答案和详解如下： 1.Which of the following statements about portfolio management is most accurate? A) As an investor diversifies away the unsystematic portion of risk, the correlation between his portfolio return and that of the market approaches negative one. B) The security market line (SML) measures systematic and unsystematic risk versus expected return; the CML measures total risk. C) Combining the capital market line (CML) (risk-free rate and efficient frontier) with an investor's indifference curve map separates out the decision to invest from the decision of what to invest in. D) The expected return on a zero beta security is the expected market return. The correct answer was C) Combining the CML (risk-free rate and efficient frontier) with an investor’s indifference curve map separates out the decision to invest from what to invest in and is called the separation theorem. The investment selection process is thus simplified from stock picking to efficient portfolio construction through diversification. The other statements are false. As an investor diversifies away the unsystematic portion of risk, the correlation between his portfolio return and that of the market approaches positive one. (Remember that the market portfolio has no unsystematic risk). The SML measures systematic risk, or beta risk. The expected return on a zero beta security is the risk-free rate (the market premium term has a value of 0). 2.The expected rate of return is 1.5 times the 16 percent expected rate of return from the market. What is the beta if the risk free rate is 8 percent? A) 4. B) 2. C) 3. D) 5. The correct answer was B) 24 = 8 + β (16 - 8)
24 = 8 + 8β
16 = 8β
16/8 = β
β = 2 3.Given a beta of 1.25 and a risk-free rate of 6%, what is the expected rate of return assuming a 12% market return? A) 13.5%. B) 10%. C) 31%. D) 1%. The correct answer was A) k = 6 + 1.25 (12 - 6) = 6 + 1.25 (6) = 6 + 7.5 = 13.5 4.Luis Green is an investor who uses the security market line to determine whether securities are properly valued. He is evaluating the stocks of two companies, Mia Shoes and Video Systems. The stock of Mia Shoes is currently trading at $15 per share, and the stock of Video Systems is currently trading at $18 per share. Green expects the prices of both stocks to increase by $2 in a year. Neither company pays dividends. Mia Shoes has a beta of 0.9 and Video Systems has a beta of (-0.30). If the market return is 15 percent and the risk-free rate is 8 percent, which trading strategy will Green employ? A) Buy Buy B) Sell Sell C) Sell Buy D) Buy
Sell The correct answer was C) The required return for Mia Shoes is 0.08 + 0.9 × (0.15-0.08) = 14.3%. The forecast return is $2/$15 = 13.3%. The stock is overvalued and the investor should sell it. The required return for Video Systems is 0.08 - 0.3 × (0.15-0.08) = 5.9%. The forecast return is $2/$17 = 11.1%. The stock is undervalued and the investor should buy it. 5.The expected rate of return is 2.5 times the 12% expected rate of return from the market. What is the beta if the risk-free rate is 6%? A) 5. B) 2. C) 4. D) 3. The correct answer was C) 30 = 6 + β (12 - 6)
24 = 6β
β = 4 | 
发表于 2008-4-9 14:40
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