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【单选题】

Which one of the following portfolios cannot lie on the efficient frontier as described by Markowitz?PortfolioExpected ReturnStandard DeviationA10%12%B5%7%C15%20%D12%25%

A.
Only portfolio A cannot lie on the efficient frontier.
B.
Only portfolio B cannot lie on the efficient frontier.
C.
Only portfolio C cannot lie on the efficient frontier.
D.
Only portfolio D cannot lie on the efficient frontier.
E.
Cannot tell from the information given.
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【单选题】The measure of risk in a Markowitz efficient frontier is ()
A.
specific risk.
B.
standard deviation of returns.
C.
reinvestment risk.
D.
beta.
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【单选题】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.
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【简答题】Consider two perfectly negatively correlated risky securities A and B. A has an expected rate of return of 12% and a standard deviation of 17%. B has an expected rate of return of 9% and a standard de...
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【简答题】Consider two perfectly negatively correlated risky securities A and B. A has an expected rate of return of 12% and a standard deviation of 17%. B has an expected rate of return of 9% and a standard de...
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【简答题】A security has an expected rate of return of 0.10 and a beta of 1.1.The market expected rate of return is 0.08 and the risk-free rate is 0.05. The alpha of the stock is __%.
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【单选题】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 options are true.
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【单选题】Which statement is true regarding the market portfolio? ()I) It includes all publicly traded financial assets.II) It lies on the efficient frontier.III) All securities in the market portfolio are held...
A.
I only
B.
II only
C.
III only
D.
IV only
E.
I, II, and III
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【单选题】In the context of the Capital Asset Pricing Model (CAPM), the relevant risk is ( )
A.
unique risk.
B.
systematic risk.
C.
standard deviation of returns.
D.
variance of returns.
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【单选题】Which statement is not true regarding the capital market line (CML)?
A.
The CML is the line from the risk-free rate through the market portfolio.
B.
The CML is the best attainable capital allocation line.
C.
The CML is also called the security market line.
D.
The CML always has a positive slope.
E.
The risk measure for the CML is standard deviation.
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【单选题】Which statement is true regarding the capital market line (CML)?I) The CML is the line from the risk-free rate through the market portfolio.II) The CML is the best attainable capital allocation line.I...
A.
I only
B.
II only
C.
III only
D.
IV only
E.
I, II, and IV
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