6．If a risk-free asset is part of the investment opportunity set, then the efficient frontier is a:

A)   straight line called the capital allocation line (CAL).

B)   curve called the minimum-variance frontier.

C)   curve called the efficient portfolio set.

D)   straight line only if the correlation between risky assets is equal to one.

The correct answer was A)

If a risk-free investment is part of the investment opportunity set, then the efficient frontier is a straight line called the capital allocation line (CAL), whether or not risky asset correlations are equal to one. The y-intercept of the CAL is the risk-free rate. The CAL is tangent to the minimum-variance frontier of risky assets.

7．The capital allocation line (CAL) with the market portfolio as the tangency portfolio is the:

A)   security market line.

B)   capital market line.

C)   capital asset pricing line.

D)   minimum variance line.

The correct answer was B)

The capital market line is the capital allocation line with the market portfolio as the tangency portfolio.

8．Which of the following statements most accurately describes the capital allocation line (CAL) and the capital market line (CML)? The market portfolio:

A)   always lies on both the CAL and the CML.

B)   may lie on the CML, but it always lies on the CAL.

C)   may lie on the CAL, but it always lies on the CML.

D)   is not necessarily on either the CAL or the CML.

The correct answer was C)

When a minimum variance frontier is constructed in risk return space (i.e., y-axis = expected return, x-axis = standard deviation), the capital allocation line is the line emanating from the riskless return through the highest point of tangency with the minimum variance frontier. When the point of tangency is the market portfolio, the capital allocation line is the capital market line.

9．The capital market line (CML) is the capital allocation line with the:

A)   market portfolio as the global minimum-variance portfolio.

B)   global minimum-variance portfolio as the tangency portfolio.

C)   zero-beta portfolio as the tangency portfolio.

D)   market portfolio as the tangency portfolio.

The correct answer was D)

The CML is the capital allocation line (CAL) with the market portfolio as the tangency portfolio.

10．Which of the following statements regarding the capital market line (CML) is least accurate? The capital market line:

A)   dominates everything below the line on the original efficient frontier.

B)   is a straight line.

C)   implies that all portfolios on the CML are perfectly positively correlated.

D)   slope is equal to the expected return of the market portfolio minus the risk-free rate.

The correct answer was D)

§ The slope of the CML is equal to the expected return of the market minus the risk-free rate,all divided by the standard deviation of returns on the market portfolio.

§ Because the CML is a straight line, it implies that all the portfolios on the CML are  perfectly positively correlated.

6．If a risk-free asset is part of the investment opportunity set, then the efficient frontier is a:

A)   straight line called the capital allocation line (CAL).

B)   curve called the minimum-variance frontier.

C)   curve called the efficient portfolio set.

D)   straight line only if the correlation between risky assets is equal to one.

7．The capital allocation line (CAL) with the market portfolio as the tangency portfolio is the:

A)   security market line.

B)   capital market line.

C)   capital asset pricing line.

D)   minimum variance line.

8．Which of the following statements most accurately describes the capital allocation line (CAL) and the capital market line (CML)? The market portfolio:

A)   always lies on both the CAL and the CML.

B)   may lie on the CML, but it always lies on the CAL.

C)   may lie on the CAL, but it always lies on the CML.

D)   is not necessarily on either the CAL or the CML.

9．The capital market line (CML) is the capital allocation line with the:

A)   market portfolio as the global minimum-variance portfolio.

B)   global minimum-variance portfolio as the tangency portfolio.

C)   zero-beta portfolio as the tangency portfolio.

D)   market portfolio as the tangency portfolio.

10．Which of the following statements regarding the capital market line (CML) is least accurate? The capital market line:

A)   dominates everything below the line on the original efficient frontier.

B)   is a straight line.

C)   implies that all portfolios on the CML are perfectly positively correlated.

D)   slope is equal to the expected return of the market portfolio minus the risk-free rate.

[此贴子已经被作者于2008-4-18 15:37:50编辑过]