WorksheetsPortfolio Theory and Analysis
Total questions: 10
Worksheet time: 5mins
According to the Capital Asset Pricing Model (CAPM) a well-diversified portfolio's rate of return is a function of
Style (Firm) Specific- risk.
unsystematic risk.
unique risk.
Market risk.
According to the Capital Asset Pricing Model (CAPM), underpriced securities
have positive alphas.
have zero alphas.
have negative betas.
have negative alphas.
In the context of the Capital Asset Pricing Model (CAPM) the relevant measure of risk is.
unique risk.
Systematic Risk (beta).
standard deviation of returns.
skewness
The market portfolio has a beta (Defensive) of
0.
1.
-1.
0.75
The risk-free rate and the expected market rate of return are 0.06 and 0.12, respectively. According to the capital asset pricing model (CAPM), the expected rate of return on security X with a beta of 1 is equal to.
0.06.
0.144.
0.12.
0.132.
The ……………………. as a distribution is the most likely outcome for the random variable.
Standard Deviation.
Variance.
Correlation Coefficient.
Mean.
The ………………….. gives an indication of how far from the mean a typical observation is likely to fall.
Standard Deviation.
Variance.
Correlation Coefficient.
Mean.
……………… An absolute measure of the extent to which two variables tend to covary, or move together
Standard Deviation.
Variance.
Covariance Coefficient.
Mean.
With………………, there is no linear relationship between the returns on the two securities.
Correlation Coefficient.
Positive correlation.
zero correlation.
Negative correlation.
According to the Capital Asset Pricing Model (CAPM), the expected rate of return on any security is equal to
Rf+β[E(Rm)]
Rf+β[E(Rm)−Rf]
Rf−β[E(Rm)−Rf]
β[E(Rm)−Rf]
E(Rm)+Rf
