题目内容

Robert Johnson, CFA, is considering the purchase of two stocks from different industry. Each stock has an expected return of 12.5 percent and an expected standard deviation of returns of 16 percent. Which of the following statements Johnson said about the two stocks is most accurate

A. Regardless of the weights selected or the correlation between the returns of the two stocks, the expected standard deviation of a portfolio composed of the two stocks will be less than 16%.
B. Rational investor should not invest in the two stocks because their returns obviously exhibit positive correlation.
C. Regardless of the weights selected or the correlation between the returns of the two stocks, the expected return of a portfolio composed of the two stocks will be 12.5 %.

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With respect to the security market line, if two risky assets have the same covariance with the market portfolio but have different estimated rates of return, the most accurate conclusion is that the two risky assets have:

A. the same amount of systematic risk, and both assets are properly valued.
B. different amount of systematic risk, and both assets are properly valued.
C. The same amount of systematic risk, and at least one of the assets is either overvalued or undervalued.

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An analyst believes that EFG will pay a $1 dividend a year from now, and will be priced at $23 per share immediately following the dividend. The risk-free rate is 4%, and the analyst forecasts an expected market return of 12%. EFG has a beta of 0.75 and a current price of $ 22. Based on this information:

A. EFG is overvalued.
B. EFG is undervalued.
C. EFG is fairly priced.

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An investor is evaluating the following possible portfolios. Which of the following portfolios would not lie on the efficient frontier Portfolio Expected Return Standard Deviation A 26% 28% B 23% 34% C 14% 23% D 18% 14% E 11% 8% F 18% 16%

A. C, D, and E.
B. A, E, and F.
C. B, C, and F.

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The statistics for three stocks A, B, and C are shown below. Based only on the information provided, and given a choice between portfolios of equal amounts of stock A and B or B and C, Correlation of Returns Stock A B C A 1.00 0.90 0.50 B 1.00 0.10 C 1.00 Standard Deviation of Returns Stock A B S"dev 0.40 0.20 0.40 which portfolio you would recommend

AB.
BC.
C. AＣ.

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