答案和详解如下： 1.In the context of the CML, the market portfolio includes: A) all existing risky assets. B) 12-18 stocks needed to provide maximum diversification. C) risky stocks and bonds only. D) the risk-free asset. The correct answer was A) The market portfolio has to contain all the stocks, bonds, and risky assets in existence. Because this portfolio has all risky assets in it, it represents the ultimate or completely diversified portfolio. 2.For an investor to move further up the Capital Market Line than the market portfolio, the investor must: A) reduce the portfolio's risk below that of the market. B) borrow and invest in the market portfolio. C) continue to invest only in common stocks. D) diversify the portfolio even more. The correct answer was B) 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. 3.Portfolios that represent combinations of the risk-free asset and the market portfolio are plotted on the: A) capital market line. B) utility curve. C) capital asset pricing line. D) characteristic line. The correct answer was A) 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 percent of their funds invested in the risk-free asset. Investors at point M have 100 percent 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 percent 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. The term "characteristic line" refers to Beta, used to form the security market line (SML). Utility curves reflect individual preferences. 4.A portfolio to the right of the market portfolio on the capital market line (CML) is created by: A) fully diversifying. B) buying the risk-free asset. C) holding more than 100% of the risky asset. D) holding both the risk-free asset and the market portfolio. The correct answer was 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). Both the statement, "holding both the risk-free asset and the market portfolio" and "buying the risk-free asset" refer 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. 5.The market portfolio in the Capital Market Theory contains which types of investments? A) All risky assets in existence. B) All stocks in existence. C) All stocks and bonds in existence. D) All risky and risk-free assets in existence. The correct answer was A) The market portfolio contains all risky assets in existence. It does not contain any risk-free assets. 6.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) a straight line drawn to any efficient portfolio. C) the intersection of the efficient frontier and the investor's highest utility curve. D) a line tangent to the efficient frontier, drawn from the risk-free rate of return. The correct answer was D) 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. | 
发表于 2008-4-9 14:24
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