武鑫投资学期末考试复习题.doc

投资学
一、题型
单选题（10*1）
多选题（10*1）
名词解释（4*4）
计算题（11问*5）
论述题（1*9）

名词解释

1.金融：金融是在时间和风险两个维度上优化地配置资源
Finance：In two dimensions, time and risk finance is optimizing allocate resources.

2.现值：对未来现金流量以恰当的折现率折现后的价值
present value：Future cash flows in a proper discount rate discounted value

3.贴现因子：一年后一元的现值
Discount factor：A year later the present value of one yuan

4.即期利率：债券票面所标明的利率或购买债券时所获得的折价收益与债券面值的比率
Spot interest rates: indicated by the bond coupon rate or discount revenue received when buying bonds with the face value of a bond rate
5.远期利率：隐含在给定的即期利率之中，从未来的某一时点到另一时点的利率
Forward rates: implicit spot rate in a given period, from one point to another point in the future of interest rates
6.内部回报率：使投资项目的净现值等于零的贴现率
The internal rate of return: the investment project's net present value discount rate is equal to zero
7.零息债券：以贴现方式发行，不附息票，而于到期日时按面值一次性支付本利的债券
Zero coupon bond: the discount issued, no coupon, and when I am on the due date according to the face value of lump-sum cost of bonds

8.pvbp：当收益率变化一个基点(0.01%)时债券价格的变化
Pvbp：When the yield a basis point (0.01%) changes in bond prices

9.久期：债券各期现金流支付时间的加权平均值
Duration: bond cash flows in each period time weighted average

10.凸性：描述了价格/收益率曲线的弯曲程度，是债券价格对收益率的二阶导数
Convexity: Describes the degree of price/yield curves, bond price to yield the second derivative of yield

11. 风险溢价：预期收益超过无风险证券收益的部分，为投资的风险提供补偿
Risk premium: part of the expected benefits exceed the risk-free securities, offer compensation to investment risks

12.无风险资产：无违约风险，预期收益标准差为零的资产
Risk-free asset: no default risk, the expected return standard deviation is zero assets

13.有效市场：证券价格能够充分地反映投资者可以获得的信息时的证券市场
Efficient markets: prices of securities fully reflect the information available to investors in securities markets

计算题

1. You deposit $100 at 7% interest compounded yearly.How much do you have after 10 years?
你按照7％的年复利率，投资了100元，10年后能得到多少?

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所以，这个资产的预期回报率的期望值是0.1425，方差是0.024475（必须写）

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论述题
1. CAL和CML区别
CAL和CML都在同一个坐标系中，纵轴为收益，横轴为代表总风险的方差。纵轴取截距为无风险收益R，R与有效前沿上任意一点连线，即为CAL线。无数条连线中最优的一条为R与有效前沿的切线，该最优线为CML，切点为market portfolio，CML线上的点是无风险资产和market portfolio按不同权重的组合。
CAL and CML are in the same coordinate system, the vertical axis as yield, for the lateral axis represents the variance of the total risk. Vertical axis intercept taking a risk-free return R,R and efficient frontier at any point on a line, the CAL line. Countless best article in line for R tangent with the efficient frontier, the best lines for CML, tangency points for market portfolio,CML online is the risk-free asset and the market portfolio in different combinations of weight.

2. SML和APT定价线区别
SML，是证券市场线，可以描述预期收益率和β的关系。即横坐标是β系数，纵坐标是预期收益率。既可以描述单个资产，也可以描述资产组合。而apt，只是罗斯的套利定价理论。其基本思想是在理想市场中，不存在套利机会。因此单个资产的收益应该与其贝塔系数成一定比例。
SML, the securities market line, you can describe the relationship between expected return and β. The abscissa is theβ, the ordinate is the expected rate of return. Either one assets, portfolios can be described. Apt, but Ross ' arbitrage pricing theory. The basic idea is that in an ideal market, arbitrage opportunities do not exist.Income so that individual assets should be proportional to β.

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