爱考云 - 搜题找答案神器_海量试题解析在线查

题目 A security will produce only two cash flows: $100 at the end of the first year, and $100 at the end of the second year. The risk-free rate is 3.0% and the Market's expected return is 8.0%. The [...]

题目 During the most recent period, a Portfolio returned 10.3% when the Market return was only 8.0%. The risk-free rate was 2.0%. The Market's return was 8.0% with volatility of 29.0%. Finally, the [...]

题目 A portfolio with a volatility of 30.0% has a Treynor measure of 0.080. The portfolio has a correlation of 0.50 with the market index which itself has a volatility of 20.0%. What is the [...]

题目 Which of the following statements concerning the capital asset pricing model （CAPM） and the security market line （SML） is correct? 选项 A.Beta identifies the appropriate level of [...]

题目 In the context of the CML, the market portfolio includes: 选项 A.12-18 stocks needed to provide maximum diversification B.all existing risky assets C.risky stocks and bonds only D.the [...]

题目 A portfolio has a correlation of 0.40 with the overall market and produces a Sharpe ratio of 0.2. If the market’s volatility is 20%, what is the portfolio’s Treynor ratio? 选项 A.4.0% [...]

题目 Which of the following statements regarding the Capital Asset Pricing Model is least accurate? 选项 A.It relies on the existence of a risk-free asset. B.It is useful for determining an [...]

题目 The beta of stock D is -0.5. If the expected return of Stock D is 8%, and the risk-free rate of return is 5%, what is the expected return of the market? 选项 A.3.0% B.-1.0% C.3.5% D.-4.0% [...]

题目 Which is best for RANKING portfolios with the same beta (within peer groups)? 选项 A.Treynor ratio. B.Sharpe ratio. C.Jensen’s alpha. D.None. 答案 C 解析 The Jensen alpha can be used [...]

题目 In a two-asset portfolio, reducing the correlation between the two assets moves the efficient frontier in which direction? 选项 A.The efficient frontier is stable unless return expectations [...]