金融工程相关习题及答案

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1、Chapter1MarketOrganizationandStructurePRACTICEPROBLEMSFORCHAPTER11.AkihikoTakabehasdesignedasophisticatedforecastingmodel,whichpredictsthemovementsintheoverallstockmarket,inthehopeofearningareturninexcessofafairreturnfortheriskinvolved.Heusesthepredi

2、ctionsofthemodeltodecidewhethertobuy,hold,orsellthesharesofanindexfundthataimstoreplicatethemovementsofthestockmarket.Takabewouldbestbecharacterizedasa(n):A.hedger.B.investo匚C.infiormation-motivatedtrader.2.JamesBeachisyoungandhassubstantialwealth.As

3、ignificantproportionofhisstockportfolioconsistsofemergingmarketstocksthatofferrelativelyhighexpectedreturnsatthecostofrelativelyhighrisk.Beachbelievesthatinvestmentinemergingmarketstocksisappropriateforhimgivenhisabilityandwillingnesstotakerisk・Which

4、ofthefollowinglabelsmostappropriatelydescribesBeach?A.Hedge匚B.Investo匚C.Information-motivatedtrade匚3.LisaSmithownsamanufacturingcompanyintheUnitedStates.HercompanyhassoldgoodstoacustomerinBrazilandwillbepaidinBrazilianreal(BRL)inthreemonths.Smithisco

5、ncernedaboutthepossibilityoftheBRLdepreciatingmorethanexpectedagainsttheU.S.dollar(USD).Therefore,sheisplanningtosellthree-monthfuturescontractsontheBRL.ThesellerofsuchcontractsgenerallygainswhentheBRLdepreciatesagainsttheUSD・IfSmithweretosellthesefu

6、turecontracts,shewouldmostappropriatelybedescribedasa(n):A.hedger.B.investo匚C.infiormation-motivatedtrader.4.Whichofthefollowingisnotafunctionofthefinancialsystem?A.Toregulatearbitrageursprofits(excessreturns).B.Tohelptheeconomyachieveallocationaleff

7、iciency.C.Tofacilitateborrowingbybusinessestofimdcurrentoperations.5.Aninvestorprimarilyinvestsinstocksofpubliclytradedcompanies.Theinvestorwantstoincreasethediversificationofhisportfolio.Afriendhasrecommendedinvestinginrealestateproperties.Thepurcha

8、seofrealestatewouldbestbecharacterizedasatransactioninthe:A.derivativeinvestmentmarket.B.traditionalinvestmentmarket.C.alternativeinvestmentmarket.1.Ahedgefundholdsitsexcesscashin90-daycommercialpaperandnegotiablecertificatesofdeposit.Thecashmanageme