The correct answer was A) ERPort = (WPluto)(ERPluto) + (WNeptune)(ERNeptune) = (0.65)(0.11) + (0.35)(0.09) = 10.3 percent. sp = [(w1)2(σ1)2 + (w2)2(σ2)2 + 2w1w2σ1σ2r1,2]1/2 = [(0.65)2(22)2 + (0.35)2(13)2 + 2(0.65)(0.35)(22)(13)(0.25)]1/2
= [(0.4225)(484) + (0.1225)(169) + 2(0.65)(0.35)(22)(13)(0.25)]1/2 = (257.725)1/2 = 16.0538% | 
发表于 2008-4-9 15:51
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