The optimal risky portfolio can be identified by finding: 选项： A

1.Without the introduction of a risk-free asset or a zero-beta portfolio, the optimal portfolio on the efficient frontier for each investor is represented by:() 选项： A、the point where the investor’s highest indifference curve is tangent to the efficient frontier. B、any point where an indifference curve intersects the efficient frontier. C、the point where the capital market line touches the frontier.

2.Which of the following statements regarding the Markowitz efficient frontier is least likely to be correct The optimal portfolio for:（）选项： A、a more risk-averse inverse investor will lie inside the efficient frontier but will lie outside the efficient frontier for a less risk-averse investor. B、B. an investor is the portfolio that lies on the efficient frontier and provides her with the greatest level utility. C、an investor is found at the point of tangency between the efficient frontier and an investor’s highest utility curve.

3.The investment portfolios on the efficient frontier not only provide the lowest risk given a certain level of return (Minimum-variance frontier), but also offer the highest return given certain level of risk. According to the modern portfolio theory and capital market theory, which of the following statement below about the efficient frontier and capital market line is wrong? 选项： A:The efficient frontier allows investors to have different risk aversions, and CML assumes all investors have a homogeneous expectation. B:The CML is the straight line connecting the risk-free asset with the zero beta minimum variance portfolio. C:The modern portfolio theory assumes no transaction costs, no taxes and all traders have costless access to all available information. D:Markowitz efficient frontier is the investment portfolios on minimum-variance frontier that are above the global minimum-variance portfolio.

4.Two risk analysts are discussing the efficient frontier following a presentation on the different measures of financial risk. According to the CAPM, which of the following statements is correct with respect to the efficient frontier? 选项： A:The capital market line always has a positive slope and its steepness depends on the market risk premium and the volatility of the market portfolio. B:The capital market line is the straight line connecting the risk-free asset with the zero beta minimum variance portfolio. C:Investors with the lowest risk aversion will typically hold the portfolio of risky assets that has the lowest standard deviation on the efficient frontier. D:The efficient frontier allows different individuals to have different portfolios of risky assets based upon their individual forecasts for asset returns.

5.The expected return – beta relationship of the CAPM is graphically represented by ________. 选项： A、the security market line B、the capital market line C、 the capital allocation line D、the efficient frontier with a risk-free asset E、the efficient frontier without a risk-free asset

6.According to the optimal portfolio theory, where should portfolios lie? ______. 选项： A: On the efficient frontier B: Above the efficient frontier C: Under the efficient frontier D: Anywhere, as long as the portfolio is diversified

7.The line that represents the combination of the optimal risky portfolio and the risk-free assets is known as the: 选项： A: Capital allocation line. B: Indifference curve. C: Efficient frontier.

8.The line that represents the combination of an optimal risky portfolio and a risk-free asset is known as the: 选项： A: indifference curve. B: capital allocation line. C: efficient frontier.

9.The efficient frontier is defined by the set of portfolios that, for each volatility level, maximizes the expected return. According to the capital asset pricing model (CAPM), which of the following statements are correct with respect to the efficient frontier?I. The capital market line is the straight fine connecting the risk-free asset with the zero beta minimum variance portfolio.II. The capital market line always has a positive slope and its steepness depends on the market risk premium and the volatility of the market portfolio.III. The complete efficient frontier without a risk-free asset can be obtained by combining the minimum variance portfolio and the market portfolio.IV. The efficient frontier allows different individuals to have different portfolios of risky assets based upon their own risk aversion and forecast for asset returns.V. The efficient frontier assumes no transaction costs, no taxes, a common investment horizon for all investors, and that the return distribution has no skewness. 选项： A:II and V B:I, II and III C:I, IV and V D:II, III and IV E:Capital Asset Pricing Model

10.As an investor continues to move downward on the efficient frontier, which of the following best describes the change in the: slope of the efficient frontier incremental return per unit of incremental risk（） A: Increases Increases B: Increases Decreases C: Decreases Increasea

11.Which of the following statement is least likely to be true regarding the efficient frontier? 选项： A:

A risk-averse investor will only choose portfolios along the efficient frontier.

B:

Portfolios that deliver the greatest return on each level of standard deviation make up the efficient frontier.

C:

The graphic that shows the efficient frontier has the variance on its Y-axis.

12.不懂-Which of the following statement is INCORRECT regarding the efficient frontier? 选项： A:

A risk-averse investor will only choose portfolios along the efficient frontier

B:

Portfolios that deliver the greatest return on each level of standard deviation make up the efficient frontier

C:

The graphic that shows the efficient frontier has the variance on its Y-axis

D:

None of the above

13.With respect to determining the optimal portfolio for an investor, which of the following statements is most accurate（）选项： A、Two investors may choose the same optimal portfolio even if their indifferent curve are different. B、Less risk-averse investors will have steeper utility curves than more riskaverse investors. C、The optimal portfolio lies at the point of tangency between the efficient frontier and indifference curve with the highest possible utility.

14. NO.463 When it comes to managing the portfolio value, one of the junior portfolio managers came to you asking about the relation between cost-benefit analysis and the efficient frontier analysis. What should your answer to her be? 选项： A: The Efficient frontier analysis is used while performing the Cost-benefit analysis in order to get the confidence factor in the estimates B: Efficient frontiers are not static, and organizations should monitor cost-benefit ratios on a continual basis C: Efficient frontier tracks the realized value against planned costs; thus is another way of cost- benefit analysis D: Cost-Benefit analysis are not static, and organizations should monitor the efficient frontier ratios on a continual basis

15.The separation theorem refers to 选项： A:The portfolio obtained by theinvestor investing in two frontier combinations is on the frontier; B:Investors first find thecut-point portfolio, and then find the optimal combination; C:Investors first determine therisk aversion attitude, and then find the optimal portfolio; D:Find risk-free securities first,then find the optimal portfolio

16.Thesecurity market line (SML) is 选项： A、theline that describes the expected return-beta relationship forwell-diversified portfolios only. B、alsocalled the capital allocation line. C、theline that is tangent to the efficient frontier of all risky assets. D、theline that represents the expected return-beta relationship. E、Allof the options.

17.Which of the following is most likely an assumption of the Modern Portfolio Theory? 选项： A: All investors prefer optimal portfolios made up of risk-free assets. B: All investors have homogeneous expectations related to the risk and return of portfolios. C: All investors have the same efficient frontier but different Capital Allocation Lines.

18. Refer to the production possibilities frontier in the figure above. Which production point is unattainable? 选项： A、 Point a B、 Point b C、 Point c D、 Point e

19. Each point on the production possibilities frontier achieves allocative efficiency.