The securities market line describes: 选项： A、The relationship bet

1.The line depicting the total risk and expected return of portfolio combinations of a risk-free asset and any risky asset is the:A.security market line.B.capital allocation line.C.security characteristic line.

2.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

3.A risk manager is analyzing the expected performance of a group of assets which are all benchmarked to the same market index. For the analysis, the risk manager assumes that the returns on the market index are greater than the risk-free rate and that the assumptions of the CAPM hold. Holding all other things constant, which of the following statements is correct? 选项： A:The expected return on an asset increases when its correlation with the market return decreases. B:For an asset with a negative correlation of return to the market, an increase in the risk-free rate will decrease its expected return. C:An asset with a beta of 2.5 will always have a higher standard deviation of return than an asset with a beta of 0.5. D:When comparing two assets, the asset with the higher beta will always have the higher expected return. E:Capital Asset Pricing Model

4.Which one of the following is the formula that explains the relationship between the expected return on a security and the level of that security's systematic risk? 选项： A:time value of money equation; B:unsystematic risk equation; C:expected risk formula; D:capital asset pricing model

5.Which of the following statements is most accurate? If the covariance of returns between two assets is 0.0023, then: A.the assets’ risk is near zeroB.the asset returns are unrelatedC.the asset returns have a positive relationship

6.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

7.The standard deviation around an expected value is a useful measure of 选项： A、expected value of an asset. B、economic value of an asset. C、the difference between the best-case return of an asset and its worst-case return. D、deviation of an asset's actual returns from its expected returns.

8.23.Suppose the most efficient risky portfolio to combine with a risk-free asset paying0.05 is a portfolio with an expected return of 0.10 and a standard deviation of 0.10. What is the expected return and risk of a leveraged investment where for each $100 of your own funds you borrow $50 at the risk-free rate and invest the entire $150 in the optimal risky portfolio? Here the market price of risk, the increase in expected return per unit of risk born, takes on what value?

9.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.

10. The higher the standard deviation of returns on an asset, the _________ is the asset's _________ 选项： A、 greater; risk B、 smaller; risk C、 greater; expected return D、 smaller; expected return

11.An investment security with high risk will have a(n) 选项： A、Low expected return. B、Lower price than an asset with low risk. C、Increasing expected rate of return. D、High standard deviation of returns.

12.The security market line (SML) is the graph of 选项： A、expected rate of return on investment vs. variance of returns. B、expected rate of return on investment vs. standard deviation of returns. C、expected rate of return on investment vs. beta. D、expected rate of return on investment vs. average returns.

13.In the securities market, the relationship between the issuing market and the trading market is (　　). 选项： A:Trading B:The C:Exchange D:The

14.What is the expected return on security X given the following data? Risk-free rate is 5%, beta of X relative to market is 1 and market risk premium is 5%. Write in percentages with % symbol.______

15.Which of the following statements about portfolio risk and diversification is least accurate（） A. Unsystematic risk can be substantially reduced by diversification. B. Systematic risk can be eliminated by holding securities in a well-diversified international stock portfolio. C. Diversification results from combining securities that have less than perfect positive correlation between their returns to reduce portfolio risk.

16.10、A portfolio contains equal weights of two securities having the same standard deviation. If thecorrelation between the returns of the two securities was to decrease, the portfolio risk would mostlikely:【单选题】A、remain the same.B、increase.C、decrease.

17.According to the CAPM model, which of the following statements is incorrect? 选项： A、If the risk-free interest rate is lowered, the yield of a single security will be reduced in direct proportion B、The increase in the expected risk premium of a single security is proportional to beta C、When the price of a security is fair, Alpha is zero D、In equilibrium, all securities and portfolios are on the stock market line

18.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.

19.Diversification can effectively reduce risk. Once a portfolio is diversified the type of risk remaining is选项： A:individual security risk.; B:riskless security risk.; C:risk related to the market portfolio; D:total standard deviations.

20.Reconstitution of a security market index reduces: 选项： A、Portfolio turnover B、The need for rebalancing C、The likelihood that the index includes securities that are not representative of the target market

21.The market rate of return is 11 percent and the risk-free rate of return is 3 percent. Lexant stock has 3 percent less systematic risk than the market and has an actual return of 12 percent. This stock:选项： A:is underpriced.; B:is correctly priced.; C:will plot below the security market line.; D:will plot on the security market line

22.The optimal asset portfolio after adding risk-free securities 选项： A、is the tangent point of the indifference curve and the capital allocation line B、is the point in the investment opportunity that has the highest variance ratio C、is the tangent point of investment opportunities and capital allocation line D、is the point on the indifference curve with the highest return variance ratio