RMT1

If you are a tail risk-averse investor, which assets would you like to invest in?

• Stocks

• T-bills

Which figure describes a negatively skewed distribution?

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Which figure shows the distribution of safer assets?

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Which one represents the return distribution of safer assets?

• Leptokurtic distribution

• Mesokurtic distribution

• Platykurtic distribution

The return distribution of safer assets is characterized by:

• Higher mean,

  Higher volatility,

  Positively skewed.

  Fat-tailed

• Lower mean,

  Lower volatility,

  Positively skewed,

  Thin-tailed

• Lower mean,

  Lower volatility,

  Negatively skewed,

  Thin-tailed

• Higher mean,

  Lower volatility,

  Positively skewed,

  Thin-tailed

Considering different sampling frequencies, which option is approximately normally distributed?

• Daily stock returns

• T-bills monthly returns

• Weekly stock returns

Which curve represents the efficient frontier?

• Curve AC

• Curve AB

• Curve CAB

Without the short-selling constraint, is it possible for a portfolio with 100% weight allocated to an asset on an efficient frontier?

• Yes

• No

As a rational investor, which type of correlation do you prefer?

• Higer correlations among assets

• Lower correlations among assets

What do an Investor need to construct a zero-variance portfolio?

• Perfectly negative correlation

• Zero correlation

• Perfectly positive correlation