Examen 2. Etapa 1 Portfolio Management
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Pregunta 1 de 20
1. Pregunta
1 punto(s)Between two portfolios with the SAME expected return, a risk-averse investor will most likely choose the one with:
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Pregunta 2 de 20
2. Pregunta
1 punto(s)Two assets have standard deviations of 20% and 30% and a correlation of 0.40. Their covariance is approximately:
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Pregunta 3 de 20
3. Pregunta
1 punto(s)The global minimum-variance portfolio is most correctly:
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Pregunta 4 de 20
4. Pregunta
1 punto(s)According to the two-fund separation theorem, all investors, regardless of their risk aversion, hold:
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Pregunta 5 de 20
5. Pregunta
1 punto(s)A portfolio invests 50% in an asset with σ of 20% and 50% in another with σ of 30%, with a correlation of +1 between them. The portfolio’s standard deviation is approximately:
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Pregunta 6 de 20
6. Pregunta
1 punto(s)For a risk-averse investor, the indifference curves in risk-return space most correctly:
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Pregunta 7 de 20
7. Pregunta
1 punto(s)An investor places 75% in a risky portfolio with an expected return of 12% and 25% in the risk-free asset, which yields 4%. The expected return of the combined portfolio is approximately:
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Pregunta 8 de 20
8. Pregunta
1 punto(s)According to the CAPM, an asset with a beta of 0.8, when the risk-free rate is 4% and the market risk premium is 6%, has a required return of approximately:
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Pregunta 9 de 20
9. Pregunta
1 punto(s)A portfolio earned a return of 14% with a beta of 1.5, with the risk-free rate at 2%. Its Treynor ratio is approximately:
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Pregunta 10 de 20
10. Pregunta
1 punto(s)A portfolio’s Jensen’s alpha most correctly measures:
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Pregunta 11 de 20
11. Pregunta
1 punto(s)The Capital Market Line (CML) most correctly:
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Pregunta 12 de 20
12. Pregunta
1 punto(s)A portfolio invests 50% in an asset with a beta of 0.8 and 50% in another with a beta of 1.4. The portfolio’s beta is approximately:
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Pregunta 13 de 20
13. Pregunta
1 punto(s)As more weakly correlated assets are added to a portfolio, total risk most correctly tends to:
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Pregunta 14 de 20
14. Pregunta
1 punto(s)An asset whose expected return lies BELOW the Security Market Line is most likely:
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Pregunta 15 de 20
15. Pregunta
1 punto(s)In a defined contribution pension plan, compared with a defined benefit one, the investment risk is most correctly borne by:
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Pregunta 16 de 20
16. Pregunta
1 punto(s)Endowments and foundations are most likely characterized by having:
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Pregunta 17 de 20
17. Pregunta
1 punto(s)Passive management, compared with active management, is most correctly characterized by:
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Pregunta 18 de 20
18. Pregunta
1 punto(s)The EXECUTION phase of the portfolio management process most correctly includes:
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Pregunta 19 de 20
19. Pregunta
1 punto(s)Compared with a traditional mutual fund, a hedge fund most likely:
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Pregunta 20 de 20
20. Pregunta
1 punto(s)Tactical asset allocation, compared with strategic asset allocation, most correctly consists of:
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