答案和详解如下： Q1. The optimal portfolio is determined by the point of tangency between: A) the efficient frontier and the individual's utility curve with the highest possible utility. B) a line connecting the risk-free rate and the current market return on the efficient frontier. C) the capital allocation line and the investor's utility curve. Correct answer is A) The optimal portfolio for each investor is the highest indifference curve that is tangent to the efficient frontier. The optimal portfolio is the portfolio that gives the investor the greatest possible utility. Q2. The particular portfolio on the efficient frontier that best suits an individual investor is determined by:
A) the current market risk-free rate as compared to the current market return rate. B) the individual's utility curve. C) the individual's asset allocation plan. Correct answer is B) The optimal portfolio for each investor is the highest indifference curve that is tangent to the efficient frontier. The optimal portfolio is the portfolio that gives the investor the greatest possible utility. Q3. Investors who are less risk averse will have what type of utility curves? A) Inverted. B) Steeper. C) Flatter. Correct answer is C) Investors who are less risk averse will have flat utility curves, meaning they are willing to take on more risk for a slightly higher return. Investors who are more risk averse require a much higher return to accept more risk, producing a steep utility curve. Q4. The graph below combines the efficient frontier with the indifference curves for two different investors, X and Y. Which of the following statements about the above graph is least accurate? A) Investor X is less risk-averse than Investor Y. B) The efficient frontier line represents the portfolios that provide the highest return at each risk level. C) Investor X's expected return will always be less than that of Investor Y. Correct answer is A) Investor X has a steep indifference curve, indicating that he is risk-averse. Flatter indifference curves, such as those for Investor Y, indicate a less risk-averse investor. The other choices are true. A more risk-averse investor will likely obtain lower returns than a less risk-averse investor. Q5. Which one of the following statements about portfolio diversification is FALSE? A) The lower the correlation coefficient between the portfolio and a stock, the lower the diversification effect from adding that stock to the portfolio. B) In a well diversified portfolio of over 25 stocks market risk will account for over 85% of the portfolio's total risk. C) As more securities are added to a portfolio total risk falls, but at a decreasing rate. Correct answer is A) This statement should read, "The lower the correlation coefficient between the portfolio and a stock, the greater the diversification effect from adding that stock to the portfolio. Q6. According to Markowitz, an investor’s optimal portfolio is determined where the: A) investor's lowest utility curve is tangent to the efficient frontier. B) investor's highest utility curve is tangent to the efficient frontier. C) investor's utility curve meets the efficient frontier. Correct answer is B) The optimal portfolio for an investor is determined as the point where the investor’s highest utility curve is tangent to the efficient frontier. | 
发表于 2009-1-22 10:37
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