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【单选题】

An investor invests 30% of his wealth in a risky asset with an expected rate of return of 0.13 and a variance of 0.03 and 70% in a T-bill that pays 6%. His portfolio's expected return and standard deviation are ___ and ____, respectively.

A.
0.114; 0.128
B.
0.087; 0.063
C.
0.295; 0.125
D.
0.081; 0.052
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参考答案:
举一反三

【单选题】Market risk is also referred to as ()

A.
systematic risk, diversifiable risk.
B.
systematic risk, nondiversifiable risk.
C.
unique risk, nondiversifiable risk.
D.
unique risk, diversifiable risk.

【单选题】The capital allocation line can be described as the ( )

A.
investment opportunity set formed with a risky asset and a risk-free asset.
B.
investment opportunity set formed with two risky assets.
C.
line on which lie all portfolios that offer the same utility to a particular investor.
D.
line on which lie all portfolios with the same expected rate of return and different standard deviations.

【单选题】The efficient frontier of risky assets is ()

A.
the portion of the investment opportunity set that lies above the global minimum variance portfolio.
B.
the portion of the investment opportunity set that represents the highest standard deviations.
C.
the portion of the investment opportunity set that includes the portfolios with the lowest standard deviation.
D.
the set of portfolios that have zero standard deviation.

【单选题】Asset allocation may involve ()

A.
the decision as to the allocation between a risk-free asset and a risky asset.
B.
the decision as to the allocation among different risky assets.
C.
considerable security analysis.
D.
the decision as to the allocation between a risk-free asset and a risky asset and the decision as to the allocation among different risky assets.
E.
the decision as to the allocation between a risk-free asset and a risky asset and considerable security analysis.

【单选题】The capital allocation line provided by a risk-free security and N risky securities is ()

A.
the line that connects the risk-free rate and the global minimum-variance portfolio of the risky securities.
B.
the line that connects the risk-free rate and the portfolio of the risky securities that has the highest expected return on the efficient frontier.
C.
the line tangent to the efficient frontier of risky securities drawn from the risk-free rate.
D.
the horizontal line drawn from the risk-free rate.

【单选题】Which one of the following portfolios cannot lie on the efficient frontier as described by Markowitz?PortfolioExpected ReturnStandard DeviationA10%12%B5%7%C15%20%D12%25%

A.
Only portfolio A cannot lie on the efficient frontier.
B.
Only portfolio B cannot lie on the efficient frontier.
C.
Only portfolio C cannot lie on the efficient frontier.
D.
Only portfolio D cannot lie on the efficient frontier.
E.
Cannot tell from the information given.

【单选题】The measure of risk in a Markowitz efficient frontier is ()

A.
specific risk.
B.
standard deviation of returns.
C.
reinvestment risk.
D.
beta.
相关题目:
【单选题】Market risk is also referred to as ()
A.
systematic risk, diversifiable risk.
B.
systematic risk, nondiversifiable risk.
C.
unique risk, nondiversifiable risk.
D.
unique risk, diversifiable risk.
【单选题】The capital allocation line can be described as the ( )
A.
investment opportunity set formed with a risky asset and a risk-free asset.
B.
investment opportunity set formed with two risky assets.
C.
line on which lie all portfolios that offer the same utility to a particular investor.
D.
line on which lie all portfolios with the same expected rate of return and different standard deviations.
【单选题】The efficient frontier of risky assets is ()
A.
the portion of the investment opportunity set that lies above the global minimum variance portfolio.
B.
the portion of the investment opportunity set that represents the highest standard deviations.
C.
the portion of the investment opportunity set that includes the portfolios with the lowest standard deviation.
D.
the set of portfolios that have zero standard deviation.
【单选题】Asset allocation may involve ()
A.
the decision as to the allocation between a risk-free asset and a risky asset.
B.
the decision as to the allocation among different risky assets.
C.
considerable security analysis.
D.
the decision as to the allocation between a risk-free asset and a risky asset and the decision as to the allocation among different risky assets.
E.
the decision as to the allocation between a risk-free asset and a risky asset and considerable security analysis.
【单选题】The capital allocation line provided by a risk-free security and N risky securities is ()
A.
the line that connects the risk-free rate and the global minimum-variance portfolio of the risky securities.
B.
the line that connects the risk-free rate and the portfolio of the risky securities that has the highest expected return on the efficient frontier.
C.
the line tangent to the efficient frontier of risky securities drawn from the risk-free rate.
D.
the horizontal line drawn from the risk-free rate.
【单选题】Which one of the following portfolios cannot lie on the efficient frontier as described by Markowitz?PortfolioExpected ReturnStandard DeviationA10%12%B5%7%C15%20%D12%25%
A.
Only portfolio A cannot lie on the efficient frontier.
B.
Only portfolio B cannot lie on the efficient frontier.
C.
Only portfolio C cannot lie on the efficient frontier.
D.
Only portfolio D cannot lie on the efficient frontier.
E.
Cannot tell from the information given.
【单选题】The measure of risk in a Markowitz efficient frontier is ()
A.
specific risk.
B.
standard deviation of returns.
C.
reinvestment risk.
D.
beta.
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