投资学第7版Test-Bank答案27
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投资学第7版Test-Bank答案27
Multiple Choice Questions
1. In the Treynor-Black model A) portfolio weight are sensitive to large alpha values which can lead to infeasible long
or short position for many portfolio managers.
B) portfolio weight are not sensitive to large alpha values which can lead to infeasible
long or short position for many portfolio managers.
C) portfolio weight are sensitive to large alpha values which can lead to the optimal
portfolio for most portfolio managers.
D) portfolio weight are not sensitive to large alpha values which can lead to the optimal
portfolio for most portfolio managers.
E) none of the above.
Answer: A Difficulty: Moderate
2. Benchmark portfolio risk is defined as A) the return difference between the portfolio and the benchmark B) the variance of the return of the benchmark portfolio C) the variance of the return difference between the portfolio and the benchmark D) the variance of the return of the actively-managed portfolio E) none of the above.
Answer: C Difficulty: Moderate
3. Benchmark portfolio risk A) is inevitable and is never a significant issue in practice. B) is inevitable and is always a significant issue in practice. C) cannot be constrained to keep a Treynor-Black portfolio within reasonable weights. D) can be constrained to keep a Treynor-Black portfolio within reasonable weights. E) none of the above.
Answer: D Difficulty: Moderate
4. ____________ can be used to measure forecast quality and guide in the proper
adjustment of forecasts. A) regression analysis B) exponential smoothing C) ARIMA D) moving average models E) GAUSS
Answer: A Difficulty: Moderate
投资学第7版Test-Bank答案27
