Q1. Which of the following statements about portfolio management is most accurate?
A) The security market line (SML) measures systematic and unsystematic risk versus expected return; the CML measures total risk. B) As an investor diversifies away the unsystematic portion of risk, the correlation between his portfolio return and that of the market approaches negative one. 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.
Q2. The essence of the capital asset pricing model (CAPM) is embodied in which of the following equations?
A) Both the security market line (SML) and the capital market line (CML) as they are both the same equation. B) The capital market line (CML). C) The security market line (SML).
Q3. The expected market premium is 8%, with the risk-free rate at 7%. What is the expected rate of return on a stock with a beta of 1.3? A) 16.3%. B) 17.4%. C) 10.4%.
Q4. What is the required rate of return for a stock with a beta of 1.2, when the risk-free rate is 6% and the market is offering 12%?
A) 13.2%. B) 7.2%. C) 6.0%.
Q5. The beta of Stock A is 1.3. If the expected return of the market is 12%, and the risk-free rate of return is 6%, what is the expected return of Stock A?
A) 13.8%. B) 14.2%. C) 15.6%.
| 
发表于 2009-1-22 11:06
| 
