答案和详解如下： 1.In the context of the capital market line (CML), which of the following statements is TRUE? A) Market risk can be reduced through diversification. B) Firm-specific risk can be reduced through diversification. C) Risk can be totally avoided through diversification. D) The two classes of risk are market risk and systematic risk. The correct answer was B) The other statements are false. Market risk cannot be reduced through diversification; market risk = systematic risk. Diversification will not eliminate all risk. 2.Which of the following statements about systematic and unsystematic risk is FALSE? A) As an investor increases the number of stocks in a portfolio, the systematic risk will remain constant. B) Total risk equals market risk plus firm-specific risk. C) The unsystematic risk for a specific firm is similar to the unsystematic risk for other firms in the same industry. D) As compared to a less-diversified portfolio, a diversified portfolio has lower unsystematic risk. The correct answer was C) 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. 3.Based on Capital Market Theory, an investor should choose the: A) market portfolio on the Capital Market Line. B) portfolio with the highest return on the Capital Market Line. C) portfolio that maximizes his utility on the Capital Market Line. D) portfolio with the lowest risk on the Capital Market Line The correct answer was 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. 4.Which of the following is the risk that disappears in the portfolio construction process? A) Systematic risk. B) Unsystematic risk. C) Total risk. D) Interest rate risk. The correct answer was B) Unsystematic risk (diversifiable risk) is the risk that is eliminated when the investor builds a well-diversified portfolio. 5.What is the risk measure associated with the CML? A) Beta. B) Standard deviation. C) Market risk. D) Covariance. The correct answer was B) 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). | 
发表于 2008-4-9 14:26
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