Question 1

A security has a return variance of 16%. The standard deviation of returns is

Accepted Answer

A)  4% 
B)  16% 
C)  40% 
D)  50% 
A)  4% 
B)  16% 
C)  40% 
D)  50%

Question 2

The variance of a two-security portfolio decreases as the return correlation of the two securities

Accepted Answer

A)  increases 
B)  decreases 
C)  changes in either direction 
D)  cannot be determined 
A)  increases 
B)  decreases 
C)  changes in either direction 
D)  cannot be determined

Question 3

The covariance of a random variable with itself is

Accepted Answer

A)  its correlation with itself 
B)  its standard deviation 
C)  its variance 
D)  equal to 1.0 
A)  its correlation with itself 
B)  its standard deviation 
C)  its variance 
D)  equal to 1.0

Question 4

The least risk portfolio is called the

Accepted Answer

A)  optimum portfolio 
B)  efficient portfolio 
C)  minimum variance portfolio 
D)  market portfolio 
A)  optimum portfolio 
B)  efficient portfolio 
C)  minimum variance portfolio 
D)  market portfolio

Question 5

Suppose Stock M has an expected return of 10%, a standard deviation of 15%, and a Beta of 0.6 while Stock N has an expected return of 20%, a standard deviation of 25% and a beta of 1.04, and the correlation between the two stocks is 0.50. What is the beta for a portfolio with 80% invested in Stock M and 20% invested in Stock N?

Accepted Answer

A)  0.688 
B)  0.738 
C)  0.878 
D)  0.968 
A)  0.688 
B)  0.738 
C)  0.878 
D)  0.968

Question 6

The questions relate to the following table of information:
  
-What is the beta for a portfolio with 60% invested in X and 40% invested in Y?

Accepted Answer

A)  1.12 
B)  1.22 
C)  1.32 
D)  1.42 
A)  1.12 
B)  1.22 
C)  1.32 
D)  1.42

Question 7

As portfolio size increases, the variance of the error term generally

Accepted Answer

A)  increases 
B)  decreases 
C)  approaches 1.0 
D)  becomes erratic 
A)  increases 
B)  decreases 
C)  approaches 1.0 
D)  becomes erratic

Question 8

The questions relate to the following table of information:
  
-What is the expected return for a portfolio with 60% invested in X and 40% invested in Y?

Accepted Answer

A)  14.4% 
B)  14.9% 
C)  15.6% 
D)  16.1% 
A)  14.4% 
B)  14.9% 
C)  15.6% 
D)  16.1%

Question 9

COV (A,B) = .335. What is COV (B,A)?

Accepted Answer

A)  - 0.335 
B)  0.335 
C)  (0.335 x 0.335) 
D)  Cannot be determined 
A)  - 0.335 
B)  0.335 
C)  (0.335 x 0.335) 
D)  Cannot be determined

Question 10

A security has a return variance of 25%. The standard deviation of returns is

Accepted Answer

A)  5% 
B)  15% 
C)  25% 
D)  50% 
A)  5% 
B)  15% 
C)  25% 
D)  50%

A security has a return variance of 16%. The standard deviation of returns is

The variance of a two-security portfolio decreases as the return correlation of the two securities

The covariance of a random variable with itself is

The least risk portfolio is called the

The questions relate to the following table of information: -What is the beta for a portfolio with 60% invested in X and 40% invested in Y?

As portfolio size increases, the variance of the error term generally

The questions relate to the following table of information: -What is the expected return for a portfolio with 60% invested in X and 40% invested in Y?

COV (A,B) = .335. What is COV (B,A)?

A security has a return variance of 25%. The standard deviation of returns is

The Process of Portfolio Management

Valuation, Risk, Return, and Uncertainty

Setting Portfolio Objectives

Investment Policy

Why Diversification Is a Good Idea

International Investment and Diversification

The Capital Markets and Market Efficiency

Picking the Equity Players

Equity Valuation Tools

Security Screening

Bond Pricing and Selection

The Role of Real Assets

Alternative Assets

Revision of the Equity Portfolio

Revision of the Fixed-Income Portfolio

Principles of Options and Option Pricing

Option Overwriting

Performance Evaluation

Fiduciary Duties and Responsibilities

Principles of the Futures Market

Benching the Equity Players

Removing Interest Rate Risk

Integrating Derivative Assets and Portfolio Management

Contemporary Issues in Portfolio Management

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Exam 5: The Mathematics of Diversification

A security has a return variance of 16%. The standard deviation of returns is

The variance of a two-security portfolio decreases as the return correlation of the two securities

The covariance of a random variable with itself is

The least risk portfolio is called the

The questions relate to the following table of information: -What is the beta for a portfolio with 60% invested in X and 40% invested in Y?

As portfolio size increases, the variance of the error term generally

The questions relate to the following table of information: -What is the expected return for a portfolio with 60% invested in X and 40% invested in Y?

COV (A,B) = .335. What is COV (B,A)?

A security has a return variance of 25%. The standard deviation of returns is

The Process of Portfolio Management

Valuation, Risk, Return, and Uncertainty

Setting Portfolio Objectives

Investment Policy

Why Diversification Is a Good Idea

International Investment and Diversification

The Capital Markets and Market Efficiency

Picking the Equity Players

Equity Valuation Tools

Security Screening

Bond Pricing and Selection

The Role of Real Assets

Alternative Assets

Revision of the Equity Portfolio

Revision of the Fixed-Income Portfolio

Principles of Options and Option Pricing

Option Overwriting

Performance Evaluation

Fiduciary Duties and Responsibilities

Principles of the Futures Market

Benching the Equity Players

Removing Interest Rate Risk

Integrating Derivative Assets and Portfolio Management

Contemporary Issues in Portfolio Management

Filters