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1、Assuming no short selling, diversification benefit is most likely to occur when the correlations among the securities contained in the portfolio are:【單選題】

A.equal to positive one.

B.less than positive one.

C.greater than positive one.

正確答案:B

答案解析:“Probability Concepts,” Richard A. Defusco, CFA, Dennis W. McLeavey, CFA, Jerald E. Pinto, CFA, ａｎｄ David E. Runkle, CFA2011 Modular Level I, Vol. 1, p. 463Study Session 2-8-kCalculate ａｎｄ interpret covariance ａｎｄ correlation.Diversification benefit requires correlations less than positive one.When we do not reject a false null hypothesis we have a Type II error.

2、An analyst does research about hypothesis testing ａｎｄ conducts a significancetest to determine if the relationship between two variables is real ｏｒthe result ofchance.His null hypothesis is that the population correlation coefficient is equalto zero ａｎｄ his alternative hypothesis is that the population correlation coefficientis different from zero.He develops the following information:The analyst conducts a:【單選題】

A.one-tailed test ａｎｄ can reject his null hypothesis.

B.two-tailed test ａｎｄ can reject his null hypothesis.

C.two-tailed test ａｎｄ can not reject his null hypothesis.

正確答案:C

答案解析:根據(jù)5%的顯著性水平是1.96的臨界值，1%的顯著性水平是2.58的臨界值，可知是雙邊檢驗(yàn)，1.7081小于1.96，沒有落在拒絕域，說明無(wú)論在5%的顯著性水平還是1%的顯著性水平下，都無(wú)法拒絕原假設(shè)。

3、An analyst does research about bank discount yield ａｎｄ gathers the following informationabout a U.S Treasury bill:The present value of the U.S Treasury bill is closest to:【單選題】

A.$ 99 324

B.$ 99 432

C.$ 99 439

正確答案:B

答案解析:假設(shè)該國(guó)庫(kù)券的價(jià)格為P，則[(100 000 - p)/100 000] × 360/330 =0.62%，得出P =99 432。

4、An investｏｒwants to maximize the possibility of earning at least 5% on her investments each year. Using Roy’s safety-first criterion, which of the following portfolios is the most appropriate choice?【單選題】

A.Portfolio 1

B.Portfolio 2

C.Portfolio 3

正確答案:B

答案解析:“Common Probability Distributions,” Richard A. DeFusco, CFA, Dennis W. McLeavey, CFA, Jerald E. Pinto, CFA, ａｎｄ David E. Runkle, CFA2013 Modular Level I, Vol. 1, Reading 9, Section 3.3, Example 9Study Session 3-9-nDefine shortfall risk, calculate the safety-first ratio, ａｎｄ ｓｅｌｅｃｔan optimal portfolio using Roy’s safety-first criterion.B is correct. The portfolio with the highest SFRatio is preferred. The SFRatio is calculated by subtracting the target return from the expected return ａｎｄ dividing by the standard deviation.Portfolio 1= 0.35Portfolio 2= 0.64Portfolio 3 (22 – 5)/40 = 0.43B has the highest SFRatio, so it is the most appropriate choice.

5、An analyst gathers the following information about the performance of a portfolio ($ millions):The portfolio’s annual time-weighted rate of return is closest to:【單選題】

A.8%.

B.27%.

C.32%.

正確答案:C

答案解析:The time-weighted rate of return is calculated by computing the quarterly holding period returns ａｎｄ linking those returns into an annual return as follows:The time-weighted return (TWR) is found as follows:2014 CFA Level I“Discounted Cash Flow Applications,” by Richard A. DeFusco, Dennis W. McLeavey, Jerald E. Pinto, ａｎｄ David E. RunkleSections 3 ａｎｄ 3.2

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