金融工程 相关习题及答案

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1、Chapter1MarketOrganizationandStructurePRACTICEPROBLEMSFORCHAPTER11.AkihikoTakabehasdesignedasophisticatedforecastingmodel,whichpredictsthemovementsintheoverallstockmarket,inthehopeofearningareturninexcessofafairreturnfortheriskinvolved.Heusesthepredictionsofthemodeltodecidewhethertobuy,h

2、old,orsellthesharesofanindexfundthataimstoreplicatethemovementsofthestockmarket.Takabewouldbestbecharacterizedasa(n):A.hedger.B.investor.C.information-motivatedtrader.2.JamesBeachisyoungandhassubstantialwealth.Asignificantproportionofhisstockportfolioconsistsofemergingmarketstocksthatoff

3、errelativelyhighexpectedreturnsatthecostofrelativelyhighrisk.Beachbelievesthatinvestmentinemergingmarketstocksisappropriateforhimgivenhisabilityandwillingnesstotakerisk.WhichofthefollowinglabelsmostappropriatelydescribesBeach?A.Hedger.B.Investor.C.Information-motivatedtrader.3.LisaSmitho

4、wnsamanufacturingcompanyintheUnitedStates.HercompanyhassoldgoodstoacustomerinBrazilandwillbepaidinBrazilianreal(BRL)inthreemonths.SmithisconcernedaboutthepossibilityoftheBRLdepreciatingmorethanexpectedagainsttheU.S.dollar(USD).Therefore,sheisplanningtosellthree-monthfuturescontractsonthe

5、BRL.ThesellerofsuchcontractsgenerallygainswhentheBRLdepreciatesagainsttheUSD.IfSmithweretosellthesefuturecontracts,shewouldmostappropriatelybedescribedasa(n):A.hedger.B.investor.C.information-motivatedtrader.4.Whichofthefollowingisnotafunctionofthefinancialsystem?A.Toregulatearbitrageurs

6、’profits(excessreturns).B.Tohelptheeconomyachieveallocationalefficiency.C.Tofacilitateborrowingbybusinessestofundcurrentoperations.5.Aninvestorprimarilyinvestsinstocksofpubliclytradedcompanies.Theinvestorwantstoincreasethediversificationofhisportfolio.Afriendhasrecommendedinvestinginreal

7、estateproperties.Thepurchaseofrealestatewouldbestbe41characterizedasatransactioninthe:A.derivativeinvestmentmarket.B.traditionalinvestmentmarket.C.alternativeinvestmentmarket.6.Ahedgefundholdsitsexcesscashin90-daycommercialpaperandnegotiablecertificatesofdeposit.Thecashma