投资学 chapter 5.doc

Sample question:You have the following rates of return for a risky portfolio for several recent years:1.If you invested $1,000 at the beginning of 2005 your investment at the end of 2008 would be worth _.A.$2,176.60B.$1,785.56C.$1,645.53D.$1,247.87If you invest 1,000, at the end of year one, you will have 1000*(1+35.23%),At the end of year 2, you will have 1000*(1+35.23%)*(1+18.67%), do the same work for year 3 and 4, then $1000(1+35.23%)(1+18.67%)(1 -9.87%)(1+23.45%) = $1785.562.The annualized average return on this investment isA.16.15%B.16.87%C.21.32%D.15.60%Because geometric average rate of return is more accurate, we will use geometric average rate of return here. Geometric average rate of return=(1+r_1)(1+r_2)*(1+r_n)(1/n)-1, then we haveHint: we have already calculated 1000(1+35.23%)(1+18.67%)(1 -9.87%)(1+23.45%) = $1785.56, thus (1+35.23%)(1+18.67%)(1 -9.87%)(1+23.45%)=1.7856.1.You put up $50 at the beginning of the year for an investment. The value of the investment grows 4% and you earn a dividend of $3.50. Your HPR was _D_.A.4.00%B.3.50%C.7.00%D.11.00%2.The geometric average of -12%, 20% and 25% is _C_.A.8.42%B.11.00%C.9.70%D.18.88%3.The excess return is the _B_.A.rate of return that can be earned with certaintyB.rate of return in excess of the Treasury bill rateC.rate of return to risk aversionD.index return4.Your investment has a 20% chance of earning a 30% rate of return, a 50% chance of earning a 10% rate of return and a 30% chance of losing 6%. What is your expected D return on this investment?DA.12.8%B.11.0%C.8.9%D.9.2%5.Your investment has a 40% chance of earning a 15% rate of return, a 50% chance of earning a 10% rate of return and a 10% chance of losing 3%. What is the standard deviation of this investment?10.7% AA.5.14%B.7.59%C.9.29%D.8.43%6.Both investors and gamblers take on risk. The difference between an investor and a gambler is that an investor _B_.A.is normally risk neutralB.requires a risk premium to take on the riskC.knows he or she will not lose moneyD.knows the outcomes at the beginning of the holding period7.Treasury bills are paying a 4% rate of return. A risk averse investor with a risk aversion of A = 3 should invest in a risky portfolio with a standard deviation of 24% only if the risky portfolios expected return is at least _C_.A.8.67%B.9.84%C.12.64%D.14.68%8.Two assets have the following expected returns and standard deviations when the risk-free rate is 5%:11 15.9An investor with a risk aversion of A = 3 would find that _C_ on a risk return basis.A.only Asset A is acceptableB.only Asset B is acceptableC.neither Asset A nor Asset B is acceptableD.both Asset A and Asset B are acceptable9.You purchased a share of stock for $29. One year later you received $2.25 as dividend and sold the share for $28. Your holding-period return was _C_.A.-3.57%B.- 3.45%C.4.31%D.8.03%10.The holding period return on a stock was 25%. Its ending price was $18 and its beginning price was $16. Its cash dividend must have been _C_.A.$0.25B.$1.00C.$2.00D.$4.0011.An investor invests 70% of her wealth in a risky asset with an expected rate of return of 15% and a variance of 5% and she puts 30% in a Treasury bill that pays 5%. Her portfolios expected rate of return and standard deviation are _C_ and _ respectively.A.10.0%, 6.7%B.12.0%, 22.4%C.12.0%, 15.7%D.10.0%, 35.0%12.Consider the following two investment alternatives. First, a risky portfolio that pays 15% rate of return with a probability of 40% or 5% with a probability of 60%. Second, a treasury bill that pays 6%. The risk premium on the risky investment is _B_.A.1%B.3%C.6%D.9%13.What is the geometric average return of the following quarterly returns: 3%, 5%, 4%, and 7%, respectively?CA.3.72%B.4.23%C.4.74%D.4.90%You have the following rates of return for a risky portfolio for several recent years. Assume that the stock pays no dividends14.What is the geometric average return for the period?CA.2.87%B.0.74%C.2.60%D.2.21%15.What is the dollar weighted return over the entire time period?BA.2.87%B.0.74%C.2.60%D.2.21%