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投资学第7版Test-Bank答案27Chapter27TheTheoryofActivePortfolioManagement675MultipleChoiceQuestions1.IntheTreynor-BlackmodelA)portfolioweightaresensitivetolargealphavalueswhichcanleadtoinfeasiblelongorshortpositionformanyportfoliomanagers.B)portfolioweightarenotsensitivetolargealphavalueswhichcanleadtoinfeasiblelongorshortpositionformanyportfoliomanagers.C)portfolioweightaresensitivetolargealphavalueswhichcanleadtotheoptimalportfolioformostportfoliomanagers.D)portfolioweightarenotsensitivetolargealphavalueswhichcanleadtotheoptimalportfolioformostportfoliomanagers.E)noneoftheabove.Answer:ADifficulty:Moderate2.BenchmarkportfolioriskisdefinedasA)thereturndifferencebetweentheportfolioandthebenchmarkB)thevarianceofthereturnofthebenchmarkportfolioC)thevarianceofthereturndifferencebetweentheportfolioandthebenchmarkD)thevarianceofthereturnoftheactively-managedportfolioE)noneoftheabove.Answer:CDifficulty:Moderate3.BenchmarkportfolioriskA)isinevitableandisneverasignificantissueinpractice.B)isinevitableandisalwaysasignificantissueinpractice.C)cannotbeconstrainedtokeepaTreynor-Blackportfoliowithinreasonableweights.D)canbeconstrainedtokeepaTreynor-Blackportfoliowithinreasonableweights.E)noneoftheabove.Answer:DDifficulty:Moderate4.____________canbeusedtomeasureforecastqualityandguideintheproperadjustmentofforecasts.A)regressionanalysisB)exponentialsmoothingC)ARIMAD)movingaveragemodelsE)GAUSSAnswer:ADifficulty:ModerateChapter27TheTheoryofActivePortfolioManagement6765.Evenlow-qualityforecastshaveproventobevaluablebecauseR-squaresofonly____________inregressionsofanalysts'forecastscanbeusedtosubstantiallyimproveportfolioperformance.A)0.656B)0.452C)0.258D)0.153E)0.001Answer:EDifficulty:Moderate6.The____________modelallowstheprivateviewsoftheportfoliomanagertobeincorporatedwithmarketdataintheoptimizationprocedure.A)Black-LittermanB)Treynor-BlackC)Treynor-MazuyD)Black-ScholesE)noneoftheabove.Answer:ADifficulty:Moderate7.TheBlack-LittermanmodelandTreynor-BlackmodelareA)niceintheorybutpracticallyuselessinmodernportfoliomanagement.B)complementarytoolsthatshouldbeusedinportfoliomanagement.C)contradictorymodelscannotbeusetogether;therefore,portfoliomanagersmustchoosewhichonesuitstheirneeds.D)notusefulduetotheircomplexity.E)noneoftheabove.Answer:BDifficulty:Moderate8.TheBlack-Littermanmodelisgearedtoward____________whiletheTreynor-Blackmodelisgearedtoward____________.A)securityanalysis;securityanalysisB)assetallocation;assetallocationC)securityanalysis;assetallocationD)assetallocation;securityanalysisE)noneoftheaboveAnswer:DDifficulty:ModerateChapter27TheTheoryofActivePortfolioManagement6779.Alphaforecastsmustbe____________toaccountforless-than-perfectforecastingquality.Whenalphaforecastsare____________toaccountforforecastimprecision,theresultingportfoliopositionbecomes____________.A)shrunk,shrunk,farlessmoderateB)shrunk,shrunk,farmoremoderateC)grossedup,grossedup,farlessmoderateD)grossedup,grossedup,farmoremoderateE)noneoftheaboveAnswer:BDifficulty:Moderate10.TrackingerrorisdefinedasA)thedifferencebetweenthereturnsontheoverallriskyportfolioversusthebenchmarkreturn.B)thevarianceofthereturnofthebenchmarkportfolioC)thevarianceofthereturndifferencebetweentheportfolioandthebenchmarkD)thevarianceofthereturnoftheactively-managedportfolioE)noneoftheabove.Answer:ADifficulty:Moderate11.Thetrackingerrorofanoptimizedportfoliocanbeexpressedintermsofthe____________oftheportfolioandthusreveal____________.A)return;portfolioperformanceB)totalrisk;portfolioperformanceC)beta;portfolioperformanceD)beta;benchmarkriskE)relativereturn;benchmarkriskAnswer:DDifficulty:Moderate12.TheTreynor-Blackmodelisamodelthatshowshowaninvestmentmanagercanusesecurityanalysisandstatisticstoconstruct__________.A)amarketportfolioB)apassiveportfolioC)anactiveportfolioD)anindexportfolioE)abalancedportfolioAnswer:CDifficulty:EasyRationale:TheTreynor-Blackmodelutilizesthestatisticsofdiversificationtoselectsecuritiesforanactivelymanagedportfolio.Chapter27TheTheoryofActivePortfolioManagement67813.IfaportfoliomanagerconsistentlyobtainsahighSharpemeasure,themanager'sforecastingability__________.A)isaboveaverageB)isaverageC)isbelowaverageD)doesnotexist.E)cannotbedeterminedbasedontheSharpemeasureAnswer:ADifficulty:EasyRationale:ThemanagerwiththehighestSharpemeasurepresumablyhastrueforecastingabilities.14.Activeportfoliomanagementconsistsof__________.A)markettimingB)securityanalysisC)indexingD)AandBE)noneoftheaboveAnswer:DDifficulty:EasyRationale:Althoughonecanengageinvariousdegreesofactiveportfoliomanagement(securityselectionwithoutmarkettimingandviceversa),themostactiveportfoliomanagementstrategyconsistsofengaginginbothpursuits.15.Thecriticalvariableinthedeterminationofthesuccessoftheactiveportfoliois________.A)alpha/systematicriskB)alpha/nonsystematicriskC)gamma/systematicriskD)gamma/nonsystematicriskE)noneoftheaboveAnswer:BDifficulty:ModerateRationale:Aportfoliowithapositivealphaisoutperformingthemarket.Ifthisportfolioalsohasalowdegreeofnonsystematicrisk,theportfolioisadequatelydiversified.