投资学第7版Test
Bank答案09
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Multiple Choice Questions
1. In the context of the Capital Asset Pricing Model (CAPM) the relevant measure of risk
is A) unique risk. B) beta. C) standard deviation of returns. D) variance of returns. E) none of the above.
Answer: B Difficulty: Easy Rationale: Once, a portfolio is diversified, the only risk remaining is systematic risk,
which is measured by beta.
2. According to the Capital Asset Pricing Model (CAPM) a well diversified portfolio's rate
of return is a function of A) market risk B) unsystematic risk C) unique risk. D) reinvestment risk. E) none of the above.
Answer: A Difficulty: Easy Rationale: With a diversified portfolio, the only risk remaining is market, or
systematic, risk. This is the only risk that influences return according to the CAPM.
3. The market portfolio has a beta of A) 0. B) 1. C) -1. D) . E) none of the above
Answer: B Difficulty: Easy Rationale: By definition, the beta of the market portfolio is 1.
4. The risk-free rate and the expected market rate of return are and , respectively. According to the capital asset pricing model (CAPM), the expected rate of return on security X with a beta of is equal to A) . B) . C) . D) E) Answer: D Difficulty: Easy
Rationale: E(R) = 6% + (12 - 6) = %.
5. The risk-free rate and the expected market rate of return are and , respectively. According to the capital asset pricing model (CAPM), the expected rate of return on a security with a beta of is equal to A) B) . C) . D) E) Answer: A Difficulty: Easy Rationale: E(R) = % + - = %.
6. Which statement is not true regarding the market portfolio A) It includes all publicly traded financial assets. B) It lies on the efficient frontier.
C) All securities in the market portfolio are held in proportion to their market values. D) It is the tangency point between the capital market line and the indifference
curve.
E) All of the above are true. Answer: D Difficulty: Moderate
Rationale: The tangency point between the capital market line and the indifference curve is the optimal portfolio for a particular investor.
投资学第7版testbank答案09
