金融工程 相关习题及答案

in mutual funds?

A. Insurance companies. B. Investment companies. C. University endowments.

8. With respect to the portfolio management process, the asset allocation is determined in the: A. planning step. B. feedback step. C. execution step

9. The planning step of the portfolio management process is least likely to include an assessment of the client's A. securities. B. constraints. C. risk tolerance.

10. With respect to the portfolio management process, the rebalancing of a portfolio's composition is most likely to occur in the: A. planning step. B. feedback step. C. execution step.

11. An analyst gathers the following information for the asset allocations of three portfolios:

Which of the portfolios is most likely appropriate for a client who has a high degree of risk tolerance? A. Portfolio 1. B. Portfolio 2. C. Portfolio 3.

12. Which of the following investment products is most likely to trade at their net asset value per share? A. Exchange traded funds. B. Open-end mutual funds. C. Closed-end mutual funds.

13. Which of the following financial products is least likely to have a capital gain distribution?

 

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A. Exchange traded funds. B. Open-end mutual funds. C. Closed-end mutual funds.

14. Which of the following forms of pooled investments is subject to the least amount of regulation? A. Hedge funds.

B. Exchange traded funds. C. Closed-end mutual funds.

15. Which of the following pooled investments is most likely characterized by a few large investments? A. Hedge funds. B. Buyout funds.

C. Venture capital funds.

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Chapter 3 Portfolio Risk and Return: Part I

PRACTICE PROBLEMS FOR CHAPTER 3

1. An investor purchased 100 shares of a stock for $34.50 per share at the beginning of the quarter. If the investor sold all of the shares for $30.50 per share after receiving a $51.55 dividend payment at the end of the quarter, the holding period return is closest to: A. - 13.0%. B. - 11.6%. C. - 10.1%.

2. An analyst obtains the following annual rates of return for a mutual fund:

 

The fund's holding period return over the three-year period is closest to: A. 0.18%. B. 0.55%. C. 0.67%.

3. An analyst observes the following annual rates of return for a hedge fund:

 

The hedge fund's annual geometric mean return is closest to: A. 0.52%. B. 1.02%. C. 2.67%.

4. Which of the following return calculating methods is best for evaluating the annualized returns of a buy-and-hold strategy of an investor who has made annual deposits to an account for each of the last five years?

 

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A. Geometric mean return. B. Arithmetic mean return. C. Money-weighted return.

5. An investor evaluating the returns of three recently formed exchange-traded funds gathers the following information:

 

The ETF with the highest annualized rate of return is: A. ETF 1. B. ETF 2. C. ETF 3.

6. With respect to capital market theory, which of the following asset characteristics is least likely to impact the variance of an investor's equally weighted portfolio? A. Return on the asset.

B. Standard deviation of the asset.

C. Covariances of the asset with the other assets in the portfolio.

7. A portfolio manager creates the following portfolio:

 

If the correlation of returns between the two securities is 0.40, the expected standard deviation of the portfolio is closest to: A. 10.7%. B. 11.3%. C. 12.1%.

8. A portfolio manager creates the following portfolio:

 

If the covariance of returns between the two securities is - 0.0240, the expected

 

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standard deviation of the portfolio is closest to: A. 2.4%. B. 7.5%. C. 9.2%.

The following information relates to Questions 9-10 A portfolio manager creates the following portfolio:

 

9. If the standard deviation of the portfolio is 14.40%, the correlation between the two securities is equal to: A. - 1.0. B. 0.0. C. 1.0.

10. If the standard deviation of the portfolio is 14.40%, the covariance between the two securities is equal to: A. 0.0006. B. 0.0240. C. 1.0000.

The following information relates to Questions 11-14

An analyst observes the following historic geometric returns:

 

11 . The real rate of return for equities is closest to: A. 5.4%. B. 5.8%. C. 5.9%.

12. The real rate of return for corporate bonds is closest to: A. 4.3%. B. 4.4%. C. 4.5%.

13. The risk premium for equities is closest to:

 

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Chapter 1 Market Organization and Structure

PRACTICE PROBLEMS FOR CHAPTER 1

1. Akihiko Takabe has designed a sophisticated forecasting model, which predicts the movements in the overall stock market, in the hope of earning a return in excess of a fair return for the risk involved. He uses the predictions of the model to decide whether to buy, hold, or sell the shares of an index fund that aims to replicate the movements of the stock market. Takabe would best be characterized as a (n): A. hedger. B. investor.

C. information-motivated trader.

2. James Beach is young and has substantial wealth. A significant proportion of his stock portfolio consists of emerging market stocks that offer relatively high expected returns at the cost of relatively high risk. Beach believes that investment in emerging market stocks is appropriate for him given his ability and willingness to take risk. Which of the following labels most appropriately describes Beach? A. Hedger. B. Investor.

C. Information-motivated trader.

3. Lisa Smith owns a manufacturing company in the United States. Her company has sold goods to a customer in Brazil and will be paid in Brazilian real (BRL) in three months. Smith is concerned about the possibility of the BRL depreciating more than expected against the U.S. dollar (USD). Therefore, she is planning to sell three-month futures contracts on the BRL. The seller of such contracts generally gains when the BRL depreciates against the USD. If Smith were to sell these future contracts, she would most appropriately be described as a (n): A. hedger. B. investor.

C. information-motivated trader.

4. Which of the following is not a function of the financial system? A. To regulate arbitrageurs’ profits (excess returns).

B. To help the economy achieve allocational efficiency.

C. To facilitate borrowing by businesses to fund current operations.

5. An investor primarily invests in stocks of publicly traded companies. The investor wants to increase the diversification of his portfolio. A friend has recommended investing in real estate properties. The purchase of real estate would best be

characterized as a transaction in the: A. derivative investment market. B. traditional investment market. C. alternative investment market.

6. A hedge fund holds its excess cash in 90-day commercial paper and negotiable certificates of deposit. The cash management policy of the hedge fund is best described as using:

A. capital market instruments. B. money market instruments.

C. intermediate-term debt instruments.

7. An oil and gas exploration and production company announces that it is offering 30 million shares to the public at $45.50 each. This transaction is most likely a sale in the:

A. futures market. B. primary market. C. secondary market.

8. Consider a mutual fund that invests primarily in fixed-income securities that have been determined to be appropriate given the fund’s investment goal. Which of the following is least likely to be a part of this fund? A. Warrants.

B. Commercial paper. C. Repurchase agreements.

9. A friend has asked you to explain the differences between open-end and closed-end funds. Which of the following will you most likely include in your explanation? A. Closed-end funds are unavailable to new investors.

B. When investors sell the shares of an open-end fund, they can receive a discount or a premium to the fund’s net asset value.

C. When selling shares, investors in an open-end fund sell the shares back to the fund whereas investors in a closed-end fund sell the shares to others in the secondary market.

10. The usefulness of a forward contract is limited by some problems. Which of the following is most likely one of those problems?

A. Once you have entered into a forward contract, it is difficult to exit from the contract.

B. Entering into a forward contract requires the long party to deposit an initial amount with the short party.

C. If the price of the underlying asset moves adversely from the perspective of the long party, periodic payments must be made to the short party.

 

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11. Tony Harris is planning to start trading in commodities. He has heard about the use of futures contracts on commodities and is learning more about them. Which of the following is Harris least likely to find associated with a futures contract? A. Existence of counterparty risk. B. Standardized contractual terms.

C. Payment of an initial margin to enter into a contract.

12. A German company that exports machinery is expecting to receive $10 million in three months. The firm converts all its foreign currency receipts into euros. The chief financial officer of the company wishes to lock in a minimum fixed rate for

converting the $10 million to euro but also wants to keep the flexibility to use the future spot rate if it is favorable. What hedging transaction is most likely to achieve this objective?

A. Selling dollars forward.

B. Buying put options on the dollar. C. Selling futures contracts on dollars.

13. A book publisher requires substantial quantities of paper. The publisher and a paper producer have entered into an agreement for the publisher to buy and the

producer to supply a given quantity of paper four months later at a price agreed upon today. This agreement is a: A. futures contract. B. forward contract. C. commodity swap.

14. The Standard & Poor’s Depositary Receipts (SPDRs) is an investment that tracks the S&P 500 stock market index. Purchases and sales of SPDRs during an average trading day are best described as:

A. primary market transactions in a pooled investment. B. secondary market transactions in a pooled investment.

C. secondary market transactions in an actively managed investment.

15. The Standard & Poor’s Depositary Receipts (SPDRs) is an exchange-traded fund in the United States that is designed to track the S&P 500 stock market index. The current price of a share of SPDRs is $113. A trader has just bought call options on shares of SPDRs for a premium of $3 per share. The call options expire in five months and have an exercise price of $120 per share. On the expiration date, the trader will exercise the call options (ignore any transaction costs) if and only if the shares of SPDRs are trading:

A. below $120 per share. B. above $120 per share. C. above $123 per share.

16. Which of the following statements about exchange-traded funds is most correct?

 

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A. Exchange-traded funds are not backed by any assets.

B. The investment companies that create exchange-traded funds are financial intermediaries.

C. The transaction costs of trading shares of exchange-traded funds are substantially greater than the combined costs of trading the underlying assets of the fund.

17. Jason Schmidt works for a hedge fund and he specializes in finding profit opportunities that are the result of inefficiencies in the market for convertible bonds—bonds that can be converted into a predetermined amount of a company’s common stock. Schmidt tries to find convertibles that are priced inefficiently relative to the underlying stock. The trading strategy involves the simultaneous purchase of the convertible bond and the short sale of the underlying common stock. The above process could best be described as: A. hedging. B. arbitrage. C. securitization.

18. Pierre-Louis Robert just purchased a call option on shares of the Michelin Group. A few days ago he wrote a put option on Michelin shares. The call and put options have the same exercise price, expiration date, and number of shares underlying.

Considering both positions, Robert’s exposure to the risk of the stock of the Michelin Group is: A. long. B. short. C. neutral.

19. An online brokerage firm has set the minimum margin requirement at 55 percent. What is the maximum leverage ratio associated with a position financed by this minimum margin requirement? A. 1.55. B. 1.82. C. 2.22.

20. A trader has purchased 200 shares of a non-dividend-paying firm on margin at a price of $50 per share. The leverage ratio is 2.5. Six months later, the trader sells these shares at $60 per share. Ignoring the interest paid on the borrowed amount and the transaction costs, what was the return to the trader during the six-month period? A. 20 percent. B. 33.33 percent. C. 50 percent.

21. Jason Williams purchased 500 shares of a company at $32 per share. The stock was bought on 75 percent margin. One month later, Williams had to pay interest on the amount borrowed at a rate of 2 percent per month. At that time, Williams received

 

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a dividend of $0.50 per share. Immediately after that he sold the shares at $28 per share. He paid commissions of $10 on the purchase and $10 on the sale of the stock. What was the rate of return on this investment for the one-month period? A. ?12.5 percent. B. –15.4 percent. C. –50.1 percent.

22. Caroline Rogers believes the price of Gamma Corp. stock will go down in the near future. She has decided to sell short 200 shares of Gamma Corp. at the current market price of

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