Exam 7: An Introduction to Portfolio Management

arrow
  • Select Tags
search iconSearch Question
flashcardsStudy Flashcards
  • Select Tags

Increasing the correlation among assets in a portfolio results in an increase in the standard deviation of the portfolio.

(True/False)
4.8/5
(32)

Markowitz believes that any asset or portfolio of assets can be described by ____ parameter(s).

(Multiple Choice)
4.7/5
(42)

All of the following are assumptions of the Markowitz model except

(Multiple Choice)
4.9/5
(31)

Exhibit 7.12 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) Exhibit 7.12 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)    -Refer to Exhibit 7.12. Calculate the expected return and expected standard deviation of a two stock portfolio when r<sub>1,2</sub> = -.60 and w<sub>1</sub> = .75. -Refer to Exhibit 7.12. Calculate the expected return and expected standard deviation of a two stock portfolio when r1,2 = -.60 and w1 = .75.

(Multiple Choice)
4.9/5
(38)

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

(Multiple Choice)
5.0/5
(42)

As the correlation coefficient between two assets decreases, the shape of the efficient frontier

(Multiple Choice)
4.8/5
(30)

Between 1990 and 2000, the standard deviation of the returns for the NIKKEI and the DJIA indexes were 0.18 and 0.16, respectively, and the covariance of these index returns was 0.003. What was the correlation coefficient between the two market indicators?

(Multiple Choice)
4.8/5
(30)

All of the following are common risk measurements except

(Multiple Choice)
4.8/5
(41)

The slope of the efficient frontier is calculated as follows

(Multiple Choice)
4.9/5
(39)

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( σ\sigma 1)2 - r1.2 E( σ\sigma 1) E( σ\sigma 2)] /[E( σ\sigma 1)2 + E( σ\sigma 2)2 - 2 r1.2 E( σ\sigma 1) E( σ\sigma 2)] -Refer to Exhibit 7B.1. Show the minimum portfolio variance for a portfolio of two risky assets when r1.2 = -1.

(Multiple Choice)
4.9/5
(44)

Exhibit 7A.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( σ\sigma 2)2 - r1.2 E( σ\sigma 1)E( σ\sigma 2)] /[E( σ\sigma 1)2 + E( σ\sigma 2)2 - 2 r1.2E( σ\sigma 1)E( σ\sigma 2)] -Refer to Exhibit 7A.1. Show the minimum portfolio variance for a two stock portfolio when r1.2 = 1.

(Multiple Choice)
4.9/5
(31)

Exhibit 7.8 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) Exhibit 7.8 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)    -Refer to Exhibit 7.8. What is the standard deviation of this portfolio? -Refer to Exhibit 7.8. What is the standard deviation of this portfolio?

(Multiple Choice)
4.8/5
(38)

Exhibit 7.6 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) Exhibit 7.6 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)    -Refer to Exhibit 7.6. What is the standard deviation of this portfolio? -Refer to Exhibit 7.6. What is the standard deviation of this portfolio?

(Multiple Choice)
4.9/5
(45)

A portfolio is considered to be efficient if:

(Multiple Choice)
4.7/5
(35)

Exhibit 7.16 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) Based on the economic outlook for the industry a financial analyst covering Top Choice Corporation has determined the following three possible returns given three different states of the economy over the next period. Exhibit 7.16 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) Based on the economic outlook for the industry a financial analyst covering Top Choice Corporation has determined the following three possible returns given three different states of the economy over the next period.    -Refer to Exhibit 7.16. What is the standard deviation for Top Choice Corporation? -Refer to Exhibit 7.16. What is the standard deviation for Top Choice Corporation?

(Multiple Choice)
5.0/5
(33)

Exhibit 7.9 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) Exhibit 7.9 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)    -Refer to Exhibit 7.9. What is the standard deviation of this portfolio? -Refer to Exhibit 7.9. What is the standard deviation of this portfolio?

(Multiple Choice)
4.9/5
(33)

Semivariance, when applied to portfolio theory, is concerned with

(Multiple Choice)
4.8/5
(39)
Showing 81 - 97 of 97
close modal

Filters

  • Essay(0)
  • Multiple Choice(0)
  • Short Answer(0)
  • True False(0)
  • Matching(0)