CFA特许金融分析师-CFA一级-组合.docxVIP

CFA特许金融分析师-CFA一级-组合

[单选题]1.Whichofthefollowinginstitutionswillonaveragehavethegreatestneedfor（江南博哥）liquidity?

A.Banks.

B.Investmentcompanies.

C.Non-lifeinsurancecompanies.

正确答案：A

参考解析：：Aiscorrect.Theexcessreservesinvestedbybanksneedtoberelativelyliquid.Althoughinvestmentcompaniesandnon-lifeinsurancecompanieshavehighliquidityneeds,theliquidityneedforbanksisonaveragethegreatest.：本题问，以下哪个机构对于流动性的需求最大？流动性需求指的是对于将手里资产变现速度的需求。银行流动性需求在三个选项中是最高的，因为银行与民生息息相关，需要预留一部分存款用于存款人的兑付。而且存款人提款需求难以预计。因此本题选择A。

[单选题]2.Thesumofanasset’ssystematicvarianceanditsnonsystematicvarianceofreturnsisequaltotheasset’s:

A.beta.

B.totalrisk.

C.totalvariance.

正确答案：C

参考解析：：Ciscorrect.Thesumofsystematicvarianceandnonsystematicvarianceequalsthetotalvarianceoftheasset.Referencestototalriskasthesumofsystematicriskandnonsystematicriskrefertovariance,nottorisk.：资产的系统方差与非系统方差之和等于资产的什么？C是正确的。系统方差和非系统方差之和等于资产的总方差。

[单选题]3.Thecorrelationbetweenassetsinatwo-assetportfolioincreasesduringamarketdecline.Ifthereisnochangeintheproportionofeachassetheldintheportfolioortheexpectedstandarddeviationoftheindividualassets,thevolatilityoftheportfolioismostlikelyto:

A.increase.

B.decrease.

C.remainthesame.

正确答案：A

参考解析：：Aiscorrect.Highercorrelationswillproducelessdiversificationbenefitsprovidedthattheothercomponentsoftheportfoliostandarddeviationdonotchange(i.e.,theweightsandstandarddeviationsoftheindividualassets).：在市场状况变差时，两个资产之间的相关系数上升。如果组合中资产占比和资产方差没有发生变化，组合的波动性会如何变化？本题选择A。组合的波动性即组合的方差。当资产之间相关系数上升时，组合的方差会变大。

[单选题]4.Withrespecttotradingcosts,liquidityisleastlikelytoimpactthe:

A.stockprice.

B.bid–askspreads.

C.brokeragecommissions.

正确答案：C

参考解析：：Ciscorrect.Brokeragecommissionsarenegotiatedwiththebrokeragefirm.Asecurity’sliquidityimpactstheoperationalefficiencyoftradingcosts.Specifically,