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

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

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

C)   sensitivity of the market portfolio to factor j.

D)   expected return on an arbitrage portfolio with j factors.

12．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)   2.4%.

C)   −3.0%.

D)   3.0%.

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

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

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

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

D)   Capital markets are perfectly competitive, meaning that no arbitrage opportunities exist.

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

A)   There are no arbitrage opportunities available to investors.

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

C)   A factor model describes asset returns.

D)   The factor portfolios are efficient.

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

A)   Asset returns are described by a k-factor model.

B)   A large number of assets are available to investors.

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

D)   There are no arbitrage opportunities available to investors.

[此贴子已经被作者于2008-4-18 15:22:02编辑过]

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

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

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

C)   sensitivity of the market portfolio to factor j.

D)   expected return on an arbitrage portfolio with j factors.

The correct answer was A)

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).

12．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)   2.4%.

C)   −3.0%.

D)   3.0%.

The correct answer was D)

The general form of the two-factor APT model is:  E(R_Port) = R_F = _interest€_interest + €_GNP€_GNP, where the €’s are the factor risk premiums and the €’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%

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

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

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

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

D)   Capital markets are perfectly competitive, meaning that no arbitrage opportunities exist.

The correct answer was B)

The APT makes no assumption about a market portfolio.

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

A)   There are no arbitrage opportunities available to investors.

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

C)   A factor model describes asset returns.

D)   The factor portfolios are efficient.

The correct answer was D)

The APT is an equilibrium model that assumes there are no arbitrage opportunities in equilibrium, 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.

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

A)   Asset returns are described by a k-factor model.

B)   A large number of assets are available to investors.

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

D)   There are no arbitrage opportunities available to investors.

The correct answer was C)

Derivation of the APT requires three assumptions:

1. Asset returns are described by a factor model.
2· A large number of assets are available, which means investors can create diversified portfolios in which firm-specific risk is eliminated.
3· 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.