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Unformatted text preview: 70. What is the beta of Stock A? [ ] .78 [ ] .83 [ ] .97 [ ] 1.16 v [ ] 1.28 32) The standard deviation of a portfolio is .178. The portfolio is comprised of one risk-free security and one risky security. The risky security has a standard deviation of .164. What is the portfolio weight of the risk-free security? [ ] -.136 [ ] -.103 v [ ] -.085 [ ] .045 [ ] .085 33) Susie has a portfolio which consists of $2,500 invested in each of 4 securities. The betas of the securities are 1.32, .89, 1.06, and 1.62. What is the beta of Susie's portfolio? [ ] .82 [ ] .97 [ ] 1.00 v [ ] 1.22 [ ] 1.31 34) Which of the following would generally be considered an example of systematic risk? I. a sudden reduction in the cost of steel II. an unexpected increase in inflation III. a walkout by the auto workers' union employees IV. an increase in the insurance costs for physicians v [ ] II only [ ] I and II only [ ] I and IV only [ ] II and III only [ ] II, III, and IV only 35) Assume that a portfolio is comprised of multiple individual securities. For a given standard deviation, the portfolio with the highest corresponding rate of return will be located graphically: [ ] at the most right-hand side of the feasible set. v [ ] within the efficient set. [ ] above the feasible set. [ ] on the bottom of the opportunity set. [ ] on the vertical axis. 36) The stock price of an oil production company drops when it is discovered the firm's chairman has overstated the firm's oil reserves. This is an example of a(n) _____ risk factor. [ ] systematic [ ] nondiversifiable v [ ] unsystematic [ ] market [ ] anticipated 37) The graphical representation of all possible combinations of portfolio expected returns and standard deviations is called the: [ ] linear frontier. [ ] efficient set. [ ] risk-return set. [ ] efficient frontier. v [ ] opportunity set. 38) You have a portfolio which consists of two risky assets and a risk-free asset. You invest 35 percent of the portfolio in Stock L with a beta of 1.18 and 25 percent in Stock M with a beta of .96. The portfolio has an expected return of 9.1281 percent and the risk-free rate is 4.1 percent. What is the expected return on the market? [ ] 9.63 percent v [ ] 11.80 percent [ ] 12.49 percent [ ] 13.07 percent [ ] 13.98 percent 39) The beta of an individual security measures the security's _____ risk while the standard deviation measures the _____ risk. [ ] systematic; unsystematic [ ] unsystematic; systematic [ ] total; systematic v [ ] systematic; total [ ] unsystematic; total 40) Which of the following relate the performance of one to security to that of another security? I. correlation II. variance III. covariance IV. standard deviation [ ] I only [ ] I and IV only [ ] II and III only v [ ] I and III only [ ] II, III, and IV only 41) Suppose an investor wants to create a portfolio of risky assets combined with a riskless asset. G...
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- Spring '08