2012年研发考题20121207.docVIP

中证指数有限公司招聘试题（研发A） 2012年12月15日 一、选择题（10*2=20分） 1. Consider the following linear regression model: Y = a + b*X + e. Suppose a = 0.05, b = 1.2, Std(Y) = 0.26, Std(e) = 0.1, what is the correlation between X and Y? A. 0.923 B. 0.852 C. 0.701 D. 0.462 2. The rate of change of duration with respect to the underlying yield of a fixed income bond is called: A. Convexity B. Delta C. Theta D. DVBP 3. Which of the following statements about American stock options is false? A. American options can be exercised at or before maturity. B. American options are always worth at least as much as European options. C. American options can easily be valued with Monte Carlo simulation. D. American options can be easily valued with binomial trees. 4. Portfolio D has an average return over the last year of 13.7% with volatility of 15.2%. Over the same period, the benchmark portfolio has an average return of 12.8% with volatility of 14.6%. Portfolio Ds beta is 1.25, and its tracking error was 7%. Assume the risk-free rate is 5%. What is portfolio Ds Information Ratio (IR)? A. 0.2951 B. 0.7200 C. 0.1286 D. 0.5724 5. Which of the following is least likely to affect the required rate of return on an investment? A. Real risk-free rate. B. Asset risk premium. C. Expected rate of inflation. D. Investors’ composite propensity to consume. 6. What is the interest rate if the present value of a regular sum of $2,500 per annum to be paid for an infinite period given $38,462?? A. 6%?? B. 6.5%? C. 7%? D. 7.5% 7. A stock was purchased for $73 a year ago, it is sold for $93 today and a dividend of $8 was paid during the year. What is the holding period return? A. 30.1%? B. 27.4%? C. 38.4%? D. 8.6%? 8. If the admission price for a rock concert is raised from $25 to $30 causing attendance to drop from 60,000 to 40,000, the price elasticity of the demand for attending the concert is:? A. -1.67B. 0.60? C. 2.20 D. -2.20 9. When analyzing a proposed corporate investment, which of the following is l