Q6. To calculate the SML for Ofin Finance, Karabon needs: A) the covariance between the returns for Ofin Finance and the market portfolio. B) expected market returns. C) no data beyond what he already possesses.
Q7. Which of Karabon’s statements about the market portfolio is least accurate? A) No portfolio along the Markowitz efficient frontier has a higher Sharpe ratio than the market portfolio. B) The market portfolio is uninvestable. C) The risk of the market portfolio is measured in both standard deviation and systematic risk.
Q8. How does eliminating the ability to lend and borrow at the risk-free rate change the nature of the SML? Y-intercept Slope
A) Higher Flatter B) Higher No change C) Lower Steeper
Q9. An analyst has developed the following data for two companies, PNS Manufacturing (PNS) and InCharge Travel (InCharge). PNS has an expected return of 15% and a standard deviation of 18%. InCharge has an expected return of 11% and a standard deviation of 17%. PNS’s correlation with the market is 75%, while InCharge’s correlation with the market is 85%. If the market standard deviation is 22%, which of the following are the betas for PNS and InCharge? Beta of PNS Beta of InCharge A) 0.66 0.61 B) 0.61 0.66 C) 0.92 1.10
Q10. If the standard deviation of the market’s returns is 5.8%, the standard deviation of a stock’s returns is 8.2%, and the covariance of the market’s returns with the stock’s returns is 0.003, what is the beta of the stock?
A) 0.05. B) 0.89. C) 1.07.
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发表于 2009-1-22 11:02
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