2025年CFA《数量方法》真题解析.docxVIP

2025年CFA《数量方法》真题解析

考试时间：______分钟总分：______分姓名：______

一、

Aportfolioconsistsofthreeassetswiththefollowingexpectedreturns,standarddeviations,andcorrelations:

*AssetA:Expectedreturn=10%,Standarddeviation=15%

*AssetB:Expectedreturn=12%,Standarddeviation=20%

*AssetC:Expectedreturn=8%,Standarddeviation=10%

CorrelationbetweenAssetAandAssetB=0.4

CorrelationbetweenAssetAandAssetC=0.2

CorrelationbetweenAssetBandAssetC=0.6

Whatistheexpectedreturnofaportfolioinvested30%inAssetA,40%inAssetB,and30%inAssetC?

二、

Youaregiventhefollowinginformationaboutastock:

*Currentprice=$50

*Expecteddividendnextyear=$2.50

*Requiredrateofreturn=10%

Usingtheconstantgrowthmodel,whatistheimpliedgrowthrateofthedividend?

三、

Arandomsampleof30observationsistakenfromapopulationwithaknownstandarddeviationof5.Thesamplemeanis25.

Calculatethe95%confidenceintervalforthepopulationmean.

四、

Youaretestingthenullhypothesisthatthemeanreturnofastockis0%.Thealternativehypothesisisthatthemeanreturnisgreaterthan0%.Youcollectasampleof50returnsandcalculateasamplemeanof1.2%withasamplestandarddeviationof3%.Assumingthereturnsarenormallydistributed,whatisthep-valueforthistest?

五、

Acompanyssalesdataforthepastfiveyearsareasfollows:

Year1:100

Year2:120

Year3:130

Year4:140

Year5:150

Usingathree-yearmovingaverage,whatistheforecastforthenextyearssales?

六、

Thefollowingregressionequationwasestimatedusingmonthlydata:

Return=0.5+1.2*MarketReturn

Where:

Return=Stocksexcessreturn

MarketReturn=Marketindexsexcessreturn

TheR-squaredoftheregressionis0.64.Thestandarderroroftheestimateis0.8.

Calculatethecoefficientofdetermination.

七、

Youaregiventhefollowingdataforatimeseries:

Observation1:10

Observation2:12

Observation3:15

Observation