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题目 You are analyzing a portfolio that has a Jensen’s alpha of 4.75% and an actual return of 14.2%. The risk-free rate is 4.25% and the equity risk premium is 6%. Based on the information [...]
题目 Portfolios that represent combinations of the risk-free asset and the market portfolio are plotted on the: 选项 A.utility curve B.capital asset pricing line C.capital market line [...]
题目 To describe the shape of the portfolio possibilities curve, which one of the following is best? 选项 A.The curve is strictly convex. B.The curve is strictly concave. C.The curve is convex [...]
题目 A portfolio is invested equally in two asset classes: bonds with expected return of 3.0% per annum and volatility of 18.0%; equities with expected return of 7.0% per annum and volatility of [...]
题目 A security’s systematic risk is proportional to: 选项 A.the covariance of its return with the return on the market portfolio. B.the standard deviation of its return. C.the variance of [...]
题目 For the past four years, the returns on a portfolio were 6%,9% ,4%, and 12%. The corresponding returns of the benchmark were 7%, 10%, 4%, and 14%. The risk-free rate of return is 7%, and [...]
题目 Assume the risk-free rate is 4% and the expected (overall) market return is 12% with 20% volatility. Our portfolio (P) has volatility of 30% and a correlation with the market of 0.4. According [...]
题目 A risk manager is analyzing the characteristics of a portfolio created by combining two stocks with standard deviations of returns of 14% and 19%, and a correlation coefficient of -1 between [...]
题目 An analyst is evaluating the performance of a portfolio of Mexican equities that is benchmarked to the IPC Index. The analyst collects the information about the portfolio and the benchmark [...]
题目 Assume that you are only concerned with systematic risk. Which of the following would be the best measure to use to rank order funds with different betas based on their risk-return [...]