（最新）投資學(xué)第7版TestBank答案（精品干貨）

1、投資學(xué)第7版TestBank答案Multil Cice Questns1Mrketri is ao rerdto as A）syematc rik, divesifiable ris B)sysematic is， nondveifiabe risk。C)qu risk, nondiversifible sk。 D）uniqe risk，iversifialis E）nnefheaboe。 Asw: Diffculy：Ey Rational: Markt， sysematic, and novfiale is ae snoy eferring to the risk that not elmi

2、nted fromthe portflo Divifible, unique，osystemtc,an irmspecifc riks ae synys referrin t the rik thacan beelimatd fmheportfoi bydivrsification。.感謝聆聽2herikth cn be diversifiedawyi A)fir pcc risk. B)beta C)systemtriskD）mret risk。E)nne of he aove. Answr:A ficlty： Easy Ratnale： e explantonsfor1 d 2 above

3、The variae ofa prtfolio ofriky ecuriies A)s eight um f te scurities arianes。 )te sumf the scuritiesan. ）s the ghte sum of the secuitie vricesa vriaes)i the sum o theseuritiscovarances E)e ofthe oe. wr：C Diffclty：Modte Rationale: he varianc of a rfolioo risky securitiiwehted su takig itoaccont bot th

4、e varneof he ndivdulscuritieand h cvarancs betweensecuritis.感謝聆聽4.Th expcted rtu of a ortolo f ikysecries )s a wighted aeref he secutes eurns。B）i the umo seurie returns.C）is thewihtdsum o th secuitiesvracean covariaces。 ）A nd C. E）non he abve。 nswr： Difficlt：Eay 5.Oter hings equl，dversifction so eff

5、ectewhe A）securites etusar unorrlatedB)ecuitie reurns are ositively orlated.C）ecuities retrns are ih. ）ecurites reurn arengatiely orelat) and C. Answer： D ificy: Modera Rtinale:Neative orrtion amnecurtie esuts i te retes redcion of poroi risk, whichithe gol of dierfiation。.感謝聆聽6。Theffcint ftir ofis

6、asset s）the ortion of e ivstment pportunitst that lie aove te loblnumvarice portfoli。 B)the porinofte inestmetpprtnty setthat epents he hist tanr deiations。 C）hprtion o the inement opportnity se whic iluesh potfolos ithte lowst stndard eviatin。 D）e set ofprtfolos hathavezero stanard devtio。 E)botAan

7、dB are true. Anser:A ificty: Modrte Ratiole： ortfolos the eficiet fotier are hose prvidnthe geates exeted eturn for a gvnamount of rik. Onl tho portfolios abve e lba inmm variace ofoio met this criterion。.感謝聆聽7TheCapal Allotion Lnroedb a ris-fre euityand N rsy seuritesis A）th line thatconcts t iskfe

8、 rateand the globa inimu-varianeortfol of te riky seurtis。 B)the ine ta cnnecstheri-fre rate an e potfoi of te risyseuritis ht ha thighest eecte rtrn o t efficiet frontir .感謝聆聽C）theine ngen o te fcit ronte oriy seuriis draw from the riskree rat. D）the orzontal lnedran fom th risk-free rat E)non f th

9、e aove。 Answr： C Difficlty：Moderat Ratnae： TeaptaAllocati neprsen he mosteffien cmbiains fth risree aetan risky securites. Only C meet thatdeinitin。.感謝聆聽8。Cosde a vesmet oportunityt foredwith tosecuitis th ae perfct eaively oetd. he goblminimumariaceportoli aa stanad deaton a ialays .感謝聆聽A）great tha

10、nzo。 B)eua to zero。 C）qal t t sum othesecurties sndad datn。 D）equlto 1. E)on f te aboveAnser： B Dffculy： ificut Ranale： If ecurits wee eretl givelyclated， the eights rthemnimum varinc potf or those securiis ould e calulated， anth stadard eviaton of h resultng prtfoliuld be o。.感謝聆聽9.Whichof thefollog

11、 staemnts （)rue regardn thevriancef aporfolio oftwo isky eurities？ ）The hger thecoefficieoreatio btweensecries, the ter he redutin i te portfolo variane B)There is a linear rlaionshpbetweenthe curites cefficent ratio a he porfl variance C）edegreeto whichte porolio variace is rduceddepnds on the degr

12、eof corato beteen securiies。 ) an . E）A and C. Anwe: C iffcult:Mate Rationle: he lowr the cration btweente eturns o the seurite, the moprfolio risk is educd.10.ffent prtfolios of rik euritesare potoliosthat）r formd wih th secritehat hae the hihstrateof return regardle of e stndardevaio。 ）have t ghet

13、 rats f retun oragiven evel o rs. )e electedfrom tose scurities with the lowststndadetio regardlesof tiretrns。D）havethe higest isk andates ofreturn andtheighesstandd deiations )have the loet standarddeviatns ndhe lost rae of retun。 Answe: B Difficulty:oerate aionale: Prtfolostat ar eicen are hse tha

14、t proviethe ihst pected rtun fa level frisk.Wich of thfollwgtatmet（s） is (ar) true regaring the selein of a portfolio from tse th e on he Capita llotion Ln？.感謝聆聽A)Leriskaves invetors l inet ore i the rskfe security an les i thoptma risk tfoi tan ore riskaverse ivestors。 .感謝聆聽B)Mor rskerse investors

15、will ivest less n he ptmalrisky ortfol and or nth risfrescuty n essrsaese ito. .感謝聆聽）Invtorcooset potolio tat maximizes their exped tility. D)A ad C。 E）B an C.nsr：E Difculty：Modert Rational: Alrtioninvestorselct the ptolo that maximizsheir expectedutilit;for iestors who ar reatvymorerskvese, doi o e

16、ns nvesting essin he optil rportfolioanmor heriskree asse.感謝聆聽se the followig to nswer quios128:Consider he olowing prbaiity dstrbutin fo tockA a B:12Te epectd es of etn ofsos andB ae _and _ ， respctivl. A）13； 9% ）4%;10%C）1。； 7 D）7。7%; 1.% E)on fthe abvAnser：C Dificlty: Easy Raionale： E（RA） = .1（10)

17、+ 02(1）+.（2) + 0。3(1) + 0。2(%) = 。2%；(RB) 0。1（8)+ 0.（7） + 0。2(） + 0。（9） + 0。(8%)= 7.7.感謝聆聽1。Thesndard diationsstocks andB are_ and _，espectiely. A)。5；9% B)2.5%;1。1% ）%； 2% D）1.5； .% E)one f the aove nswer：D Dffculty:Moerate Rationae： sA0。1( - 13。2)2 + 0。2(1%- 13。2)2+ 0.2(12 13。）2 0.3(14-13。） +0。2(15

18、 3。%)21/= 1.; B 01（% 。7)2 + 0。2（% - 7。7)2+ 0.2(6 - .7）2 + 。（% 7。7）2 + 0。2(8% 7.7）2 = 1。.感謝聆聽1.The coefficint ofcorlationbwA an B A)047. B).60. ）0。8D）10. E)ne of heaove。 wer: A ifcy: Difficu atinle: coA，B 0。(10% 13.)(8% -.7%） + 02(3 13.2）(7 77） + 02（2 3.2）（6 。7) + 0。（14 - 1.2）（% 7.) + 0。(15 - 13.%）（8

19、 。7) = 。76； rA，B = 0。76(11）(1.5） = 07.感謝聆聽15。If youist40% o ur money in A 60% ， wt wdbe ou ortfolios expectd at f return and stad deviion? .感謝聆聽A）9。9； 3 B）99；1。1% C)11%； 1。1D)11%; 3% )one of e o Answe： B Difiulty： ificl Ratnae： E(P） 0.4（32) + 0。（7.%) = .%； sP=（0.4）2（.）2 + (。6）2(1.1)+2(4）(0。)（1)(1)（。

20、4）= 1。.感謝聆聽16Le G be the global iimrianceotfoli. The wighsof ad B n re _ and _， resective. .感謝聆聽A）0.40; 0。0 ).； 0.3 )04; 0。66)076； 0。24)0.24; 0.76Anse:E Dificlty：Diffct Rionl： w (1.1） (.5）（。1）(。46）/（15)2 + （11) （2)(5)(1。)(0.6）= .2； wB =1 - 0.23 =0.7。ote tht th above soon ms th solutins btained in qu

21、estin 13 ad 14.感謝聆聽7。T epcte t f rn anstandar deviation f theob minimm ariancportfoio， G, are _ n _， respectvely.感謝聆聽A）1007; 5）90; 2.03 C)0。07; 30% D)9.4； .05% ）n of the above wr： Dificlty：Mrte Rtonale： E(） = 0。23（1。%） +07(7.）= 89. 9； G = (。23）（1。）2 （.7)2（1。1)2+ （2）（.2）（0.)(15）（1。1）（0。6）12 = 10%.感謝聆

22、聽18。Whchofthe loing portolio（s) s （a) on theefien froner？ A）The ortfoli wt2 prentin An 80 percet in ）T prtfolio wth 15ercent inAnd8 pecntin C）The porto wit 6 percnt n A ad 74 pern iB。D）Th ortfolio wth 0 perentn A and 9 prcent n B. E）anB areth ontheeficien rotir。Answer： C ifculty： iiu Ratonae:Th Prtf

23、oiosE(Rp）, ， Rewrd/volatiy rato are 20/80: 8.8%,。05， 8.38; 15A/5: 8。5， 1.06， 8。07； 26/74B： .13,1.0， 8.70； 10A/90B: 8。25%, 10%, 7.73. T orfolioth2in A ad 74 i B domisal othe otherportfoliosby the mnariae cterion.感謝聆聽Usethfoloing tswe question1921：onsier tperfectgtively rrelated rsk seurities A ad . A

24、as an expectedte f reuno10 a sandd eiatono 。 hs an xpectedae of return f8%ad a stadd deviation o12 .感謝聆聽19.The weights of A nd inte lobalminimu variance porloe _ nd_， rescielA)0。2；76）0。50； 。50 C）0。57； 0。43D）0.； 0.7E)0.76; 4 nwr: D Difficult：oderate Ratonal: w = 12 （16 12) 0。426;= - 4286= 05714。20.he

25、 s-free prolio ha cn be formedwiththetwosuriieswill earn _ rte o reurn.A）8.5% )9。0）8.9% D）9 E）noneo the aboeAswe： C Difcuy:Difcl Ranle：（) = 43（10) + 0。57（%) 886。1。Wico thfolowi rfolio（s） is(ar）most efficnt? A)45 ercent and5 percent inB. )65 rcet in and 5pcent in)5 pcetin Ad 65 rnt in 。 D)A and B are

26、 ot ffiint.E）A andC ar bothefcen。 Awer:D ifficuly：Dificult Raionale： Te Prfolio （Rp）， s,anRewaliitratios re/55： 89%， 0。6,148; 535B: 9。3， 6。，.5； 5A/65B： 。7%, 2， 3。9。 Bot A an B eficiet aordigto theeanvraneritrio. has uch hiheReward/oatlityrati。.感謝聆聽An investr who wisheo forma ortfolo tat lies toter o

27、f he ptma rikyportfoli n the Capial Alocatio Line must:.感謝聆聽A)lend some f e money t the sre rate and investthereminder n theptimal riky porfolio. B)orrowsmeme tt riskfe rae nd ines inthetialris portfolo.)inet ony n isky scurities。 D）suchaportfolio nno be fred。 E)B Anser： E Dificuly: Moderat Ratinle：

28、 Th ol way tha a investor aceteotfoos to he ght of te apital Alloation Lin s to reate a rrwing ptfoio(by stocks on mgin）。 In thisas, thinvestrwilo hold yofh ris-free securty， ut wllhold only risky seuris.感謝聆聽23.Which one f th folig prtfols canot lie oteficin frntie sdecibed y kwitz？A）Oly rtfolioW ca

29、nnt lie on h efficient frontier. )Oly orflio X canot leon he efficient roier.C）nly porol Y cannot l on eeicien rontier. D)y poolo Z cannot li on h eficinrntier. E)Cnno tll frm h infrmaigven. Aswer： ifficulty: Merte Ratne： Whepottintheabve potfoi, oy W lies beowt fficie ntr sesrbd b Maoiz. I ha iher

30、sadardeviaion tan Z ith lower expectd retun.感謝聆聽24。Whih one f the folloingprtfolios cannotlien e efficien fronters dscibed b arowit？A）Onlypotfoio cant lie n eintfrntier. B)nly prtfolo Bannot lie on th effcient frontier. C）Only prto cannot lieonthe fficent frotier ）nl portfi D annot ie ohe efnt fnie。

31、 ）Cnnot tellfrom the inaton givn Ane: D Dicult： Moerte Ronal：Whnpotigthe aboeprtolios， only lie belothe fict tieras dcrbe by Markowiz. I a hig standad deviin thn Z ita lwrepected retr.感謝聆聽25.Portfio terya esrbedy Maoitz is most concened ith： ）the emiaton of systmic r B)e effec of diersficto onportol

32、o rk.C）t intfcaion nsstematic rik。D)active portfolioanagemen to enhance returns. ）none f the above. Anwr： Dficulty: Modrate Rationale: Markowit was ccerned wit rducingpotlio rk by cmbi risky securiies ith dferigreurn pattern.感謝聆聽6。Themeaure ofrk in a Marwizefiint frntirs： A）specific isk。B）tandarddev

33、iaio o retrs. ）renvesentrisk。 D)beta.E）nonofthe boe. Anwr: B ificuy： Modeae Rationale： Marwtzwas nerstein eliminatinivesifible rsk (and thslessenig totl rik) andhswasntereted i dcrasing the standard devitio therur of the porlio.感謝聆聽27.A tatistc tat aues hw thertrn f tw risky asset moetogeher is： A)v

34、ariane。 B）standad det。)covariac。 D)correltin. E）C andD Anwer：E iiculty：MderateRioale：Covrince mesurewhethe securty eurnsmo tgteorn oppsition； howeve, onl th sgn， nothemagnud， f covarince my be inerpret. Corrlation，whichi covaiac standardiedy e poduc o h sandard eviations of he woseuris， myassue vaus

35、 ly beteen +1 and 1;thus， both the sig ad th manitde ay be nterpete regring e mvement of onesecuritys rturn relati th anotherseury。.感謝聆聽8The unssmaic rikf spcific city）s l to higher i an ncrasing mrkt. B）lt fromats unqut the f C)depends onmarket volatili。 D)anno be ivrsiiedwy. )non ofhe ve.nr：B Difi

36、cu： Mderate Ratioale：nsyteatic （oriversifiabl or frmpcific）risk refrs to actors uniquto t frm.Such risk ma be diversified aay； hwever， maket will remain.感謝聆聽29.Which stament bt portfolo diversifiin is crrect? ）Pop dveriiation ca redue or lii systmatc rsk。）The ikreducing bnefts of iversiicatio dont c

37、urmeanngfuly unti least 56 niidul ecurites have een purchaed .感謝聆聽C）Becs dvesiicaireducsaortflos total rk， i necearilyreduc the porolios xpcted rtunD）Typicall， asmore securies re adde to a ofoli， tt ris ould eexpecte to deasat a dereasng rate .感謝聆聽E）on of the aove staements i crrct。Answe： D Dificut：

38、 oderte Rtiole： Diversificatio an iina on nnsystemticrik; rlatvely fewscrites r eqre to edue is rsk， hus dimnishing retuns result quickly. Dierifictionos o necessrly reducereturn。.感謝聆聽30。The iivdual investors optiml prtolio sdesgnatd ： ）Theoit of angency ithe indifeene crve ad apitlalloion ine。 B)Th

39、 poit of hihest ewadto varibiiy riin theoportuntset C）Thpoitof tangency witht opprtuniy st and e cpitalallcation lie ）Te int ofthe ghe rar to vaiabiiyrato in the ndifferce cuve。 E）None f thabve。 Answer:A ifficulty: Modeat tioale: The inierencecurv eprsets w is accetae to th ivesto； t capitalalloct l

40、ine repeentswhtis vilale n the markt hepoin angency epeses whertenvesorca otain the geates utlity fr wh s available.感謝聆聽1。For to-sto prtfoli, what woud the prferredcorrela coffiien between he twosoks? A）+1.00. B）+050 C）0。00.）1。00。 E)noneof t abve ser： Difficuty： Modat Raole： Th crrlin offiient of 。0

41、0 provie he greaetdiveiiction benes.2。Ia osecrit minimum variance prtolo here the orreaion etwensecuiisis ter than -0 A)te scurity with tehier sandardeatio wll bwightd more healy。B)thcurty wih he gh standrd deiaon will b weihess heily. )the w seuities wll be equllyweightd。 D）h sk wi be eo.）retur illbe zer。Anwr：B iiculty：Difficut Rtonale： The security wit he hgetadrdvato wll be