CHAPTER 7
AN INTRODUCTION TO PORTFOLIO MANAGEMENT
TRUE/FALSE QUESTIONS
(f) 1 A good portfolio is a collection of individually good asts.
难度系数(t) 2 Risk is defined as the uncertainty of future outcomes.
(t) 3 Prior to the work of Markowitz in the late 1950’s and early 1960’s, portfolio managers did not have a well developed, quantitative means of measuring risk.
英语必背单词(t) 4 A basic assumption of the Markowitz model is that investors ba decisions solely on expected return and risk.
(t) 5 Markowitz assumed that, given an expected return, investors prefer to minimize risk.
(t) 6 The correlation coefficient and the covariance are measures of the extent to which two random variables move together.
(f) 7 For a two stock portfolio containing Stocks i and j, the correlation coefficient of returns (rij) is equal to the square root of the covariance (covij).
神舟五号简介(t) 8 If the covariance of two stocks is positive, the stocks tend to move together over time.
(f) 9 The expected return and standard deviation of a portfolio of risky asts is equal to the weighted average of the individual ast’s expected returns and standard deviation.
(f) 10 The combination of two asts that are completely negatively correlated provides maximum returns.
(t) 11 Increasing the correlation among asts in a portfolio results in an increa in the standard deviation of the portfolio.
(f) 12 Combining asts that are not perfectly correlated does affect both the expected return of the portfolio as well as the risk of the portfolio.
(f) 13 In a three ast portfolio the standard deviation of the portfolio is one third of the square root of the sum of the individual standard deviations.
(t) 14 As the number of risky asts in a portfolio increas, the total risk of the portfolio decreas.
(f) 15 Assuming that everyone agrees on the efficient frontier (given a t of costs), there would be connsus that the optimal portfolio on the frontier would be where the ratio of return per unit of risk was greatest.
MULTIPLE CHOICE CONCEPT QUESTIONS
fighting什么意思(e) 1 When individuals evaluate their portfolios they should evaluatetotal翻译
a) All the U.S. and non-U.S. stocks.
b) All marketable curities.
c) All marketable curities and other liquid asts.
d) All asts.
e) All asts and liabilities.
浓硫酸的密度(d) 2 The probability of an adver outcome is a definition of
a) Statistics.
b) Variance.
c) Random.
d) Risk.
e) Semi-variance above the mean.
(e) 3 The Markowitz model is bad on veral assumptions regarding investor behavior. Which of the following is not such any assumption?
a) Investors consider each investment alternative as being reprented by a probability distribution of expected returns over some holding period.
b) Investors maximize one-period expected utility.春节旅游
c) Investors estimate the risk of the portfolio on the basis of the variability of expected returns.
d) Investors ba decisions solely on expected return and risk.
e) None of the above (that is, all are assumptions of the Markowitz model)
(b) 4 Markowitz believes that any ast or portfolio of asts can be described by ________ parameter(s).
a) One
b) Two
c) Three
d) Four
e) Five
(b) 5 Semivariance, when applied to portfolio theory, is concerned with
a) The square root of deviations from the mean.
b) All deviations below the mean.
c) All deviations above the mean.
d) All deviations.
e) The summation of the squared deviations from the mean.
(a) 6 The purpo of calculating the covariance between two stocks is to provide a(n) ________ measure of their movement together.
a) Absolute
b) Relative
c) Indexed发现作文600字
d) Loglinear
e) Squared
(a) 7 In a two stock portfolio, if the correlation coefficient between two stocks were to decrea over time every thing el remaining constant the portfolio's risk would
a) Decrea.
b) Remain constant.
c) Increa.
d) Fluctuate positively and negatively.
e) Be a negative value.
(d) 8 Which of the following statements about the correlation coefficient is fal?
a) The values range between -1 to +1.
b) A value of +1 implies that the returns for the two stocks move together in a completely linear manner.
c) A value of -1 implies that the returns move in a completely opposite direction.
d) A value of zero means that the returns are independent.
