答案和详解如下： Q1. What is the risk measure associated with the CML?
A) Standard deviation. B) Beta. C) Market risk. Correct answer is A) In the context of the CML, the measure of risk (x-axis) is total risk, or standard deviation. Beta (systematic risk) is used to measure risk for the security market line (SML). Q2. Which of the following is the risk that disappears in the portfolio construction process?
A) Systematic risk. B) Unsystematic risk. C) Interest rate risk. Correct answer is B) Unsystematic risk (diversifiable risk) is the risk that is eliminated when the investor builds a well-diversified portfolio. Q3. Based on Capital Market Theory, an investor should choose the: A) portfolio with the highest return on the Capital Market Line. B) market portfolio on the Capital Market Line. C) portfolio that maximizes his utility on the Capital Market Line. Correct answer is C) Given the Capital Market Line, the investor chooses the portfolio that maximizes his utility. That portfolio may be exactly the market portfolio or it may be some combination of the risk-free asset and the market portfolio. Q4. Which of the following statements about systematic and unsystematic risk is least accurate? A) The unsystematic risk for a specific firm is similar to the unsystematic risk for other firms in the same industry. B) Total risk equals market risk plus firm-specific risk. C) As an investor increases the number of stocks in a portfolio, the systematic risk will remain constant. Correct answer is A)
This statement should read, "The unsystematic risk for a specific firm is not similar to the unsystematic risk for other firms in the same industry." Thus, other terms for this risk are firm-specific, or unique, risk. Systematic risk is not diversifiable. As an investor increases the number of stocks in a portfolio the unsystematic risk will decrease at a decreasing rate. Total risk equals systematic (market) plus unsystematic (firm-specific) risk. Q5. In the context of the capital market line (CML), which of the following statements is TRUE?
A) The two classes of risk are market risk and systematic risk. B) Market risk can be reduced through diversification. C) Firm-specific risk can be reduced through diversification. Correct answer is C) The other statements are false. Market risk cannot be reduced through diversification; market risk = systematic risk. The two classes of risk are unsystematic risk and systematic risk. Q6. Which of the following is least likely considered a source of systematic risk for bonds? A) Purchasing power risk. B) Default risk. C) Market risk. Correct answer is B) Default risk is based on company-specific or unsystematic risk. | 
发表于 2009-1-22 10:59
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