投资学题库Chap007

7-1Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.Chapter07OptimalRiskyPortfoliosMultipleChoiceQuestions1.MarketriskisalsoreferredtoasA.systematicrisk,diversifiablerisk.B.systematicrisk,nondiversifiablerisk.C.uniquerisk,nondiversifiablerisk.D.uniquerisk,diversifiablerisk.2.SystematicriskisalsoreferredtoasA.marketrisk,nondiversifiablerisk.B.marketrisk,diversifiablerisk.C.uniquerisk,nondiversifiablerisk.D.uniquerisk,diversifiablerisk.E.Noneoftheoptions7-2Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.3.NondiversifiableriskisalsoreferredtoasA.systematicrisk,uniquerisk.B.systematicrisk,marketrisk.C.uniquerisk,marketrisk.D.uniquerisk,firm-specificrisk.4.DiversifiableriskisalsoreferredtoasA.systematicrisk,uniquerisk.B.systematicrisk,marketrisk.C.uniquerisk,marketrisk.D.uniquerisk,firm-specificrisk.5.UniqueriskisalsoreferredtoasA.systematicrisk,diversifiablerisk.B.systematicrisk,marketrisk.C.diversifiablerisk,marketrisk.D.diversifiablerisk,firm-specificrisk.E.Noneoftheoptions7-3Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.6.Firm-specificriskisalsoreferredtoasA.systematicrisk,diversifiablerisk.B.systematicrisk,marketrisk.C.diversifiablerisk,marketrisk.D.diversifiablerisk,uniquerisk.7.NonsystematicriskisalsoreferredtoasA.marketrisk,diversifiablerisk.B.firm-specificrisk,marketrisk.C.diversifiablerisk,marketrisk.D.diversifiablerisk,uniquerisk.8.TheriskthatcanbediversifiedawayisA.firmspecificrisk.B.beta.C.systematicrisk.D.marketrisk.9.TheriskthatcannotbediversifiedawayisA.firm-specificrisk.B.unique.C.nonsystematicrisk.D.marketrisk.7-4Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.10.ThevarianceofaportfolioofriskysecuritiesA.isaweightedsumofthesecurities'variances.B.isthesumofthesecurities'variances.C.istheweightedsumofthesecurities'variancesandcovariances.D.isthesumofthesecurities'covariances.E.Noneoftheoptions11.ThestandarddeviationofaportfolioofriskysecuritiesisA.thesquarerootoftheweightedsumofthesecurities'variances.B.thesquarerootofthesumofthesecurities'variances.C.thesquarerootoftheweightedsumofthesecurities'variancesandcovariances.D.thesquarerootofthesumofthesecurities'covariances.12.TheexpectedreturnofaportfolioofriskysecuritiesA.isaweightedaverageofthesecurities'returns.B.isthesumofthesecurities'returns.C.istheweightedsumofthesecurities'variancesandcovariances.D.isaweightedaverageofthesecurities'returnsandtheweightedsumofthesecurities'variancesandcovariances.E.Noneoftheoptions7-5Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.13.Otherthingsequal,diversificationismosteffectivewhenA.securities'returnsareuncorrelated.B.securities'returnsarepositivelycorrelated.C.securities'returnsarehigh.D.securities'returnsarenegativelycorrelated.E.securities'returnsarepositivelycorrelatedandhigh.14.TheefficientfrontierofriskyassetsisA.theportionoftheinvestmentopportunitysetthatliesabovetheglobalminimumvarianceportfolio.B.theportionoftheinvestmentopportunitysetthatrepresentsthehigheststandarddeviations.C.theportionoftheinvestmentopportunitysetthatincludestheportfolioswiththeloweststandarddeviation.D.thesetofportfoliosthathavezerostandarddeviation.15.Thecapitalallocationlineprovidedbyarisk-freesecurityandNriskysecuritiesisA.thelinethatconnectstherisk-freerateandtheglobalminimum-varianceportfoliooftheriskysecurities.B.thelinethatconnectstherisk-freerateandtheportfoliooftheriskysecuritiesthathasthehighestexpectedreturnontheefficientfrontier.C.thelinetangenttotheefficientfrontierofriskysecuritiesdrawnfromtherisk-freerate.D.thehorizontallinedrawnfromtherisk-freerate.7-6Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.16.Consideraninvestmentopportunitysetformedwithtwosecuritiesthatareperfectlynegativelycorrelated.TheglobalminimumvarianceportfoliohasastandarddeviationthatisalwaysA.greaterthanzero.B.equaltozero.C.equaltothesumofthesecurities'standarddeviations.D.equalto-1.17.Whichofthefollowingstatement(s)is(are)trueregardingthevarianceofaportfoliooftworiskysecurities?I)Thehigherthecoefficientofcorrelationbetweensecurities,thegreaterthereductionintheportfoliovariance.II)Thereisalinearrelationshipbetweenthesecurities'coefficientofcorrelationandtheportfoliovariance.III)Thedegreetowhichtheportfoliovarianceisreduceddependsonthedegreeofcorrelationbetweensecurities.A.IonlyB.IIonlyC.IIIonlyD.IandIIE.IandIII7-7Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.18.Whichofthefollowingstatement(s)is(are)falseregardingthevarianceofaportfoliooftworiskysecurities?I)