答案和详解如下： 6．Stock A has a standard deviation of 0.5 and Stock B has a standard deviation of 0.3. Stock A and Stock B are perfectly positively correlated. According to Markowitz portfolio theory how much should be invested in each stock to minimize the portfolio's standard deviation? A) 100% in Stock A. B) 50% in Stock A and 50% in Stock B. C) 100% in Stock B. D) 30% in Stock A and 70% in Stock B. The correct answer was C) Since the stocks, are perfectly correlated, there is no benefit from diversification. So, invest in the stock with the lowest risk. 7．There are benefits to diversification as long as: A) there is perfect positive correlation between the assets. B) the correlation coefficient between the assets is less than 1. C) there must be perfect negative correlation between the assets. D) the correlation coefficient between the assets is 1. The correct answer was B) There are benefits to diversification as long as the correlation coefficient between the assets is less than 1. 8．Which one of the following statements about correlation is FALSE? A) Potential benefits from diversification arise when correlation is less than +1. B) The lower the correlation coefficient the greater the potential benefits from diversification. C) If the correlation coefficient were -1, a zero variance portfolio could be constructed. D) If the correlation coefficient were 0, a zero variance portfolio could be constructed. The correct answer was D) A correlation coefficient of zero means that there is no relationship between the stock's returns. The other statements are true. 9．Two assets are perfectly positively correlated If 30 percent of an investor's funds were put in the asset with a standard deviation of 0.3 and 70 percent were invested in an asset with a standard deviation of 0.4, what is the standard deviation of the portfolio? A) 0.370. B) 0.151. C) 0.244. D) 0.426. The correct answer was A) σ portfolio = [W12σ12 + W22σ22 + 2W1W2σ1σ2r1,2]1/2 given r1,2 = +1 σ = [W12σ12 + W22σ22 + 2W1W2σ1σ2]1/2
= [(W1σ1 + W2σ2)2]1/2 σ = (W1σ1 + W2σ2) = (0.3)(0.3) + (0.7)(0.4) = 0.09 + 0.28 = 0.37 10．An investor calculates the following statistics on her two-stock (A and B) portfolio. § σA = 20% § σB = 15% § rA,B = 0.32 § WA = 70% § WB = 30% The portfolio's standard deviation is closest to: A) 0.0096. B) 0.0256. C) 0.1600. D) 0.1832. The correct answer was C) The formula for the standard deviation of a 2-stock portfolio is: s = [WA2sA2 + WB2sB2 + 2WAWBsAsBA,B]1/2 s = [(0.72 * 0.22) + (0.32 * 0.152) +( 2 * 0.7 * 0.3 * 2.0
)23.0
*
51.0
*]1/2 = [0.0196 + 0.002025 + 0.004032]1/2 = 0.02565701/2 = 0.1602, or approximately 16.0%. | 
发表于 2008-4-8 16:42
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