Q6. Adding a stock to a portfolio will reduce the risk of the portfolio if the correlation coefficient is less than which of the following?
A) 0.00. B) +0.50. C) +1.00.
Q7. An investor has a two-stock portfolio (Stocks A and B) with the following characteristics: - σA = 55%
- σB = 85%
- CovarianceA,B = 0.9
- WA = 70%
- WB = 30%
The variance of the portfolio is closest to: A) 0.59 B) 0.39 C) 0.54
Q8. An investor’s portfolio currently consists of 100% of stocks that have a mean return of 16.5% and an expected variance of 0.0324. The investor plans to diversify slightly by replacing 20% of her portfolio with U.S. Treasury bills that earn 4.75%. Assuming the investor diversifies, what are the expected return and expected standard deviation of the portfolio? ERPortfolio
σPortfolio
A) 14.15% 2.59% B) 10.63% 2.59% C) 14.15% 14.40%
Q9. What is the variance of a two-stock portfolio if 15% is invested in stock A (variance of 0.0071) and 85% in stock B (variance of 0.0008) and the correlation coefficient between the stocks is –0.04? A) 0.0020. B) 0.0026. C) 0.0007.
Q10. Which of the following equations is least accurate? A) Real Risk-Free Rate = [(1 + nominal risk-free rate) / (1 + expected inflation)] − 1. B) Standard Deviation2-Stock Portfolio = [(w12 × σ12) + (w22 × σ22) + (2 × w1 × w2 σ1σ2 × ρ1,2)]. C) Required Returnnominal = [(1 + Risk Free Ratereal) × (1 + Expected Inflation) × (1 + Risk Premium)] − 1.
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发表于 2009-1-22 10:30
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