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CFA一级 Portfolio Management 经典习题

编辑:Lin/时间:2016-12-08/浏览:451 views


1.As the number of assets in an equally–weighted portfolio increases,the contribution of each individual asset’s variance to the volatility of the portfolio:A.Increases.B.Decreases.C.Remains the same.

2.With respect to risk–averse investors,a risk–free asset will generate a numerical utility that is:

A.The same for all individuals.

B.Positive for risk–averse investors.

C.Equal to zero for risk–seeking investors.

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

A.Lending portfolio.

B.Borrowing portfolio.

C.Unachievable portfolio.

4.Which one is not the systematic risk?

A.New drug development test.

B.The change of inflation rate.

C.The change of bank reserve rate.

5.Which of the following is most likely associated with an investor’s ability to take risk rather than the investor’s willingness to take risk?

A.The investor has a long investment time horizon.

B.Safety of principal is very important to the investor.

C.The investor believes earning excess returns on stocks is a matter of luck.

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


B.Treynor ratio.

C.Jensen’s alpha.

7.A portfolio manager generated a rate of return of 15.5%on a portfolio with beta of 1.2.If the risk-free rate of return is 2.5%and the market return is 11.8%,Jensen’s alpha for the portfolio is closest to:




8.An asset has an annual return of 19.9%,standard deviation of returns of 18.5%,and correlation with the market of 0.9.

If the standard deviation of returns on the market is15.9%and the risk-free rate is 1%,the beta of this asset is closest to:




9.Which of the following is least likely an assumption of the capital asset pricing model(CAPM)?

A.Security prices are not affected by investor trades.

B.An investor can invest as much as he or she desires in any asset.

C.Investors are different only with respect to their unique holding periods.

10.Risk that can be attributed to factor(s)that impact a company or industry is best described as: risk.

B.systematic risk.

C.unsystematic risk.

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