2025年CFA《数量方法》模拟训练题.docxVIP

2025年CFA《数量方法》模拟训练题

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1.Theprobabilitythatarandomlyselectedstockfromacertainpopulationwillhaveareturngreaterthan10%is0.30,andtheprobabilitythatitwillhaveareturnbetween5%and10%is0.50.Whatistheprobabilitythatarandomlyselectedstockfromthispopulationwillhaveareturnoflessthan5%?

2.Consideradatasetconsistingofthefollowingvalues:5,9,12,15,18,20.Whatisthevarianceofthisdataset?

3.Aportfoliomanagerclaimsthattheaveragereturnofaparticularstockindexoverthepastyearwas12%.Asampleof30monthsshowsanaveragereturnof11.5%withastandarddeviationof3%.Assumingthereturnsareapproximatelynormallydistributed,whatistheteststatisticfortestingthemanagersclaimatthe5%significancelevel?

4.Aregressionanalysisyieldsthefollowingestimatedequation:Y_hat=5+2X1-3X2.Whichofthefollowingstatementsismostaccurateregardingthecoefficientsinthisequation?

5.Supposeacompanysdailysales(Y)areregressedagainstthenumberofadvertisingspots(X1)andthepriceperunit(X2).TheestimatedregressionequationisY_hat=100+5X1-10X2.Asamplestandarddeviationoftheresidualsis8.IfanewobservationismadewithX1=10andX2=5,whatisthepredictedvalueofY(Y_hat)?

6.TheDurbin-Watsonstatisticisusedtotestforwhichofthefollowingissuesinalinearregressionmodel?

7.Whichofthefollowingisacharacteristicofthet-distribution?

8.Aninvestmentmanagerisconsideringaddinganassettoaportfolio.Theassethasanexpectedreturnof15%andastandarddeviationof20%.Theportfolioscurrentexpectedreturnis10%anditsstandarddeviationis12%.Ifthecorrelationcoefficientbetweentheassetsreturnsandtheportfoliosreturnsis0.25,whatistheexpectedreturnoftheportfolioiftheassetisaddedwithaweightof20%?

9.Ahedgefundusesalog-normaldistri