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1.[单选题] 纠错收藏提问移除

A defined benefit plan with a large number of retirees is likely to have a high need for

A
income.
B
liquidity.
C
insurance.

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2.[单选题] 纠错收藏提问移除

With respect to the portfolio management process, the asset allocation is determined in the:

A
planning step.
B
feedback step.
C
execution step.

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3.[单选题] 纠错收藏提问移除

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.

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4.[单选题] 纠错收藏提问移除

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%.

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5.[单选题] 纠错收藏提问移除

With respect to trading costs, liquidity is least likely to impact the:

A
stock price.
B
bid–ask spreads.
C
brokerage commissions.

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6.[单选题] 纠错收藏提问移除

With respect to risk-averse investors, a risk-free asset will generate a numerical utility that is:

A
the same for all individuals.
B
positive for risk-averse investors.
C
equal to zero for risk seeking investors.

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7.[单选题] 纠错收藏提问移除

With respect to the mean–variance portfolio theory, the capital allocation line, CAL, is the combination of the risk-free asset and a portfolio of all:

A
risky assets.
B
equity securities.
C
feasible investments.

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8.[单选题] 纠错收藏提问移除

As the number of assets in an equally-weighted portfolio increases, the contribution of each individual asset’s variance to the volatility of the portfolio:

A
increases.
B
decreases.
C
remains the same.

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9.[单选题] 纠错收藏提问移除

Which of the following statements is least accurate? The efficient frontier is the set of all attainable risky assets with the:

A
highest expected return for a given level of risk.
B
lowest amount of risk for a given level of return.
C
highest expected return relative to the risk-free rate.

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10.[单选题] 纠错收藏提问移除

The set of portfolios on the minimum-variance frontier that dominates all sets of portfolios below the global minimum-variance portfolio is the:

A
capital allocation line.
B
Markowitz efficient frontier.
C
set of optimal risky portfolios.

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11.[单选题] 纠错收藏提问移除

Compared to the efficient frontier of risky assets, the dominant capital allocation line has higher rates of return for levels of risk greater than the optimal risky portfolio because of the investor’s ability to:

A
lend at the risk-free rate.
B
borrow at the risk-free rate.
C
purchase the risk-free asset.

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12.[单选题] 纠错收藏提问移除

Which of the following statements most accurately defines the market portfolio in capital market theory? The market portfolio consists of all:

A
risky assets.
B
tradable assets.
C
investable assets.

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13.[单选题] 纠错收藏提问移除

Relative to portfolios on the CML, any portfolio that plots above the CML is considered:

A
inferior.
B
inefficient.
C
unachievable.

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14.[单选题] 纠错收藏提问移除

With respect to the pricing of risk in capital market theory, which of the following statements is most accurate?

A
All risk is priced.
B
Systematic risk is priced.
C
Nonsystematic risk is priced.

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15.[单选题] 纠错收藏提问移除

With respect to return-generating models, the intercept term of the market model is the asset’s estimated:

A
beta.
B
alpha.
C
variance.

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16.[单选题] 纠错收藏提问移除

With respect to capital market theory, correctly priced individual assets can be plotted on the:

A
capital market line.
B
security market line.
C
capital allocation line.

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17.[单选题] 纠错收藏提问移除

An analyst gathers the following information:
With respect to the capital asset pricing model, a decline in the expected market return will have the greatest impact on the expected return of:

A
Security 1.
B
Security 2.
C
Security 3.

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18.[单选题] 纠错收藏提问移除

Which of the following performance measures does not require the measure to be compared to another value?

A
Sharpe ratio.
B
Treynor ratio.
C
Jensen’s alpha.

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19.[单选题] 纠错收藏提问移除

Portfolio managers who are maximizing risk-adjusted returns will seek to invest more in securities with:

A
lower values of Jensen’s alpha.
B
values of Jensen’s alpha equal to 0.
C
higher values of Jensen’s alpha.

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20.[单选题] 纠错收藏提问移除

Which of the following is least important as a reason for a written investment policy statement (IPS)?

A
The IPS may be required by regulation.
B
Having a written IPS is part of best practice for a portfolio manager.
C
Having a written IPS ensures the client’s risk and return objectives can be achieved.

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21.[单选题] 纠错收藏提问移除

Which of the following typical topics in an investment policy statement (IPS) is most closely linked to the client’s “distinctive needs”?

A
Procedures.
B
Investment Guidelines.
C
Statement of Duties and Responsibilities.

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22.[单选题] 纠错收藏提问移除

Risk assessment questionnaires for investment management clients are most useful in measuring:

A
value at risk.
B
ability to take risk.
C
willingness to take risk.

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23.[单选题] 纠错收藏提问移除

Which of the following is best characterized as a relative risk objective?

A
Value at risk for the fund will not exceed US$3 million.
B
The fund will not underperform the DAX by more than 250 basis points.
C
The fund will not lose more than €2.5 million in the coming 12-month period.

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24.[单选题] 纠错收藏提问移除

Consider the pairwise correlations of monthly returns of the following asset classes:
Based solely on the information in the above table, which equity asset class is most sharply distinguished from US equities?

A
Brazilian equities.
B
European equities.
C
East Asian equities.

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25.[单选题] 纠错收藏提问移除

In defining asset classes as part of the strategic asset allocation decision, pairwise correlations within asset classes should generally be:

A
equal to correlations among asset classes.
B
lower than correlations among asset classes.
C
higher than correlations among asset classes.

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26.[单选题] 纠错收藏提问移除

Risk management in the case of individuals is best described as concerned with:

A
hedging risk exposures.
B
maximizing utility while bearing a tolerable level of risk.
C
maximizing utility while avoiding exposure to undesirable risks.

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27.[单选题] 纠错收藏提问移除

The process of risk management includes:

A
minimizing risk.
B
maximizing returns.
C
defining and measuring risks being taken.

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28.[单选题] 纠错收藏提问移除

Effective risk governance in an enterprise provides guidance on all of the following except:

A
unacceptable risks.
B
worst losses that may be tolerated.
C
specific methods to mitigate risk for each subsidiary in the enterprise.

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29.[单选题] 纠错收藏提问移除

Which factor should most affect a company’s ability to tolerate risk?

A
A stable market environment
B
The beliefs of the individual board members
C
The ability to dynamically respond to adverse events

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30.[单选题] 纠错收藏提问移除

A characteristic of Big Data is that:

A
one of its traditional sources is business processes.
B
it involves formats with diverse types of structures.
C
real-time communication of it is uncommon due to vast content.

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31.[单选题] 纠错收藏提问移除

Text Analytics is appropriate for application to:

A
economic trend analysis.
B
large, structured datasets.
C
public but not private information.

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32.[单选题] 纠错收藏提问移除

In providing investment services, robo-advisers are most likely to:

A
rely on their cost effectiveness to pursue active strategies.
B
offer fairly conservative advice as easily accessible guidance.
C
be free from regulation when acting as fully-automated wealth managers.

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33.[单选题] 纠错收藏提问移除

Chapmin Corp. is a large domestic services firm with a good credit rating. The source of short-term financing it would most likely use is:

A
factoring of receivables.
B
issuing commercial paper.
C
issuing bankers’ acceptances.

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34.[单选题] 纠错收藏提问移除

Which of the following statements about risk-averse investors is most accurate? A risk-averse investor:

A
seeks out the investment with minimum risk, while return is not a majorconsideration.
B
will take additional investment risk if sufficiently compensated for this risk.
C
avoids participating in global equity markets.

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35.[单选题] 纠错收藏提问移除

In a defined benefit pension plan:

A
the employee assumes the investment risk.
B
the employer contributes to the employee’s retirement account each period.
C
the plan sponsor promises a predetermined retirement income to participants.

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36.[单选题] 纠错收藏提问移除

Which of the following is least likely to be considered an appropriate schedule for reviewing and updating an investment policy statement?

A
At regular intervals (e.g., every year).
B
When there is a major change in the client’s constraints.
C
Frequently, based on the recent performance of the portfolio.

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37.[单选题] 纠错收藏提问移除

In a five-year period, the annual returns on an investment are 5%, –3%, –4%, 2%, and 6%. The standard deviation of annual returns on this investment is closest to:

A
4.0%.
B
4.5%.
C
20.7%.

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38.[单选题] 纠错收藏提问移除

A measure of how the returns of two risky assets move in relation to each other is:

A
the range.
B
the covariance.
C
the standard deviation.

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39.[单选题] 纠错收藏提问移除

The capital allocation line is a straight line from the risk-free asset through:

A
the global maximum-return portfolio.
B
the optimal risky portfolio.
C
the global minimum-variance portfolio.

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40.[单选题] 纠错收藏提问移除

An investor put 60% of his portfolio into a risky asset offering a 10% return with a standard deviation of returns of 8% and put the balance of his portfolio in a riskfree asset offering 5%. What is the expected return and standard deviation of his portfolio?

A
Expected return Standard deviation 6.0% 6.8%
B
Expected return Standard deviation 8.0% 4.8%
C
Expected return Standard deviation 10.0% 6.6%

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41.[单选题] 纠错收藏提问移除

The investment policy statement is most accurately considered:

A
the starting point of the portfolio management process.
B
the key intermediate step in the portfolio management process.
C
the end product of the portfolio management process.

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42.[单选题] 纠错收藏提问移除

In determining the appropriate asset allocation for a client’s investment account,the manager should:

A
consider only the investor’s risk tolerance.
B
incorporate forecasts of future economic conditions.
C
consider the investor’s risk tolerance and future needs, but not forecasts of market conditions.

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43.[单选题] 纠错收藏提问移除

A risk management framework least likely includes:

A
risk governance, risk mitigation, and strategic risk analysis.
B
identifying and measuring risks, risk policies and processes, and riskgovernance.
C
risk mitigation, tracking the organization’s risk profile, and establishingposition limits.

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44.[单选题] 纠错收藏提问移除

Risk governance should most appropriately be addressed within an organization at:

A
the enterprise level.
B
the business unit level.
C
the individual employee level.

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45.[单选题] 纠错收藏提问移除

Risk budgeting can best be described as:

A
setting an annual limit on risk taken.
B
selecting assets by their risk characteristics.
C
establishing a maximum amount of risk to be taken

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46.[单选题] 纠错收藏提问移除

Which of the following is most appropriately termed a financial risk?

A
Credit risk.
B
Solvency risk.
C
Settlement risk.

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47.[单选题] 纠错收藏提问移除

Which of the following technological developments is most likely to be useful for analyzing Big Data?

A
Machine learning.
B
High-latency capture.
C
The Internet of Things.

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答题卡

A defined benefit plan with a large number of retirees is likely to have a high need for

With respect to the portfolio management process, the asset allocation is determined in the:

Which of the following forms of pooled investments is subject to the least amount of regulation?

An analyst observes the following annual rates of return for a hedge fund: The hedge fund’s annual geometric mean return is closest to:

With respect to trading costs, liquidity is least likely to impact the:

With respect to risk-averse investors, a risk-free asset will generate a numerical utility that is:

With respect to the mean–variance portfolio theory, the capital allocation line, CAL, is the combination of the risk-free asset and a portfolio of all:

As the number of assets in an equally-weighted portfolio increases, the contribution of each individual asset’s variance to the volatility of the portfolio:

Which of the following statements is least accurate? The efficient frontier is the set of all attainable risky assets with the:

The set of portfolios on the minimum-variance frontier that dominates all sets of portfolios below the global minimum-variance portfolio is the:

Compared to the efficient frontier of risky assets, the dominant capital allocation line has higher rates of return for levels of risk greater than the optimal risky portfolio because of the investor’s ability to:

Which of the following statements most accurately defines the market portfolio in capital market theory? The market portfolio consists of all:

Relative to portfolios on the CML, any portfolio that plots above the CML is considered:

With respect to the pricing of risk in capital market theory, which of the following statements is most accurate?

With respect to return-generating models, the intercept term of the market model is the asset’s estimated:

With respect to capital market theory, correctly priced individual assets can be plotted on the:

An analyst gathers the following information: With respect to the capital asset pricing model, a decline in the expected market return will have the greatest impact on the expected return of:

Which of the following performance measures does not require the measure to be compared to another value?

Portfolio managers who are maximizing risk-adjusted returns will seek to invest more in securities with:

Which of the following is least important as a reason for a written investment policy statement (IPS)?

Which of the following typical topics in an investment policy statement (IPS) is most closely linked to the client’s “distinctive needs”?

Risk assessment questionnaires for investment management clients are most useful in measuring:

Which of the following is best characterized as a relative risk objective?

Consider the pairwise correlations of monthly returns of the following asset classes: Based solely on the information in the above table, which equity asset class is most sharply distinguished from US equities?

In defining asset classes as part of the strategic asset allocation decision, pairwise correlations within asset classes should generally be:

Risk management in the case of individuals is best described as concerned with:

The process of risk management includes:

Effective risk governance in an enterprise provides guidance on all of the following except:

Which factor should most affect a company’s ability to tolerate risk?

A characteristic of Big Data is that:

Text Analytics is appropriate for application to:

In providing investment services, robo-advisers are most likely to:

Chapmin Corp. is a large domestic services firm with a good credit rating. The source of short-term financing it would most likely use is:

Which of the following statements about risk-averse investors is most accurate? A risk-averse investor:

In a defined benefit pension plan:

Which of the following is least likely to be considered an appropriate schedule for reviewing and updating an investment policy statement?

In a five-year period, the annual returns on an investment are 5%, –3%, –4%, 2%, and 6%. The standard deviation of annual returns on this investment is closest to:

A measure of how the returns of two risky assets move in relation to each other is:

The capital allocation line is a straight line from the risk-free asset through:

An investor put 60% of his portfolio into a risky asset offering a 10% return with a standard deviation of returns of 8% and put the balance of his portfolio in a riskfree asset offering 5%. What is the expected return and standard deviation of his portfolio?

The investment policy statement is most accurately considered:

In determining the appropriate asset allocation for a client’s investment account,the manager should:

A risk management framework least likely includes:

Risk governance should most appropriately be addressed within an organization at:

Risk budgeting can best be described as:

Which of the following is most appropriately termed a financial risk?

Which of the following technological developments is most likely to be useful for analyzing Big Data?

考试形式介绍

An analyst observes the following annual rates of return for a hedge fund:
The hedge fund’s annual geometric mean return is closest to:

An analyst gathers the following information:
With respect to the capital asset pricing model, a decline in the expected market return will have the greatest impact on the expected return of:

Consider the pairwise correlations of monthly returns of the following asset classes:
Based solely on the information in the above table, which equity asset class is most sharply distinguished from US equities?