CFA一级百题进阶：组合.doc

10. PORTFOLIO MANAGEMENT Q-1. The timing of payouts for property and casualty insurers is unpredictable (lumpy) in comparison with the timing of payouts for life insurance companies. Therefore, in general, property and casualty insurers have: A. lower liquidity needs than life insurance companies. B. greater liquidity needs than life insurance companies. C. a higher return objective than life insurance companies. Solution: B. The unpredictable nature of property and casualty (PC) claims forces PC insurers to allocate a substantial proportion of their investments into liquid, short maturity assets. This need for liquidity also forces PC companies to accept investments with relatively low expected returns. Liquidity is of less concern to life insurance companies given the greater predictability of life insurance payouts. 1-10 Q-2. An investor whose portfolio is located on the capital market line to the left of the market portfolio most likely has: A. Lower unsystematic risk than the market portfolio. B. Higher unsystematic risk than the market portfolio. C. Less than 100 percent of his wealth invested in the market portfolio. Solution: C. A portfolio that is on the CML to the left of the market portfolio is a lending portfolio with part of the investor’s wealth invested in the risk-free asset (loaned at the risk-free rate). 2-10 Q-3. 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 amounts 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. Solution: C. Beta is the covariance of an asset with the market portfolio divided by the variance of the market portfolio. The variance of the market portfolio i