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Q8. Jeff Graefe has a risk-aversion value of 6. He is evaluating three competing investments with the following characteristics. Which investment would have the least utility for Graefe?
|
Portfolio |
Return |
Std. Dev. |
|
A |
18.0% |
24.0% |
|
B |
13.5% |
10.0% |
|
C |
9.5% |
6.0% |
A) A.
B) B.
C) C.
Q9. Dan Laske is evaluating three portfolios for investment of his retirement funds. Laske has a risk aversion value of 5. Which portfolio would be best for him?
|
Portfolio |
Return |
Std. Dev. |
|
A |
15.0% |
17.0% |
|
B |
10.6% |
10.0% |
|
C |
8.8% |
8.0% |
A) B.
B) C.
C) A.
Q10. Walter Staley has recently hired The Joseph Group, a registered investment advisory firm, to manage his $1 million dollar taxable investment portfolio. Staley met with the principals of the firm to define his objectives. It was determined that Staley’s required before-tax return is 6.5%, and his score on a risk-assessment questionnaire was 6, out of a possible 10 indicating risk aversion. Staley can be placed into one of four portfolio allocations to meet his required return and risk objectives:
|
Portfolio |
Expected Return |
Standard Deviation |
|
A |
6.7% |
8% |
|
B |
6.9% |
9% |
|
C |
7.9% |
12% |
Based on Staley’s utility adjusted return, the best portfolio for his objectives would be:
A) Portfolio A.
B) Portfolio B.
C) Portfolio C.
Q11. Daniel Roe and Loretta Morgan are both potential new clients of Grachek Investment Advisors. A summary of Ellen Grachek’s notes concerning the potential clients are as follows:
§ Roe stated that he wants to have a positive return on his $500,000 portfolio at all times, and that his required before-tax return is 7%. On a risk aversion questionnaire, Roe scored an 8, with 10 indicating the highest risk aversion.
§ Morgan indicated that her $1,000,000 portfolio must generate a 2% return each year in order to meet her living expenses without making any withdrawals from the portfolio’s principal. On a risk aversion questionnaire, Morgan scored a 3, with 10 indicating the highest risk aversion.
Grachek Investment Advisors has four model portfolios that they use for each client. Characteristics for each portfolio are identified below:
|
Portfolio |
Expected Return |
Standard Deviation |
|
A |
5.5% |
7% |
|
B |
6.0% |
8% |
|
C |
6.5% |
10% |
|
D |
8.0% |
15% |
After reviewing her notes and making some calculations, Grachek makes the following statements regarding each client:
Statement 1: Based on a utility adjusted return of 2.54%, Portfolio B would be the best choice for Roe.
Statement 2: Using Roy’s Safety-First Measure, Portfolio D generates a score of 0.40, and would be the worst choice of the four for Morgan’s portfolio.
Regarding her statements, Grachek is:
A) Statement 1 is correct; Statement 2 is correct.
B) Statement 1 is incorrect; Statement 2 is incorrect.
C) Statement 1 is incorrect; Statement 2 is correct. | 
发表于 2009-3-5 14:14
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