投资学第7版Test-Bank答案07

Chapter7OptimalRiskyPortfolios137MultipleChoiceQuestions1.MarketriskisalsoreferredtoasA)systematicrisk,diversifiablerisk.B)systematicrisk,nondiversifiablerisk.C)uniquerisk,nondiversifiablerisk.D)uniquerisk,diversifiablerisk.E)noneoftheabove.Answer:BDifficulty:EasyRationale:Market,systematic,andnondiversifiableriskaresynonymsreferringtotheriskthatcannotbeeliminatedfromtheportfolio.Diversifiable,unique,nonsystematic,andfirm-specificrisksaresynonymsreferringtotheriskthatcanbeeliminatedfromtheportfoliobydiversification.2.TheriskthatcanbediversifiedawayisA)firmspecificrisk.B)beta.C)systematicrisk.D)marketrisk.E)noneoftheabove.Answer:ADifficulty:EasyRationale:Seeexplanationsfor1and2above.3.ThevarianceofaportfolioofriskysecuritiesA)isaweightedsumofthesecurities'variances.B)isthesumofthesecurities'variances.C)istheweightedsumofthesecurities'variancesandcovariances.D)isthesumofthesecurities'covariances.E)noneoftheabove.Answer:CDifficulty:ModerateRationale:Thevarianceofaportfolioofriskysecuritiesisaweightedsumtakingintoaccountboththevarianceoftheindividualsecuritiesandthecovariancesbetweensecurities.Chapter7OptimalRiskyPortfolios1384.TheexpectedreturnofaportfolioofriskysecuritiesA)isaweightedaverageofthesecurities'returns.B)isthesumofthesecurities'returns.C)istheweightedsumofthesecurities'variancesandcovariances.D)AandC.E)noneoftheabove.Answer:ADifficulty:Easy5.Otherthingsequal,diversificationismosteffectivewhenA)securities'returnsareuncorrelated.B)securities'returnsarepositivelycorrelated.C)securities'returnsarehigh.D)securities'returnsarenegativelycorrelated.E)BandC.Answer:DDifficulty:ModerateRationale:Negativecorrelationamongsecuritiesresultsinthegreatestreductionofportfoliorisk,whichisthegoalofdiversification.6.TheefficientfrontierofriskyassetsisA)theportionoftheinvestmentopportunitysetthatliesabovetheglobalminimumvarianceportfolio.B)theportionoftheinvestmentopportunitysetthatrepresentsthehigheststandarddeviations.C)theportionoftheinvestmentopportunitysetwhichincludestheportfolioswiththeloweststandarddeviation.D)thesetofportfoliosthathavezerostandarddeviation.E)bothAandBaretrue.Answer:ADifficulty:ModerateRationale:Portfoliosontheefficientfrontierarethoseprovidingthegreatestexpectedreturnforagivenamountofrisk.Onlythoseportfoliosabovetheglobalminimumvarianceportfoliomeetthiscriterion.Chapter7OptimalRiskyPortfolios1397.TheCapitalAllocationLineprovidedbyarisk-freesecurityandNriskysecuritiesisA)thelinethatconnectstherisk-freerateandtheglobalminimum-varianceportfoliooftheriskysecurities.B)thelinethatconnectstherisk-freerateandtheportfoliooftheriskysecuritiesthathasthehighestexpectedreturnontheefficientfrontier.C)thelinetangenttotheefficientfrontierofriskysecuritiesdrawnfromtherisk-freerate.D)thehorizontallinedrawnfromtherisk-freerate.E)noneoftheabove.Answer:CDifficulty:ModerateRationale:TheCapitalAllocationLinerepresentsthemostefficientcombinationsoftherisk-freeassetandriskysecurities.OnlyCmeetsthatdefinition.8.Consideraninvestmentopportunitysetformedwithtwosecuritiesthatareperfectlynegativelycorrelated.TheglobalminimumvarianceportfoliohasastandarddeviationthatisalwaysA)greaterthanzero.B)equaltozero.C)equaltothesumofthesecurities'standarddeviations.D)equalto-1.E)noneoftheabove.Answer:BDifficulty:DifficultRationale:Iftwosecuritieswereperfectlynegativelycorrelated,theweightsfortheminimumvarianceportfolioforthosesecuritiescouldbecalculated,andthestandarddeviationoftheresultingportfoliowouldbezero.9.Whichofthefollowingstatementsis(are)trueregardingthevarianceofaportfoliooftworiskysecurities?A)Thehigherthecoefficientofcorrelationbetweensecurities,thegreaterthereductionintheportfoliovariance.B)Thereisalinearrelationshipbetweenthesecurities'coefficientofcorrelationandtheportfoliovariance.C)Thedegreetowhichtheportfoliovarianceisreduceddependsonthedegreeofcorrelationbetweensecurities.D)AandB.E)AandC.Answer:CDifficulty:ModerateRationale:Thelowerthecorrelationbetweenthereturnsofthesecurities,themoreportfolioriskisreduced.Chapter7OptimalRiskyPortfolios14010.EfficientportfoliosofNriskysecuritiesareportfoliosthatA)areformedwiththesecuritiesthathavethehighestratesofreturnregardlessoftheirstandarddeviations.B)havethehighestratesofreturnforagivenlevelofrisk.C)areselectedfromthosesecuritieswiththeloweststandarddeviationsregardlessoftheirreturns.D)havethehighestriskandratesofreturnandthehigheststandarddeviations.E)havetheloweststandarddeviationsandthelowestratesofreturn.Answer:BDifficulty:ModerateRationale:Portfoliosthatareefficientarethosethatprovidethehighestexpectedreturnforagivenlevelofrisk.11.Whichofthefollowingstatement(s)is(are)trueregardingtheselectionofaportfoliofromthosethatlieontheCapitalAllocationLine?A)Lessrisk-averseinvestorswillinvestmoreintherisk-freesecurityandlessintheoptimalriskyportfoliothanmorerisk-averseinvestors.B)Morerisk-averseinvestorswillinvestlessintheoptimalriskyportfolioandmoreintherisk-freesecuritythanlessrisk-averseinvestors.C)Investorschoosetheportfoliothatmaximizestheirexpectedutility.D)AandC.E)BandC.Ans