2025年CFA三级投资组合管理题库.docxVIP

2025年CFA三级投资组合管理题库

考试时间：______分钟总分：______分姓名：______

PartI:InvestmentPortfolioManagementTheoryandApplications

1.AccordingtotheMarkowitzmean-varianceframework,whichofthefollowingstatementsismostaccurate?

a.Allefficientportfolioslieontheefficientfrontier,regardlessofrisktolerance.

b.Aportfoliosexpectedreturnincreaseslinearlywithanincreaseinrisk.

c.Diversificationcaneliminateallunsystematicriskwithinaportfolio.

d.TheminimumvarianceportfolioalwaysoffersthehighestSharperatio.

2.Aninvestorholdsawell-diversifiedportfoliowithanexpectedreturnof12%andastandarddeviationof15%.Therisk-freerateis3%.Iftheinvestorwantstoincreasetheexpectedreturnoftheportfolioto15%,whatistheminimumstandarddeviationtheportfoliowouldneedtohave,assumingtheportfolioremainsontheefficientfrontier?

a.18.75%

b.22.50%

c.27.00%

d.30.00%

3.WhichofthefollowingstatementsbestdescribestheCapitalAssetPricingModel(CAPM)?

a.CAPMsuggeststhatallinvestorsholdthemarketportfolioandlendorborrowattherisk-freerate.

b.Thebetaofanassetisdeterminedbyitscorrelationwiththemarketportfolioanditsstandarddeviation.

c.AccordingtoCAPM,theexpectedreturnofanassetisindependentofitsrisk.

d.CAPMisonlyapplicabletoindividualassets,nottoportfolios.

4.Aninvestorisconsideringaddingastocktotheirportfolio.Thestockhasanexpectedreturnof14%,abetaof1.2,andastandarddeviationof25%.Themarketsexpectedreturnis10%anditsstandarddeviationis15%.WhatisthemarketriskpremiumaccordingtotheCAPM?

a.4.00%

b.4.80%

c.5.60%

d.6.00%

5.WhichofthefollowingisalimitationoftheCapitalAssetPricingModel(CAPM)?

a.CAPMassumesthatinvestorsarerisk-averse.

b.CAPMisdifficulttoimplementinpracticeduetotheestimationofbeta.

c