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标题: Reading 64: Portfolio Concepts-LOS L习题精选 [打印本页]

作者: honeycfa 时间: 2010-4-14 15:54 标题: [2010]Session 18:-Reading 64: Portfolio Concepts-LOS L习题精选

LOS L, (Part 1): Discuss the arbitrage pricing theory (APT), including its underlying assumptions and its relation to the multifactor models.

Which of the following statements about multifactor models is CORRECT?

A)
The multifactor model is a cross-sectional equilibrium pricing model that explains variation across assets.

B)
The multifactor model is a time-series regression that explains variation in one asset.

C)
The intercept term in a macroeconomic factor model is the risk-free rate.

The multifactor model is a time-series regression that explains variation in one asset. APT is a cross-sectional equilibrium pricing model that explains variation across assets. The intercept term in a macroeconomic factor model is the asset's expected return.

作者: honeycfa 时间: 2010-4-14 15:54

Given a three-factor arbitrage pricing theory APT model, what is the expected return on the Freedom Fund?> >

The factor risk premiums to factors 1, 2, and 3 are 10%, 7% and 6%, respectively.> >
The Freedom Fund has sensitivities to the factors 1, 2, and 3 of 1.0, 2.0 and 0.0, respectively.> >
The risk-free rate is 6.0%.> >

A)

30.0%.

B)

33.0%.

C)

24.0%.

The expected return on the Freedom Fund is 6% + (10.0%)(1.0) + (7.0%)(2.0) + (6.0%)(0.0) = 30.0%.

作者: honeycfa 时间: 2010-4-14 15:55

Which of the following best completes the following statement? The capital asset pricing model (CAPM) is:

A)
a subset of the arbitrage pricing theory (APT) model.

B)
a relatively easy model to implement and test.

C)
a useful model in calculating expected returns.

The APT is less restrictive than the CAPM; it does not require the assumptions that investors have quadratic utility functions, security returns are normally distributed, or the existence of a mean variance efficient market portfolio. The CAPM is a subset of the APT where it is assumed that only the relationship to the market portfolio is useful in explaining returns. The APT is more flexible because it can have k factors. However, these factors are not defined in theory.

作者: honeycfa 时间: 2010-4-14 15:57

Given a three-factor arbitrage pricing theory (APT) model, what is the expected return on the Premium Dividend Yield Fund?

The factor risk premiums to factors 1, 2 and 3 are 8%, 12% and 5%, respectively.
The fund has sensitivities to the factors 1, 2, and 3 of 2.0, 1.0 and 1.0, respectively.
The risk-free rate is 3.0%.

A)

33.0%.

B)

50.0%.

C)

36.0%.

The expected return on the Premium Dividend Yield Fund is 3% + (8.0%)(2.0) + (12.0%)(1.0) + (5.0%)(1.0) = 36.0%.

作者: honeycfa 时间: 2010-4-14 15:58

Which of the following is NOT an assumption necessary to derive the arbitrage pricing theory (APT)?

A)

A large number of assets are available to investors.

B)

Asset returns are described by a k-factor model.

C)

The priced factors risks can be hedged without taking short positions in any portfolios.

Derivation of the APT requires three assumptions:

Asset returns are described by a factor model.

A large number of assets are available, which means investors can create diversified portfolios in which firm-specific risk is eliminated.

There are no arbitrage opportunities available to investors among these well-diversified portfolios. An arbitrage opportunity is an investment that has an expected positive net cash flow but requires no initial investment.

作者: honeycfa 时间: 2010-4-14 15:58

Which of the following assumptions is NOT necessary to derive the APT?

A)

Investors can create diversified portfolios with no firm-specific risk.

B)

The factor portfolios are efficient.

C)

A factor model describes asset returns.

The APT is an equilibrium model that assumes that investors can create diversified portfolios and that a factor model describes asset returns. It does NOT require that factor portfolios (nor, as in the capital asset pricing model [CAPM], the market portfolio) be efficient. In effect, the APT assumes investors simply like more money to less, while the CAPM assumes they care about expected return and standard deviation and invest in efficient portfolios. The APT makes no reference to mean-variance analysis or assumptions about efficient portfolios. This weaker set of assumptions is an advantage of the APT over the CAPM.

作者: honeycfa 时间: 2010-4-14 15:58

Which of the following is NOT an underlying assumption of the arbitrage pricing theory (APT)?

A)
Asset returns are described by a K factor model.

B)
There are a sufficient number of assets for investors to create diversified portfolios in which firm-specific risk is eliminated.

C)
A market portfolio exists that contains all risky assets and is mean-variance efficient.

The APT makes no assumption about a market portfolio.

作者: honeycfa 时间: 2010-4-14 15:59

Assume you are attempting to estimate the equilibrium expected return for a portfolio using a two-factor arbitrage pricing theory (APT) model. One factor is changes in the 30-year T-bond rate and the other factor is the percentage growth in gross national product (GNP). Assume that you have estimated the risk premium for the interest rate factor to be 0.02, and the risk premium on the GNP factor to be 0.03. The sensitivity of the portfolio to the interest rate factor is –1.2 and the portfolios sensitivity to the GNP factor is 0.80. Given a risk free rate equal to 0.03, what is the expected return for the asset?

A)
5.0%.

B)
3.0%.

C)
2.4%.

The general form of the two-factor APT model is: E(R_Port) = R_F = λ_interestβ_interest + λ_GNPβ_GNP, where the λ’s are the factor risk premiums and the β’s are the portfolio’s factor sensitivities. Substituting the appropriate values, we have: >>

R_Port = 0.03 + 0.02(?1.2) + 0.03(0.80) = 3.0%

作者: honeycfa 时间: 2010-4-14 15:59

The factor risk premium on factor j in the arbitrage pricing theory (APT) can be interpreted as the:

A)

sensitivity of the market portfolio to factor j.

B)

expected risk premium investors require on a factor portfolio for factor j.

C)

expected return investors require on a factor portfolio for factor j.

We can interpret the APT factor risk premiums similar to the way we interpret the market risk premium in the CAPM. Each factor price is the expected risk premium (extra expected return minus the risk-free rate) investors require for a portfolio with a sensitivity of one (β_p,j =1) to that factor and a sensitivity of zero to all the other factors (a factor portfolio).

作者: honeycfa 时间: 2010-4-14 15:59

The Arbitrage Pricing Theory (APT) has all of the following characteristics EXCEPT it:

A)
is an equilibrium pricing model.

B)
assumes that asset returns are described by a factor model.

C)
assumes that arbitrage opportunities are available to investors.

The APT assumes that no arbitrage opportunities are available to investors.

作者: honeycfa 时间: 2010-4-14 15:59

The Arbitrage Pricing Theory (APT) has all of the following characteristics EXCEPT it:

A)
is an equilibrium pricing model.

B)
assumes that asset returns are described by a factor model.

C)
assumes that arbitrage opportunities are available to investors.

The APT assumes that no arbitrage opportunities are available to investors.

作者: honeycfa 时间: 2010-4-14 16:00

If the arbitrage pricing theory (APT) holds, it determines:

A)

factor sensitivities in a multi-factor model.

B)

the factor prices in a multi-factor model.

C)

the intercept term in a multi-factor model.

One way to think about the relationship between the APT and multi-factor models is to recognize that the intercept term in a multi-factor model is the asset’s expected return; the APT is an expected return model that tells us what that intercept should be.

作者: honeycfa 时间: 2010-4-14 16:00

One of the assumptions of the arbitrage pricing theory (APT) is that there are no arbitrage opportunities available. An arbitrage opportunity is:

A)

an investment that has an expected positive net cash flow but requires no initial investment.

B)

a factor portfolio with a positive expected risk premium.

C)

a portfolio with factor exposures that sum to one.

One of the three assumptions of the APT is that there are no arbitrage opportunities available to investors among these well-diversified portfolios. An arbitrage opportunity is an investment that has an expected positive net cash flow but requires no initial investment.

All factor portfolios will have positive risk premiums equal to the factor price for that factor. An arbitrage opportunity does not necessarily require a return equal to the risk-free rate, and the factor exposures for an arbitrage portfolio are all equal to zero.

作者: honeycfa 时间: 2010-4-14 16:01

Which of the following statements regarding the arbitrage pricing theory (APT) as compared to the capital asset pricing model (CAPM) is least accurate? APT:

A)
does not require that one of the risk factors is the market portfolio; unlike the CAPM.

B)

has fewer assumptions than CAPM.

C)

is often times thought of as a special case of the CAPM.

The CAPM is often times thought of as a special case of the APT since CAPM has only one factor, the market portfolio.

作者: honeycfa 时间: 2010-4-14 16:05

Which of the following is an assumption of the arbitrage pricing theory (APT)?

A)

Returns are normally distributed.

B)

Investors have quadratic utility functions.

C)

No arbitrage opportunities exist.

APT assumes that:

Asset returns are described by a multiple factor process.
There are enough stocks that unsystematic risk can be diversified away.
No arbitrage opportunities exist.

作者: honeycfa 时间: 2010-4-14 16:05

Which of the following is an assumption of the arbitrage pricing theory (APT)?

A)

Security returns are normally distributed.

B)

Investors have quadratic utility functions.

C)
Assets are priced such that no arbitrage opportunities exist.

APT implies that investors will undertake infinitely large positions (long and short) to exploit any perceived mispricing, causing asset prices to adjust immediately to their equilibrium values.

作者: honeycfa 时间: 2010-4-14 16:05

Which of the following does NOT describe the arbitrage pricing theory (APT)?

A)

There are assumed to be at least five factors that explain asset returns.

B)

It is an equilibrium-pricing model like the CAPM.

C)

It requires a weaker set of assumptions than the CAPM to derive.

APT is a k-factor model, in which the number of factors, k, is assumed to be a lot smaller than the number of assets; no specific number of factors is assumed. Depending on the data used to fit the model, there may be as few as two or as many as seven factors.

作者: honeycfa 时间: 2010-4-14 16:06

An arbitrage pricing theory (APT) model has the following characteristics:

The risk free rate is 3.8%.
Factor risk premiums are:

(7%)
(4%)
(2%)
(10%)

Assume Silver Linings Fund has the following sensitivities to the factors:

Sensitivity to A is 0.5.
Sensitivity to B is 1.2.
Sensitivity to C is 2.1.
Sensitivity to D is 0.2.

The expected return on the Silver Linings Fund is:

A)
18.3%.

B)
14.5%.

C)
20.1%.

E(R) = 3.8 + (0.5 × 7) + (1.2 × 4) + (2.1 × 2) + (0.2 × 10) = 18.3.

作者: honeycfa 时间: 2010-4-14 16:07

Michael Paul, a portfolio manager, is screening potential investments and suspects that an arbitrage opportunity may be available. The three portfolios that meet his screening criteria are detailed below:

Portfolio

Expected Return

Beta

A

12%

1.0

B

16%

1.3

C

8%

0.9

Which of the following portfolio combinations produces the highest return while maintaining a beta of 1.0?

Portfolio A

Portfolio B

Portfolio C

A)

25%

50%

25%

B)

100%

0%

0%

C)

50%

18%

32%

Portfolio Weights

Expected
Return

Beta

A

B

C

25%

50%

25%

13.00%

1.13

0%

36%

64%

11.52%

1.00

50%

18%

32%

11.44%

1.00

100%

0%

0%

12.00%

1.00

There is no arbitrage opportunity available. Investing 100% in Portfolio A yields the highest return for this risk level (i.e., beta = 1).

作者: honeycfa 时间: 2010-4-14 16:08

Gold Horizon, an investment firm, utilizes a three-factor APT model for its Unique & Rich (U&R) fund. The risk-free rate equals 4%. Using the table below, determine U&R’s expected return.

	GNP Factor	Inflation Factor	Investor Confidence Factor
U&R factor beta	1.75	1.5	1.25
Factor risk premium	0.020	0.015	0.013

A)
7.38%.

B)
4.49%.

C)
11.38%.

E(R_U&R) = 0.04 + 1.75(0.02) + 1.5(0.015) + 1.25(0.013)
E(R_U&R) = 0.04 + 0.035 + 0.0225 + 0.01625
E(R_U&R) = 11.375% ≈ 11.38%

作者: solitute 时间: 2010-4-22 11:31

thanks

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Portfolio Weights			Expected Return	Beta
A	B	C	Expected Return	Beta
25%	50%	25%	13.00%	1.13
0%	36%	64%	11.52%	1.00
50%	18%	32%	11.44%	1.00
100%	0%	0%	12.00%	1.00