答案和详解如下： Q1. The market portfolio in Capital Market Theory is determined by: A) a line tangent to the efficient frontier, drawn from any point on the expected return axis. B) the intersection of the efficient frontier and the investor's highest utility curve. C) a line tangent to the efficient frontier, drawn from the risk-free rate of return.
Correct answer is C) The Capital Market Line is a straight line drawn from the risk-free rate of return (on the Y axis) through the market portfolio. The market portfolio is determined as where that straight line is exactly tangent to the efficient frontier. Q2. The market portfolio in the Capital Market Theory contains which types of investments? A) All risky assets in existence. B) All risky and risk-free assets in existence. C) All stocks in existence. Correct answer is A) The market portfolio contains all risky assets in existence. It does not contain any risk-free assets. Q3. A portfolio to the right of the market portfolio on the capital market line (CML) is created by:
A) holding both the risk-free asset and the market portfolio. B) fully diversifying. C) holding more than 100% of the risky asset. Correct answer is C) Portfolios that lie to the right of the market portfolio on the capital market line are created by borrowing funds to own more than 100% of the market portfolio (M).
The statement, "holding both the risk-free asset and the market portfolio" refers to portfolios that lie to the left of the market portfolio. Portfolios that lie to the left of point M are created by lending funds (or buying the risk free-asset). These investors own less than 100% of both the market portfolio and more than 100% of the risk-free asset. The portfolio at point Rf (intersection of the CML and the y-axis) is created by holding 100% of the risk-free asset. The statement, "fully diversifying" is incorrect because the market portfolio is fully diversified. Q4. Portfolios that represent combinations of the risk-free asset and the market portfolio are plotted on the:
A) capital asset pricing line. B) utility curve. C) capital market line. Correct answer is C) The introduction of a risk-free asset changes the Markowitz efficient frontier into a straight line. This straight efficient frontier line is called the capital market line (CML). Investors at point Rf have 100% of their funds invested in the risk-free asset. Investors at point M have 100% of their funds invested in market portfolio M. Between Rf and M, investors hold both the risk-free asset and portfolio M. To the right of M, investors hold more than 100% of portfolio M. All investors have to do to get the risk and return combination that suits them is to simply vary the proportion of their investment in the risky portfolio M and the risk-free asset. Utility curves reflect individual preferences. Q5. For an investor to move further up the Capital Market Line than the market portfolio, the investor must:
A) borrow and invest in the market portfolio. B) diversify the portfolio even more. C) reduce the portfolio's risk below that of the market. Correct answer is A) Portfolios that lie to the right of the market portfolio on the capital market line ("up" the capital market line) are created by borrowing funds to own more than 100% of the market portfolio (M).
The statement, "diversify the portfolio even more" is incorrect because the market portfolio is fully diversified. | 
发表于 2009-1-22 10:57
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