09投资学第七版.doc

Multiple Choice Questions B 1. In the context of the Capital Asset Pricing Model (CAPM) the relevant measure of risk is A) unique risk. B) beta. C) standard deviation of returns. D) variance of returns. E) none of the above. Rationale: Once, a portfolio is diversified, the only risk remaining is systematic risk, which is measured by beta. A 2. According to the Capital Asset Pricing Model (CAPM) a well diversified portfolios rate of return is a function of A) market risk B) unsystematic risk C) unique risk. D) reinvestment risk. E) none of the above. Rationale: With a diversified portfolio, the only risk remaining is market, or systematic, risk. This is the only risk that influences return according to the CAPM. B 3. The market portfolio has a beta of A) 0. B) 1. C) -1. D) 0.5. E) none of the above Rationale: By definition, the beta of the market portfolio is 1. D 4. The risk-free rate and the expected market rate of return are 0.06 and 0.12, respectively. According to the capital asset pricing model (CAPM), the expected rate of return on security X with a beta of 1.2 is equal to A) 0.06. B) 0.144. C) 0.12. D) 0.132 E) 0.18 Rationale: E(R) = 6% + 1.2(12 - 6) = 13.2%. A 5. The risk-free rate and the expected market rate of return are 0.056 and 0.125, respectively. According to the capital asset pricing model (CAPM), the expected rate of return on a security with a beta of 1.25 is equal to A) 0.1225 B) 0.144. C) 0.153. D) 0.134 E) 0.117 Rationale: E(R) = 5.6% + 1.25(12.5 - 5.6) = 14.225%. D 6. Which statement is not true regarding the market portfolio? A) It includes all publicly traded financial assets. B) It lies on the efficient frontier. C) All securities in the market portfolio are held in proportion to their market values. D) It is the tangency point between the capital market line and the indifference curve. E) All of the above are true. Rationale: The tangency point between the cap