投资学第4章 指数模型.pptVIP

第4章 指数模型 按马科维茨投资组合理论，为得到投资者的最优风险投资组合，要求知道： 收益率均值向量 收益率方差-协方差矩阵 无风险收益率 估计量和计算量随着证券种类的增加以指数级增加 对风险溢价的估计无指导作用 基于以上认识，产生了指数模型(Sharpe, 1963) 以简化计算 TEST 1.You purchased a share of stock for $20. One year later you received $1 as dividend and sold the share for $29. What was your holding period return? (A)45% (B)50% (C)5% (D)40% Key: B 2.In the mean-standard deviation graph an indifference curve has a ________ slope. (A) negative (B) zero (C) positive (D) cannot be determined Key: C 3.According to the mean-variance criterion, which one of the following investments dominates all others? (A) E (r) = 0.15; Variance = 0.20 (B) E (r) = 0.10; Variance = 0.20 (C) E (r) = 0.10; Variance = 0.25 (D) E (r) = 0.15; Variance = 0.25 Key: A 4.The standard deviation of a portfolio that has 20% of its value invested in a risk-free asset and 80% of its value invested in a risky asset with a standard deviation of 20% is ____%. (A)18 (B)14 (C)12 (D) 16 Key: D 5.Which of the following statements regarding the Capital Allocation Line (CAL) is false? (A) The CAL shows risk-return combinations. (B) The slope of the CAL equals the increase in the expected return of a risky portfolio per unit of additional standard deviation. (C) The slope of the CAL is also called the reward-to-variability ratio. (D) The CAL is also called the efficient frontier of risky assets in the absence of a risk-free asset. Key: D 6. 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. Key: B 7.Consider an investment opportunity set formed with two securities that are perfectly negatively correlated. The global minimum variance por