8. Over the past 75 years, we have observed that investments with higher average
annual returns also tend to have the highest standard deviations in their annual
returns. This observation supports the notion that there is a positive
correlation between risk and return. Which of the following lists correctly
ranks investments from having the highest returns and risk to those with the
lowest returns and risk?
a. Small-company stocks, large-company stocks, long-term corporate bonds,
long-term government bonds, U.S. Treasury bills. *
b. Small-company stocks, long-term corporate bonds, large-company stocks,
long-term government bonds, U.S. Treasury bills.
c. Large-company stocks, small-company stocks, long-term corporate bonds,
U.S. Treasury bills, long-term government bonds.
d. U.S. Treasury bills, long-term government bonds, long-term corporate
bonds, small-company stocks, large-company stocks.
The correct answer is statement a. Stocks are riskier than bonds,
with stocks in small companies being riskier than stocks in larger
companies. From there, corporate bonds are riskier than government
bonds, and longer-term government bonds are riskier than
shorter-term ones.
他這題的答案是 A
4.
但是我們的答案是 E
老師有換選項
If a stock portfolio is well diversified, then the portfolio variance
A. will equal the variance of the most volatile stock in the portfolio
B. may be less than the variance of the least risky stock iin the portfolio
C. must be equal to or greater than the varance of the least risky stock in the portfolio
D. will be a weighted average of the variances of the individual secrurities iin the
portfolio 答案是 B
解說：
B. is true
A is not true because diversification reduces variance
C is not true because for example they could all have the same variance and be
independent
D is not true because you need to include covariances.
5. Your portfolio has a beta of 1.18. The portfolio consists of 15 percent U.S. Treasury bills, 30
percent in stock A, and 55 percent in stock B. Stock A has a risk-level equivalent to that of the overall
market. What is the beta of stock B? (a) .55
答案：1.60
(b) 1.10
(c) 1.24
(d) 1.40
(e) 1.60
6. According to the mean-variance criterion, which one of the following investments
dominates all others?
A) E(r) = 0.15; Variance = 0.20
B) E(r) = 0.10; Variance = 0.20
C) E(r) = 0.10; Variance = 0.25
D) E(r) = 0.15; Variance = 0.25
E) none of these is dominates the other alternatives.
Answer: A
Difficulty: Difficult
Rationale: A gives the highest return with the least risk; return per unit of risk
is .75, which dominates the reward-risk ratio for the other choices.