Q6. A T-bill with a face value of $100,000 and 140 days until maturity is selling for $98,000. What is the bank discount yield?

A)   5.41%.

B)   4.18%.

C)   5.14%.

Q7. A Treasury bill (T-bill) with a face value of $10,000 and 219 days until maturity is selling for 97.375% of face value. Which of the following is closest to the holding period yield on the T-bill if held until maturity?

A)   2.63%.

B)   2.70%.

C)   2.81%.

Q8. A Treasury bill (T-bill) with a face value of $10,000 and 44 days until maturity has a holding period yield of 1.1247%. Which of the following is closest to the effective annual yield on the T-bill?

A)   12.47%.

B)   8.76%.

C)   9.72%.

Q9. A Treasury bill (T-bill) with 38 days until maturity has a bank discount yield of 3.82%. Which of the following is closest to the money market yield on the T-bill?

A)   3.81%.

B)   3.87%.

C)   3.84%.

Q10. A Treasury bill has 40 days to maturity, a par value of $10,000, and was just purchased by an investor for $9,900. Its holding period yield is closest to:

A)   9.00%.

B)   1.00%.

C)   1.01%.

答案和详解如下：

Q6. A T-bill with a face value of $100,000 and 140 days until maturity is selling for $98,000. What is the bank discount yield?

A)   5.41%.

B)   4.18%.

C)   5.14%.

Correct answer is C)

Actual discount is 2%, annualized discount is: 0.02(360 / 140) = 5.14%

Q7. A Treasury bill (T-bill) with a face value of $10,000 and 219 days until maturity is selling for 97.375% of face value. Which of the following is closest to the holding period yield on the T-bill if held until maturity?

A)   2.63%.

B)   2.70%.

C)   2.81%.

Correct answer is B)

The formula for holding period yield is: (P₁ − P₀ + D₁) / (P₀), where D₁ for a T-bill is zero (it does not have a coupon). Therefore, the HPY is: ($10,000 − $9,737.50) / ($9,737.50) = 0.0270 = 2.70%.

Alternatively (100 / 97.375) − 1 = 0.02696.

Q8. A Treasury bill (T-bill) with a face value of $10,000 and 44 days until maturity has a holding period yield of 1.1247%. Which of the following is closest to the effective annual yield on the T-bill?

A)   12.47%.

B)   8.76%.

C)   9.72%.

Correct answer is C)

The formula for the effective annual yield is: ((1 + HPY)^365/t) − 1. Therefore, the EAY is: ((1.011247)^(365/44)) − 1 = 0.0972, or 9.72%

Q9. A Treasury bill (T-bill) with 38 days until maturity has a bank discount yield of 3.82%. Which of the following is closest to the money market yield on the T-bill?

A)   3.81%.

B)   3.87%.

C)   3.84%.

Correct answer is C)

The formula for the money market yield is: [360 × bank discount yield] / [360 − (t × bank discount yield)]. Therefore, the money market yield is: [360 × 0.0382] / [360 − (38 × 0.0382)] = (13.752) / (358.548) = 0.0384, or 3.84%.

Alternatively: Actual discount = 3.82%(38 / 360) = 0.4032%.

T-Bill price = 100 − 0.4032 = 99.5968%.

HPR = (100 / 99.5968) − 1 = 0.4048%.MMY = 0.4048% × (360 / 38) = 3.835%.

Q10. A Treasury bill has 40 days to maturity, a par value of $10,000, and was just purchased by an investor for $9,900. Its holding period yield is closest to:

A)   9.00%.

B)   1.00%.

C)   1.01%.

Correct answer is C)

The holding period yield is the return that the investor will earn if the bill is held until it matures. The holding period yield formula is (price received at maturity − initial price + interest payments) / (initial price) = (10,000 − 9,900 + 0) / (9,900) = 1.01%. Recall that when buying a T-bill, investors pay the face value less the discount and receive the face value at maturity.

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Q1. The covariance:

A)   must be between -1 and +1.

B)   can be positive or negative.

C)   must be positive.

Correct answer is B)         

Cov(a,b) = σ_aσ_bρ_a,b. Since ρ_a,b can be positive or negative, Cov(a,b) can be positive or negative.

Q2. With respect to the units each is measured in, which of the following is the most easily directly applicable measure of dispersion? The:

A)    covariance.

B)    variance.

C)    standard deviation.

Correct answer is C)

The standard deviation is in the units of the random variable itself and not squared units like the variance. The covariance would be measured in the product of two units of measure.

Q3. Personal Advisers, Inc., has determined four possible economic scenarios and has projected the portfolio returns for two portfolios for their client under each scenario. Personal’s economist has estimated the probability of each scenario as shown in the table below. Given this information, what is the covariance of the returns on Portfolio A and Portfolio B?

A)   0.890223.

B)   0.002019.

C)   0.001898.

Correct answer is C)

Q4. Given Cov(X,Y) = 1,000,000. What does this indicate about the relationship between X and Y?

A)  It is strong and positive.

B)  It is weak and positive.

C)  Only that it is positive.

Correct answer is C)

A positive covariance indicates a positive linear relationship but nothing else. The magnitude of the covariance by itself is not informative with respect to the strength of the relationship.

Q5. Which of the following statements is least accurate regarding covariance?

A)   Covariance can only apply to two variables at a time.

B)   Covariance can exceed one.

C)   A covariance of zero rules out any relationship.

Correct answer is C)

A covariance only measures the linear relationship. The covariance can be zero while a non-linear relationship exists. Both remaining statements are true.

用计算器的问题....

[此贴子已经被作者于2009-7-15 16:44:44编辑过]

最后一道好坏哦

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