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LOS j: Describe how taxes relate to mean–variance optimization and asset location.
Q1. On a graph where the risk is on the horizontal axis and the returns are on the vertical axis, the existence of taxes on investment returns would probably shift the mean-variance optimization portfolio:
A) down and to the right.
B) down and to the left.
C) down only, and there would not be a shift left or right.
Q2. In applying efficient frontier analysis for an investor who uses both taxable and tax-advantaged accounts,
A) no considerations need to be made because total taxes will be the same in the long run.
B) the investor should set up two separate frontiers and optimize each in accordance with the separation theorem.
C) constraints should be imposed to account for the limits that can be put in tax-exempt accounts.
Q3. In applying efficient frontier analysis for an investor who uses both taxable and tax-advantaged accounts, the mean-variance optimization:
A) cannot simultaneously determine both the weights in the available assets and their location in the various accounts, but it can be done in a step-wise fashion. Usually the weights are determined first and then the locations.
B) would simultaneously determine both the weights in the available assets and their location in the various accounts.
C) cannot simultaneously determine both the weights in the available assets and their location in the various accounts, but it can be done in a step-wise fashion. Usually the locations are determined first and then the weights.
Q4. Which of the following most accurately describes the process for adjusting the returns when applying efficient frontier analysis for an investor who uses both taxable and tax-advantaged accounts?
A) Accrual equivalent before-tax returns would be substituted for after-tax returns and after-tax risk would be substituted for before-tax risk.
B) Accrual equivalent after-tax returns would be substituted for before-tax returns and after-tax risk would be substituted for before-tax risk.
C) Accrual equivalent before-tax returns would be substituted for after-tax returns and before-tax risk would be substituted for after-tax risk. | 
发表于 2009-4-2 14:41
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