[20L1V6R53] Portfolio Risk and Return: Part II

* 基本信息：

* 1. The line depicting the total risk and expected return of portfolio combinations of a risk-free asset and any risky asset is the:

* 2. The portfolio of a risk-free asset and a risky asset has a better risk-return tradeoff than investing in only one asset type because the correlation between the risk-free asset and the risky asset is equal to:

* 3. With respect to capital market theory, an investor’s optimal portfolio is the combination of a risk-free asset and a risky asset with the highest:

* 4. Highly risk-averse investors will most likely invest the majority of their wealth in:

* 5. The capital market line (CML) is the graph of the risk and return of portfolio combinations consisting of the risk-free asset and:

* 6. Which of the following statements most accurately defines the market portfolio in capital market theory? The market portfolio consists of all:

* 7. With respect to capital market theory, the optimal risky portfolio:

* 8. Relative to portfolios on the CML, any portfolio that plots above the CML is considered:

* 9. A portfolio on the capital market line with returns greater than the returns on the market portfolio represents a(n):

* 10. With respect to the capital market line, a portfolio on the CML with returns less than the returns on the market portfolio represents a(n):

* 11. Which of the following types of risk is most likely avoided by forming a diversified portfolio?

* 12. Which of the following events is most likely an example of nonsystematic risk?

* 13. With respect to the pricing of risk in capital market theory, which of the following statements is most accurate?

* 14. The sum of an asset’s systematic variance and its nonsystematic variance of returns is equal to the asset’s:

* 15. With respect to return-generating models, the intercept term of the market model is the asset’s estimated:

* 16. With respect to return-generating models, the slope term of the market model is an estimate of the asset’s:

* 17. With respect to return-generating models, which of the following statements is most accurate? Return-generating models are used to directly estimate the:

* 18. An analyst gathers the following information:

Which security has the highest total risk?

* 19. An analyst gathers the following information:

Which security has the highest beta measure?

* 20. An analyst gathers the following information:

Which security has the least amount of market risk?

* 21. With respect to capital market theory, the average beta of all assets in the market is:

* 22. The slope of the security characteristic line is an asset’s:

* 23. The graph of the capital asset pricing model is the:

* 24. With respect to capital market theory, correctly priced individual assets can be plotted on the:

* 25. With respect to the capital asset pricing model, the primary determinant of expected return of an individual asset is the:

* 26. With respect to the capital asset pricing model, which of the following values of beta for an asset is most likely to have an expected return for the asset that is less than the risk-free rate?

* 27. With respect to the capital asset pricing model, the market risk premium is:

* 28. An analyst gathers the following information:

With respect to the capital asset pricing model, if the expected market risk premium is 6% and the risk-free rate is 3%, the expected return for Security 1 is closest to:

* 29. An analyst gathers the following information:

With respect to the capital asset pricing model, if expected return for Security 2 is equal to 11.4% and the risk-free rate is 3%, the expected return for the market is closest to:

* 30. An analyst gathers the following information:

With respect to the capital asset pricing model, if the expected market risk premium is 6% the security with the highest expected return is:

* 31. An analyst gathers the following information:

With respect to the capital asset pricing model, a decline in the expected market return will have the greatest impact on the expected return of:

* 32. Three equity fund managers have performance records summarized in the following table:

Given a risk-free rate of return of 2.60%, which manager performed best based on the Sharpe ratio?

* 33. Which of the following performance measures is consistent with the CAPM?

* 34. Which of the following performance measures does not require the measure to be compared to another value?

* 35. Which of the following performance measures is most appropriate for an investor who is not fully diversified?

* 36. Analysts who have estimated returns of an asset to be greater than the expected returns generated by the capital asset pricing model should consider the asset to be:

* 37. With respect to capital market theory, which of the following statements best describes the effect of the homogeneity assumption? Because all investors have the same economic expectations of future cash flows for all assets, investors will invest in:

* 38. With respect to capital market theory, which of the following assumptions allows for the existence of the market portfolio? All investors:

* 39. The intercept of the best fit line formed by plotting the excess returns of a manager’s portfolio on the excess returns of the market is best described as Jensen’s:

* 40. Portfolio managers who are maximizing risk-adjusted returns will seek to invest more in securities with:

* 41. Portfolio managers, who are maximizing risk-adjusted returns, will seek to invest less in securities with: