Đề 1 ( Các câu 1, 5, 10, 15, 20, ...) - Đến câu 25 trang 26

As the correlation between the returns of two assets becomes lower, the risk reduction potential becomes:

• smaller

• decreased by the same level

• greater

• no change

Risk aversion means that if two assets have identical expected returns, an individual will choose the asset with the:

• Lower risk level

• Higher standard deviation

• Shorter payback period

• No answer is correct

Beta is least accurately described as:

• A measure of the sensitivity of a security's return to the market return.

• The covariance of a security's returns with the market return, divided by the variance of market returns.

• A standardized measure of the total risk of a security.

• No answer is correct

Stock A has a standard deviation of 10.00. Stock B also has a standard deviation of 10.00. If the correlation coefficient between these stocks is - 1.00, what is the covariance between these two stocks?

• 1.00

• 0.0

• -100.00

• 200

Which of the following best describes the importance of the policy statement? It:

• States the standards by which the portfolio's performance will be judged.

• Outlines the best investments.

• Limits the risks taken by the investor.

• No answer is correct

Stock A has a standard deviation of 10.00. Stock B also has a standard deviation of 10.00. If the correlation coefficient between these stocks is - 1.00, what is the covariance between these two stocks?

• 1.00

• 0.0

• -100.00

• 200

When preparing a strategic asset allocation, how should asset classes be defined with respect to the correlations of returns among the securities in each asset class?

• High correlation within asset classes and low correlation between asset classes.

• Low correlation within asset classes and high correlation between asset classes.

• Low correlation within asset classes and low correlation between asset classes.

• No answer is correct

Given a beta of 1.10 and a risk-free rate of 5%, what is the expected rate of return assuming a 10% market return?

• 15.5%.

• 10.5%.

• 5.5%.

• 20.5%.

An investment manager is looking at ten possible stocks to include in a client's portfolio. In order to achieve the maximum efficiency of the portfolio, the manager must:

• Include only the stocks that have the lowest volatility at a given expected rate of return.

• Find the combination of stocks that produces a portfolio with the maximum expected rate of return at a given level of risk.

• Include all ten stocks in the portfolio in equal amounts.

• No answer is correct

Which of the following statements about the efficient frontier is NOT correct?

• The efficient frontier line bends backwards due to less than perfect correlation between assets.

• The slope of the efficient frontier increases steadily as one moves up the curve.

• A portfolio to the left of the efficient frontier is not attainable, while a portfolio to the right of the efficient frontier is inefficient.

• No answer is correct