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LOS i: Distinguish among linear, concave, and convex rebalancing strategies.
Q1. A constant proportion portfolio insurance (CPPI) strategy:
A) performs well in flat, oscillating markets.
B) represents the sale of portfolio insurance.
C) represents the purchase of portfolio insurance.
Q2. Which of the following statements about asset allocation strategies is FALSE?
A) Strategies for which the slope of the exposure diagram is greater than one give rise to concave payoff diagrams.
B) The constant proportion portfolio insurance (CPPI) strategy has a payoff diagram similar to that of a protective put.
C) The constant proportion portfolio insurance (CPPI) strategy is a convex strategy.
Q3. A constant mix strategy:
A) performs poorly in flat, oscillating markets.
B) performs much like a covered call position.
C) exhibits good upside potential.
Q4. Which of the following statements regarding asset allocation decisions is least accurate?
A) Insured asset allocation is similar to a constant mix-type asset allocation strategy.
B) A strategic asset allocation needs to be rebalanced periodically to maintain the constant asset proportions.
C) A contrarian investment strategy is one where expected returns tend to fall when prices rise.
Q5. Which of the following statements concerning dynamic strategies for asset allocation is FALSE?
A) Constant proportion portfolio insurance sells stocks as they fall and buys stocks as they rise.
B) A constant mix strategy is a concave strategy.
C) Constant mix sells stocks as they fall and buys stocks as they rise.
Q6. Which of the following statements about convex and concave strategies is FALSE?
A) The constant mix payoff curve is concave.
B) For constant proportion portfolio insurance (CPPI) strategies, the payoff curve is concave.
C) No downside protection exists for constant mix strategies. | 
发表于 2009-4-10 13:06
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