Examen 1. Etapa 1 Portfolio Management

A risk-neutral investor, choosing among four investments with expected returns of 18%, 19%, 20%, and 18% and increasing standard deviations, would most likely choose the one with:

Investors’ risk aversion is most correctly evidenced by a risk-return relationship that is:

A portfolio invests 40% in stock A (expected return 6%) and 60% in stock B (expected return 12%). The portfolio’s expected return is approximately:

An investor with a risk-aversion coefficient A = 4 evaluates a portfolio with an expected return of 10% and a standard deviation of 20%. Their utility (U = E(R) − 0.5·A·σ², with values in decimals) is approximately:

For a two-asset portfolio, the diversification benefit (risk reduction) is GREATER the:

A portfolio invests 50% in each of two assets, each with a standard deviation of 20% and zero correlation between them. The portfolio’s standard deviation is approximately:

When combining a risk-free asset with a risky-asset portfolio, the capital allocation line (CAL) most correctly represents:

According to the CAPM, an asset with a beta of 1.2, when the risk-free rate is 3% and the expected market return is 9%, has an expected return of approximately:

According to the CAPM, the only risk that is rewarded with a higher expected return is:

A portfolio earned a return of 10% with a standard deviation of 40%, with the risk-free rate at 2%. Its (ex post) Sharpe ratio is approximately:

In capital market theory, the assumption that allows for the existence of the market portfolio is that all investors:

A key difference between the Capital Market Line (CML) and the Security Market Line (SML) is that:

An asset has a covariance with the market of 0.024 and the market has a standard deviation of 20%. The asset’s beta is approximately:

The ‘portfolio perspective’ in investment management most correctly consists of:

The three main phases of the portfolio management process are, in order, most correctly:

Compared with a young individual investor, a defined benefit pension fund most likely has:

Compared with an open-end mutual fund, an ETF most likely:

The efficient frontier is made up of the portfolios that most correctly:

If an asset lies ABOVE the Security Market Line (SML), it is most likely:

A client’s Investment Policy Statement (IPS) most correctly captures: