2025年CFA《数量方法》题库.docxVIP

2025年CFA《数量方法》题库

考试时间：______分钟总分：______分姓名：______

试卷内容

1.Aportfolioconsistsofthreeassetswiththefollowingweights,expectedreturns,andstandarddeviations:

*WeightofAssetA=0.4,ExpectedReturn(E(R_A))=12%,StandardDeviation(σ_A)=15%

*WeightofAssetB=0.3,ExpectedReturn(E(R_B))=10%,StandardDeviation(σ_B)=20%

*WeightofAssetC=0.3,ExpectedReturn(E(R_C))=14%,StandardDeviation(σ_C)=25%

Assumethecorrelationcoefficientbetweenanytwoassetsiszero.

Theexpectedreturnandstandarddeviationoftheportfolioaremostapproximately:

a)11.8%;16.1%

b)12.0%;17.7%

c)12.2%;18.4%

d)12.0%;19.1%

2.Astatisticsstudentisanalyzingtherelationshipbetweenthenumberofhoursstudied(X)andtheexamscoreachieved(Y).Hecollectsdatafrom30studentsandcalculatesthefollowing:

*Σ(X)=660,Σ(Y)=2400,Σ(X2)=15000,Σ(Y2)=96000,Σ(XY)=53200

Theregressioncoefficient(b?)forthenumberofhoursstudiedisclosestto:

a)5.2

b)8.3

c)10.0

d)12.5

3.ThemeanannualreturnofStockXis15%withastandarddeviationof10%.ThemeanannualreturnofStockYis10%withastandarddeviationof8%.Whichofthefollowingstatementsismostaccurate,assumingreturnsarenormallydistributed?

a)StockXhasahigherprobabilityofachievingareturnlessthan5%thanStockY.

b)StockYhasahigherprobabilityofachievingareturngreaterthan20%thanStockX.

c)TheexpectedreturnofaportfolioequallyinvestedinStockXandStockYis12.5%,withastandarddeviationof9%.

d)Thevolatility(standarddeviation)ofStockXishigherthanthatofStockY.

4.Afinancialanalystwantstoforecastthemonthlysalesofaproductusingexponentialsmoothing.TheactualsalesforJanuarywere150units,theforecastforJanuarywas140units.Ifthesmoothingconstant(α)is0.2,theforecastforFebruaryisclose