A negative alpha would mean that a the portfolio have earned enough return given the amount of risk he was taking a. maybe b. it depends c. false d. true
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A negative alpha would mean that a the portfolio have earned enough return given the amount of risk he was taking
a. maybe
b. it depends
c. false
d. true
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Solved in 3 steps
- d. Would this asset be considered more or less risky than the market? The asset is a. Equally as risky the market portfolio, which has a beta of a. 1 b. less risky than b. 0 c. more risky than c. -1An investor must look not only at the over-all return of a portfolio but also the risk of that portfolio to see if the investments return compensates for the risk it takes a. it depends b. maybe c. true d.falseAn investment with a high return is likely to be high riskA. TrueB. False
- The the expected return, the the risk. O a. lower; higher O b. higher,lower O c. higher; higher more stable; higherwhich of the folowing models CANNT be applied to measure the Value-at-Risk of a cash-flow portfolio? A.Normal linear VaR B.Monte Carlo VaR C.None of the answers is correct D.Historical VaRSupposing the return from an investment has the following probability distribution Return Probability R (%) 8 0.2 10 0.2 12 0.5 14 0.1 Required: What is the expected return of the investment? What is the risk as measured by the standard deviation of expected returns?
- choose which one ? 3.Assume CAPM holds. What is the correlation between an efficient portfolio and the market portfolio?a.1b.-1c.0d.Not enough informationA portfolio that is positively correlated with the market portfolio but not particularly sensitive to market risk factors would have a beta that is A. Equal to zero. B. Equal to one. C. Less than zero. D. Between 0 and 1. E. Greater than 1.Think about whether a risk-free asset should earn a risk-premium beyond the risk-free rate. Thinking about that should give you an idea of the beta for a risk-free asset. Or, look again at the CAPM equation: E(Ri)=Rf+βi[E(RM)−Rf] Given this equation, what beta sets the E(R) of the risk free asset equal to the risk-free rate? A) zero B) 0.5 C) 1.0 D) its random
- The beta of a market-neutral portfolio is zero. O True O FalseAssume a utility function of ? = ?[?] − 1 ?? 2. Which statement(s) is/are correct about investors with this utility function? [I] An investor with a higher degree of risk aversion chooses the optimal portfolio with a higher risk premium [II] An investor with a higher degree of risk aversion chooses the optimal portfolio with lower risk [III] An investor with a higher degree of risk aversion chooses the optimal portfolio with a higher sharpe ratio [IV] The extent to which the investor dislikes risk is captured by ? 2 A. [II] only B. [I], [II] only C. [III] , [IV] only D. [II], [IV] only E. [I], [II], [III] only7. With respect to an investor's utility function expressed as: U = E(r) –Ao?, which of the following values for the measure for risk aversion has the least amount of risk aversion? A. -4. В. О. С. 4.