Exhibit 7B.1 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) The general equation for the weight of the first security to achieve the minimum variance (in a two stock portfolio) is given by: WS1U1B11S1U1B0 = [E($\sigma$S1U1B11S1U1B0)S1U1P12S1S1P0 - rS1U1B11.2S1U1B0 E($\sigma$S1U1B11S1U1B0) E($\sigma$S1U1B12S1U1B0)] /[E($\sigma$S1U1B11S1U1B0)S1U1P12S1S1P0 + E($\sigma$S1U1B12S1U1B0)S1U1P12S1S1P0 - 2 rS1U1B11.2S1U1B0 E($\sigma$S1U1B11S1U1B0) E($\sigma$S1U1B12S1U1B0)] -Refer to Exhibit 7B.1. What is the value of W1 when r1.2 = -1 and E($\sigma$1) = .10 and E($\sigma$2) = .12?

A) 45.46% B) 50.00% C) 59.45% D) 54.55% E) 74.55% A) 45.46% B) 50.00% C) 59.45% D) 54.55% E) 74.55%

Exam 7: An Introduction to Portfolio Management

Exhibit 7.3 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) $Exhibit 7.3 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) -Refer to Exhibit 7.3. What is the expected return of a portfolio of two risky assets if the expected return E(Ri), standard deviation ( \sigma i), covariance (COVi,j), and asset weight (Wi) are as shown above?$ -Refer to Exhibit 7.3. What is the expected return of a portfolio of two risky assets if the expected return E(R_i), standard deviation ( $\sigma$ _i), covariance (COV_i,j), and asset weight (W_i) are as shown above?

(Multiple Choice)

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Question 21

What is the expected return of the three stock portfolio described below?

(Multiple Choice)

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Question 22

When assessing the risk impact of adding a new security to a portfolio, it is necessary to consider the

(Multiple Choice)

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Question 23

Exhibit 7.2 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) -Refer to Exhibit 7.2. What is the standard deviation of this portfolio?

(Multiple Choice)

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Question 24

Exhibit 7.3 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) -Refer to Exhibit 7.3. What is the standard deviation of this portfolio?

(Multiple Choice)

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Question 25

What is the expected return of the three stock portfolio described below?

(Multiple Choice)

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Question 26

Exhibit 7.5 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) $Exhibit 7.5 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) -Refer to Exhibit 7.5. What is the expected return of a portfolio of two risky assets if the expected return E(Ri), standard deviation ( \sigma i), covariance (COVi,j), and asset weight (Wi) are as shown above?$ -Refer to Exhibit 7.5. What is the expected return of a portfolio of two risky assets if the expected return E(R_i), standard deviation ( $\sigma$ _i), covariance (COV_i,j), and asset weight (W_i) are as shown above?

(Multiple Choice)

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Question 27

The correlation coefficient and the covariance are measures of the extent to which two random variables move together.

(True/False)

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Question 28

Exhibit 7.1 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) -Refer to Exhibit 7.1. What is the standard deviation of this portfolio?

(Multiple Choice)

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Question 29

A portfolio of two securities that are perfectly positively correlated has

(Multiple Choice)

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Question 30

What is the expected return of the three stock portfolio described below?

(Multiple Choice)

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Question 31

An investor is risk neutral if she chooses the asset with lower risk given a choice of several assets with equal returns.

(True/False)

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Question 32

Given a portfolio of stocks, the envelope curve containing the set of best possible combinations is known as the

(Multiple Choice)

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Question 33

Exhibit 7.13 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) A financial analyst covering Magnum Oil has determined the following four possible returns given four different states of the economy over the next period. -Refer to Exhibit 7.13. Calculate the expected return for Magnum Oil.

(Multiple Choice)

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Question 34

The set of portfolios with the maximum rate of return for every given risk level is known as the optimal frontier.

(True/False)

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Question 35

Exhibit 7B.1 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) The general equation for the weight of the first security to achieve the minimum variance (in a two stock portfolio) is given by: W₁ = [E( $\sigma$ ₁)² - r_1.2 E( $\sigma$ ₁) E( $\sigma$ ₂)] /[E( $\sigma$ ₁)² + E( $\sigma$ ₂)² - 2 r_1.2 E( $\sigma$ ₁) E( $\sigma$ ₂)] -Refer to Exhibit 7B.1. What is the value of W₁ when r_1.2 = -1 and E( $\sigma$ ₁) = .10 and E( $\sigma$ ₂) = .12?

(Multiple Choice)

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Question 36

Exhibit 7.14 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) Stocks A and B have a correlation coefficient of -0.8. The stocks' expected returns and standard deviations are in the table below. A portfolio consisting of 40% of stock A and 60% of stock B is constructed. -Refer to Exhibit 7.14. What percentage of stock A should be invested to obtain the minimum risk portfolio that contains stock A and B?

(Multiple Choice)

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Question 37

You are given a two asset portfolio with a fixed correlation coefficient. If the weights of the two assets are varied the expected portfolio return would be and the expected portfolio standard deviation would be .

(Multiple Choice)

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Question 38

The most important criteria when adding new investments to a portfolio is the

(Multiple Choice)

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Question 39

Exhibit 7.13 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) A financial analyst covering Magnum Oil has determined the following four possible returns given four different states of the economy over the next period. -Refer to Exhibit 7.13. Calculate the standard deviation for Magnum Oil.

(Multiple Choice)

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Question 40

Showing 21 - 40 of 97

Exam 7: An Introduction to Portfolio Management

Exhibit 7.3 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) -Refer to Exhibit 7.3. What is the expected return of a portfolio of two risky assets if the expected return E(Ri), standard deviation ( σ\sigmaσ i), covariance (COVi,j), and asset weight (Wi) are as shown above?

What is the expected return of the three stock portfolio described below?

When assessing the risk impact of adding a new security to a portfolio, it is necessary to consider the

Exhibit 7.2 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) -Refer to Exhibit 7.2. What is the standard deviation of this portfolio?

Exhibit 7.3 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) -Refer to Exhibit 7.3. What is the standard deviation of this portfolio?

What is the expected return of the three stock portfolio described below?

Exhibit 7.5 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) -Refer to Exhibit 7.5. What is the expected return of a portfolio of two risky assets if the expected return E(Ri), standard deviation ( σ\sigmaσ i), covariance (COVi,j), and asset weight (Wi) are as shown above?

The correlation coefficient and the covariance are measures of the extent to which two random variables move together.

Exhibit 7.1 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) -Refer to Exhibit 7.1. What is the standard deviation of this portfolio?

A portfolio of two securities that are perfectly positively correlated has

What is the expected return of the three stock portfolio described below?

An investor is risk neutral if she chooses the asset with lower risk given a choice of several assets with equal returns.

Given a portfolio of stocks, the envelope curve containing the set of best possible combinations is known as the

Exhibit 7.13 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) A financial analyst covering Magnum Oil has determined the following four possible returns given four different states of the economy over the next period. -Refer to Exhibit 7.13. Calculate the expected return for Magnum Oil.

The set of portfolios with the maximum rate of return for every given risk level is known as the optimal frontier.

You are given a two asset portfolio with a fixed correlation coefficient. If the weights of the two assets are varied the expected portfolio return would be ____ and the expected portfolio standard deviation would be ____.

The most important criteria when adding new investments to a portfolio is the

Exhibit 7.13 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) A financial analyst covering Magnum Oil has determined the following four possible returns given four different states of the economy over the next period. -Refer to Exhibit 7.13. Calculate the standard deviation for Magnum Oil.

The Investment Setting

The Asset Allocation Decision

Selecting Investments in a Global Market

Organization and Functioning of Securities Markets

Security-Market Indexes

Efficient Capital Markets

An Introduction to Asset Pricing Models

Multifactor Models of Risk and Return

Analysis of Financial Statements

Introduction to Security Valuation

Macroanalysis and Microvaluation of the Stock Market

Industry Analysis

Company Analysis and Stock Valuation

Technical Analysis

Equity Portfolio Management Strategies

Bond Fundamentals

The Analysis and Valuation of Bonds

Bond Portfolio Management Strategies

An Introduction to Derivative Markets and Securities

Forward and Futures Contracts

Option Contracts

Swap Contracts, Convertible Securities, and Other Embedded Derivatives

Professional Money Management, Alternative Assets, and Industry Ethics

Evaluation of Portfolio Performance

Filters

You are given a two asset portfolio with a fixed correlation coefficient. If the weights of the two assets are varied the expected portfolio return would be and the expected portfolio standard deviation would be .