Exhibit 7.4 Use the Information Below for the Following Problem(S) \[\begin{array} { c c } Asset (A) & \text { Asset (B)} \\ \mathrm { E } \left( R _ { A } \right) = 1 [ \% & \mathrm { E } \left( \mathrm { R } _ { B } \right) = \mathrm { g } \% \\ \left( \sigma _ { A } \right) = 6 \% & \left( \sigma _ { B } \right) = 5 \% \\ W _ { A } =0 .3 & W _ { B } =0 .7 \\ C O V _ { A , B } =0 .0008 \end{array}\] -Refer to Exhibit 7.4.What is the standard deviation of this portfolio?

A) 5.02% B) 3.88% C) 6.21% D) 4.04% E) 4.34% A) 5.02% B) 3.88% C) 6.21% D) 4.04% E) 4.34% E

Exhibit 7.8 Use the Information Below for the Following Problem(S) \[\begin{array} { c c } Asser (A) & \text { Asset ( B)} \\ \mathrm { E } \left( R _ { A } \right) = 1 [ \% & \mathrm { E } \left( \mathrm { R } _ { B } \right) = 14 \% \\ \left( \sigma _ { A } \right) = 7 / & \left( \sigma _ { B } \right) = 8 \% \\ W _ { A } =0 .7 & W _ { B } = 0 .3 \\ C O V _ { A , B } = 0 .0013 \end{array}\] -Refer to Exhibit 7.8.What is the standard deviation of this portfolio?

A) 4.51% B) 5.94% C) 6.75% D) 7.09% E) 8.62% A) 4.51% B) 5.94% C) 6.75% D) 7.09% E) 8.62%

Exhibit 7.10 Use the Information Below for the Following Problem(S) \[\begin{array} { c c } Asset ( A ) & \text { Asset(B) } \\ \mathrm { E } \left( R _ { A } \right) = 16 \% & \mathrm { E } \left( \mathrm { R } _ { B } \right) = 14 \% \\ \left( \sigma _ { A } \right) = 3 \% & \left( \sigma _ { B } \right) = 0 \% \\ W _ { A } =0 .5 & W _ { B } =0 .5 \\ C O V _ { A , B } =0 .0014 \end{array}\] -Refer to Exhibit 7.10.What is the standard deviation of this portfolio?

A) 3.02% B) 4.88% C) 5.24% D) 5.98% E) 6.52% A) 3.02% B) 4.88% C) 5.24% D) 5.98% E) 6.52%

Exhibit 7.1 Use the Information Below for the Following Problem(S) $\begin{array}{cc} \text { Asset }(A) & \text { Asset }(B) \\ \hline\left(R_{A}\right)=10 \% & E\left(R_{B}\right)=15 \% \\ \left(\sigma_{A}\right)=8 \% & \left(\sigma_{B}\right)=9.5 \% \\ W_{A}=0.25 & W_{B}=0.75 \\ &\text { CoV }_{A}=0.006 \end{array}$ -Refer to Exhibit 7.1.What is the standard deviation of this portfolio?

A) 8.79% B) 13.75% C) 12.5% D) 7.72% E) 5.64% A) 8.79% B) 13.75% C) 12.5% D) 7.72% E) 5.64%

Exhibit 7.15 Use the Information Below for the Following Problem(S) $\begin{array}{cc} \text { Asset }(\mathrm{A}) & \text { Asset }(\mathrm{B}) \\ \hline \mathrm{E}\left(\mathrm{R}_{\mathrm{A}}\right)=14 \% & \mathrm{E}\left(\mathrm{R}_{\mathrm{B}}\right)=16 \% \\ \left(\sigma_{\mathrm{A}}\right)=13 \% & \left(\sigma_{\mathrm{B}}\right)=18 \% \\ \mathrm{~W}_{\mathrm{A}}=0.4 & \mathrm{~W}_{\mathrm{B}}=0.6 \end{array}$ $\mathrm{COV}_{\mathrm{AB}}=0.0024$ -Refer to Exhibit 7.15.What is the standard deviation of this portfolio?

A) 10.0% B) 12.5% C) 14.4% D) 15.5% E) 16.0% A) 10.0% B) 12.5% C) 14.4% D) 15.5% E) 16.0%

Exhibit 7.2 Use the Information Below for the Following Problem(S) \[\begin{array} { c c } A _ { 1 } + ( A ) & \text { AEEE } ( \mathbf { E } ) \\ \hline E \left( R _ { A } \right) = 25 \% & E \left( R _ { B } \right) = 15 \% \\ \left( \sigma _ { A } \right) = 19 \% & \left( \sigma _ { B } \right) = 11 \% \\ W _ { A } =0 .75 & W _ { B } =0 .25 \\ C O V _ { A , B } = - 0.0009 \end{array}\] -Refer to Exhibit 7.2.What is the standard deviation of this portfolio?

A) 5.45% B) 18.64% C) 20.0% D) 22.5% E) 13.65% A) 5.45% B) 18.64% C) 20.0% D) 22.5% E) 13.65%

Exhibit 7.5 Use the Information Below for the Following Problem(S) $\begin{array}{cc} \text { Asset }(A) & \text { Asset }(\mathrm{B}) \\ \hline \mathrm{E}\left(\mathrm{R}_{\mathrm{A}}\right)=8 \% & \mathrm{E}\left(\mathrm{R}_{\mathrm{B}}\right)=15 \% \\ \left(\sigma_{\mathrm{A}}\right)=7 \% & \left(\sigma_{\mathrm{B}}\right)=10 \% \\ \mathrm{~W}_{\mathrm{A}}=0.4 & \mathrm{~W}_{\mathrm{B}}=0.6 \\ \mathrm{COV}_{A,B}=0.0006 \end{array}$ -Refer to Exhibit 7.5.What is the expected return of a portfolio of two risky assets if the expected return E(R?),standard deviation (s?),covariance (COV?,?),and asset weight (W?)are as shown above?

A) 8.0% B) 12.2% C) 7.4% D) 9.1% E) 11.6% A) 8.0% B) 12.2% C) 7.4% D) 9.1% E) 11.6%

Exhibit 7.6 Use the Information Below for the Following Problem(S) \[\begin{array} { c c } Asset (A) & \text { Asset(B) } \\ \mathrm { E } \left( R _ { A } \right) = 16 \% & \mathrm { E } \left( \mathrm { R } _ { B } \right) = 10 \% \\ \left( \sigma _ { A } \right) = 9 \% & \left( \sigma _ { B } \right) = 7 / \\ W _ { A } = 0 .5 & W _ { B } =0 .5 \\ C O V _ { A , B } = 0 .0009 \end{array}\] -Refer to Exhibit 7.6.What is the expected return of a portfolio of two risky assets if the expected return E(R?),standard deviation (s?),covariance (COV?,?),and asset weight (W?)are as shown above?

A) 10.6 % B) 10.2% C) 13.0% D) 11.9% E) 14.0% A) 10.6 % B) 10.2% C) 13.0% D) 11.9% E) 14.0%

Exam 7: An Introduction to Portfolio Management

Prior to the work of Markowitz in the late 1950's and early 1960's,portfolio managers did not have a well-developed,quantitative means of measuring risk.

Free

(True/False)

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Question 1

Correct Answer:

Verified

True

In a three asset portfolio the standard deviation of the portfolio is one third of the square root of the sum of the individual standard deviations.

Free

(True/False)

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Question 2

Correct Answer:

Verified

False

Exhibit 7.4 Use the Information Below for the Following Problem(S) Asset(A) Asset (B) =1[\% =\% =6\% =5\% =0.3 =0.7 CO=0.0008 -Refer to Exhibit 7.4.What is the standard deviation of this portfolio?

Free

(Multiple Choice)

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Question 3

Correct Answer:

Verified

E

Exhibit 7.8 Use the Information Below for the Following Problem(S) Asser(A) Asset ( B) =1[\% =14\% =7/ =8\% =0.7 =0.3 CO=0.0013 -Refer to Exhibit 7.8.What is the standard deviation of this portfolio?

(Multiple Choice)

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Question 4

The Markowitz model is based on several assumptions regarding investor behavior.Which of the following is not such any assumption?

(Multiple Choice)

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Question 5

If the covariance of two stocks is positive,these stocks tend to move together over time.

(True/False)

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Question 6

All of the following are common risk measurements except

(Multiple Choice)

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Question 7

Exhibit 7.10 Use the Information Below for the Following Problem(S) Asset(A) Asset(B) =16\% =14\% =3\% =0\% =0.5 =0.5 CO=0.0014 -Refer to Exhibit 7.10.What is the standard deviation of this portfolio?

(Multiple Choice)

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Question 8

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 9

The optimal portfolio is identified at the point of tangency between the efficient frontier and the

(Multiple Choice)

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Question 10

Exhibit 7.1 Use the Information Below for the Following Problem(S) Asset (A) Asset (B) =10\% E =15\% =8\% =9.5\% =0.25 =0.75 =0.006 -Refer to Exhibit 7.1.What is the standard deviation of this portfolio?

(Multiple Choice)

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Question 11

Exhibit 7.15 Use the Information Below for the Following Problem(S) Asset () Asset () =14\% =16\% =13\% =18\% =0.4 =0.6 $\mathrm{COV}_{\mathrm{AB}}=0.0024$ -Refer to Exhibit 7.15.What is the standard deviation of this portfolio?

(Multiple Choice)

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Question 12

Exhibit 7.2 Use the Information Below for the Following Problem(S) +(A) AEEE () E =25\% E =15\% =19\% =11\% =0.75 =0.25 CO=-0.0009 -Refer to Exhibit 7.2.What is the standard deviation of this portfolio?

(Multiple Choice)

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Question 13

Between 1980 and 1990,the standard deviation of the returns for the NIKKEI and the DJIA indexes were 0.19 and 0.06,respectively,and the covariance of these index returns was 0.0014.What was the correlation coefficient between the two market indicators?

(Multiple Choice)

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Question 14

A positive relationship between expected return and expected risk is consistent with

(Multiple Choice)

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Question 15

Exhibit 7.5 Use the Information Below for the Following Problem(S) Asset (A) Asset () =8\% =15\% =7\% =10\% =0.4 =0.6 =0.0006 -Refer to Exhibit 7.5.What is the expected return of a portfolio of two risky assets if the expected return E(R?),standard deviation (s?),covariance (COV?,?),and asset weight (W?)are as shown above?

(Multiple Choice)

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Question 16

Investors choose a portfolio on the efficient frontier based on their utility functions that reflect their attitudes towards risk.

(True/False)

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Question 17

Exhibit 7.6 Use the Information Below for the Following Problem(S) Asset(A) Asset(B) =16\% =10\% =9\% =7/ =0.5 =0.5 CO=0.0009 -Refer to Exhibit 7.6.What is the expected return of a portfolio of two risky assets if the expected return E(R?),standard deviation (s?),covariance (COV?,?),and asset weight (W?)are as shown above?

(Multiple Choice)

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Question 18

Between 1975 and 1985,the standard deviation of the returns for the NYSE and the S&P 500 indexes were 0.06 and 0.07,respectively,and the covariance of these index returns was 0.0008.What was the correlation coefficient between the two market indicators?

(Multiple Choice)

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Question 19

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. Stack Expected Return Standard Devintion A 20\% 25\% B 15\% 19\% -Refer to Exhibit 7.14.What is the standard deviation of the stock A and B portfolio?

(Multiple Choice)

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Question 20

Exam 7: An Introduction to Portfolio Management

Prior to the work of Markowitz in the late 1950's and early 1960's,portfolio managers did not have a well-developed,quantitative means of measuring risk.

In a three asset portfolio the standard deviation of the portfolio is one third of the square root of the sum of the individual standard deviations.

Exhibit 7.4 Use the Information Below for the Following Problem(S) Asset(A) Asset (B) =1[\% =\% =6\% =5\% =0.3 =0.7 CO=0.0008 -Refer to Exhibit 7.4.What is the standard deviation of this portfolio?

Exhibit 7.8 Use the Information Below for the Following Problem(S) Asser(A) Asset ( B) =1[\% =14\% =7/ =8\% =0.7 =0.3 CO=0.0013 -Refer to Exhibit 7.8.What is the standard deviation of this portfolio?

The Markowitz model is based on several assumptions regarding investor behavior.Which of the following is not such any assumption?

If the covariance of two stocks is positive,these stocks tend to move together over time.

All of the following are common risk measurements except

Exhibit 7.10 Use the Information Below for the Following Problem(S) Asset(A) Asset(B) =16\% =14\% =3\% =0\% =0.5 =0.5 CO=0.0014 -Refer to Exhibit 7.10.What is the standard deviation of this portfolio?

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 optimal portfolio is identified at the point of tangency between the efficient frontier and the

Exhibit 7.1 Use the Information Below for the Following Problem(S) Asset (A) Asset (B) =10\% E =15\% =8\% =9.5\% =0.25 =0.75 =0.006 -Refer to Exhibit 7.1.What is the standard deviation of this portfolio?

Exhibit 7.15 Use the Information Below for the Following Problem(S) Asset () Asset () =14\% =16\% =13\% =18\% =0.4 =0.6 COVAB=0.0024\mathrm{COV}_{\mathrm{AB}}=0.0024COVAB​=0.0024 -Refer to Exhibit 7.15.What is the standard deviation of this portfolio?

Exhibit 7.2 Use the Information Below for the Following Problem(S) +(A) AEEE () E =25\% E =15\% =19\% =11\% =0.75 =0.25 CO=-0.0009 -Refer to Exhibit 7.2.What is the standard deviation of this portfolio?

Between 1980 and 1990,the standard deviation of the returns for the NIKKEI and the DJIA indexes were 0.19 and 0.06,respectively,and the covariance of these index returns was 0.0014.What was the correlation coefficient between the two market indicators?

A positive relationship between expected return and expected risk is consistent with

Investors choose a portfolio on the efficient frontier based on their utility functions that reflect their attitudes towards risk.

Between 1975 and 1985,the standard deviation of the returns for the NYSE and the S&P 500 indexes were 0.06 and 0.07,respectively,and the covariance of these index returns was 0.0008.What was the correlation coefficient between the two market indicators?

An Overview of the Investment Process

The Asset Allocation Decision

The Global Market Investment Decision

Securities Markets: Organization and Operation

Security-Market Indexes

Efficient Capital Markets

An Introduction to Asset Pricing Models

Multifactor Models of Risk and Return

Analysis of Financial Statements

Security Valuation Principles

Macroanalysis and Microvaluation of the Stock Market

Industry Analysis

Company Analysis and Stock Valuation

Equity Portfolio Management Stragtegies

Technical Analysis

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

Investment Return and Risk Analysis Questions

Investment and Retirement Plans

Calculating Covariance and Correlation Coefficient of Assets

Portfolio Variance and Stock Weight Calculations

Portfolio Optimization with Negative Correlation: Finding Minimum Variance and Weight Allocation

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 .

Exhibit 7.15 Use the Information Below for the Following Problem(S) Asset () Asset () =14\% =16\% =13\% =18\% =0.4 =0.6 $\mathrm{COV}_{\mathrm{AB}}=0.0024$ -Refer to Exhibit 7.15.What is the standard deviation of this portfolio?