投资学第7版Test Bank答案07.doc

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1、MultipleChoiceQuestions1.MarketriskisalsoreferredtoasA)systematicrisk,diversifiablerisk.B)systematicrisk,nondiversifiablerisk.C)uniquerisk,nondiversifiablerisk.D)uniquerisk,diversifiablerisk.E)noneoftheabove.Answer:BDifficulty:EasyRationale:Market,systematic,andnondiversifiableriskaresynon

2、ymsreferringtotheriskthatcannotbeeliminatedfromtheportfolio.Diversifiable,unique,nonsystematic,andfirm-specificrisksaresynonymsreferringtotheriskthatcanbeeliminatedfromtheportfoliobydiversification.2.TheriskthatcanbediversifiedawayisA)firmspecificrisk.B)beta.C)systematicrisk.D)marketrisk.E

3、)noneoftheabove.Answer:ADifficulty:EasyRationale:Seeexplanationsfor1and2above.3.ThevarianceofaportfolioofriskysecuritiesA)isaweightedsumofthesecurities'variances.B)isthesumofthesecurities'variances.C)istheweightedsumofthesecurities'variancesandcovariances.D)isthesumofthesecurities'covarian

4、ces.E)noneoftheabove.Answer:CDifficulty:ModerateRationale:Thevarianceofaportfolioofriskysecuritiesisaweightedsumtakingintoaccountboththevarianceoftheindividualsecuritiesandthecovariancesbetweensecurities.4.TheexpectedreturnofaportfolioofriskysecuritiesA)isaweightedaverageofthesecurities're

5、turns.B)isthesumofthesecurities'returns.C)istheweightedsumofthesecurities'variancesandcovariances.D)AandC.E)noneoftheabove.Answer:ADifficulty:Easy5.Otherthingsequal,diversificationismosteffectivewhenA)securities'returnsareuncorrelated.B)securities'returnsarepositivelycorrelated.C)securitie

6、s'returnsarehigh.D)securities'returnsarenegativelycorrelated.E)BandC.Answer:DDifficulty:ModerateRationale:Negativecorrelationamongsecuritiesresultsinthegreatestreductionofportfoliorisk,whichisthegoalofdiversification.6.TheefficientfrontierofriskyassetsisA)theportionoftheinvestmentopportuni

7、tysetthatliesabovetheglobalminimumvarianceportfolio.B)theportionoftheinvestmentopportunitysetthatrepresentsthehigheststandarddeviations.C)theportionoftheinvestmentopportunitysetwhichincludestheportfolioswiththeloweststandarddeviation.D)thesetofportfoliosthatha