|
Q4. Which of the following characteristics of asset classes is most desirable? Asset classes should:
A) have an index.
B) be mutually exhaustive.
C) be negatively correlated.
Q5. Which of the following would indicate that an asset class is useful for describing the returns of a portfolio?
A) The error term is high.
B) The intercept term is significantly different from zero.
C) The R-squared of the model is high.
Q6. Which of the following is NOT a desirable characteristic of an asset class used for describing the returns on a portfolio?
A) It should be easy to construct a bogey portfolio for each class.
B) The residual from the regression model of returns should be heteroskedastic.
C) The asset classes used should explain a large part of the variability of portfolio returns.
Q7. Which of the following would indicate that the asset classes used for describing the returns of a portfolio are desirable?
A) High R-squared and large confidence intervals.
B) Low R-squared and easily measured manager asset proportions.
C) High R-squared and easily measured manager asset proportions.
Q8. Which of the following statements regarding the characteristics of asset classes is most correct? Asset classes should:
A) have an index.
B) be negatively correlated.
C) not be highly correlated. | 
发表于 2009-3-5 14:25
| 
