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1、Chapter7OptimalRiskyPtfolios137MultipleChoiceQuestions1.MarketriskisalsoreferredtoasA)systematicriskdiversifiablerisk.B)systematicrisknondiversifiablerisk.C)uniquerisknondiversifiablerisk.D)uniqueriskdiversifiablerisk.E)

2、noneoftheabove.Answer:BDifficulty:EasyRationale:Marketsystematicnondiversifiableriskaresynonymsreferringtotheriskthatcannotbeeliminatedfromtheptfolio.Diversifiableuniquenonsystematicfirmspecificrisksaresynonymsreferringt

3、otheriskthatcanbeeliminatedfromtheptfoliobydiversification.2.TheriskthatcanbediversifiedawayisA)firmspecificrisk.B)beta.C)systematicrisk.D)marketrisk.E)noneoftheabove.Answer:ADifficulty:EasyRationale:Seeexplanationsf12ab

4、ove.3.ThevarianceofaptfolioofriskysecuritiesA)isaweightedsumofthesecuritiesvariances.B)isthesumofthesecuritiesvariances.C)istheweightedsumofthesecuritiesvariancescovariances.D)isthesumofthesecuritiescovariances.E)noneoft

5、heabove.Answer:CDifficulty:ModerateRationale:Thevarianceofaptfolioofriskysecuritiesisaweightedsumtakingintoaccountboththevarianceoftheindividualsecuritiesthecovariancesbetweensecurities.Chapter7OptimalRiskyPtfolios1397.T

6、heCapitalAllocationLineprovidedbyariskfreesecurityNriskysecuritiesisA)thelinethatconnectstheriskfreeratetheglobalminimumvarianceptfoliooftheriskysecurities.B)thelinethatconnectstheriskfreeratetheptfoliooftheriskysecuriti

7、esthathasthehighestexpectedreturnontheefficientfrontier.C)thelinetangenttotheefficientfrontierofriskysecuritiesdrawnfromtheriskfreerate.D)thehizontallinedrawnfromtheriskfreerate.E)noneoftheabove.Answer:CDifficulty:Modera

8、teRationale:TheCapitalAllocationLinerepresentsthemostefficientcombinationsoftheriskfreeassetriskysecurities.OnlyCmeetsthatdefinition.8.Consideraninvestmentopptunitysetfmedwithtwosecuritiesthatareperfectlynegativelycrelat

9、ed.TheglobalminimumvarianceptfoliohasastarddeviationthatisalwaysA)greaterthanzero.B)equaltozero.C)equaltothesumofthesecuritiesstarddeviations.D)equalto1.E)noneoftheabove.Answer:BDifficulty:DifficultRationale:Iftwosecurit

10、ieswereperfectlynegativelycrelatedtheweightsftheminimumvarianceptfoliofthosesecuritiescouldbecalculatedthestarddeviationoftheresultingptfoliowouldbezero.9.Whichofthefollowingstatementsis(are)trueregardingthevarianceofapt

11、foliooftworiskysecuritiesA)Thehigherthecoefficientofcrelationbetweensecuritiesthegreaterthereductionintheptfoliovariance.B)Thereisalinearrelationshipbetweenthesecuritiescoefficientofcrelationtheptfoliovariance.C)Thedegre

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