{[ promptMessage ]}

Bookmark it

{[ promptMessage ]}

Chp2-8 Study Guide

# Chp2-8 Study Guide - 22 The variance of a portfolio of...

This preview shows pages 1–5. Sign up to view the full content.

22. The variance of a portfolio of risky securities is __________. A. The sum of the securities' covariances B. The sum of the securities' variances C. The weighted sum of the securities' covariances D. The weighted sum of the securities' variances 23. The measure of risk used in the Capital Asset Pricing Model is ____________. 24. According to Markowitz and other proponents of modern portfolio theory which of the following activities would not be expected to produce any benefits? 25. Reward-to-variability ratios are ________ on the capital market line than (as) on the efficient frontier.

This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document
26. The optimal risky portfolio can be identified by finding _____________. I. the minimum variance point on the efficient frontier II. the maximum return point on the efficient frontier the minimum variance point on the efficient frontier III. the tangency point of the capital market line and the efficient frontier IV. the line with the steepest slope that connects the risk free rate to the efficient frontier A. I and II only B. II and III only C. III and IV only D. I and IV only
Use the following to answer questions 27-29: 27. What is the beta of this stock. 28. State the characteristic line for this stock: Rstock = ___ + ___ Rmarket. 29. What percent of the variance is explained by this regression

This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document
30. As you lengthen the time horizon of your investment period and decide to invest for multiple years you will find that I. the average risk per year may be smaller over longer investment horizons II. the variance of the total rate of return on your investment will be larger III. your overall risk on the investment will fall A. I only B. I and II only C. III only D. I, II and III 31. The ________ is equal to the square root of the systematic variance divided by the total variance. 32. Which of the following statements is true regarding time diversification? I. The standard deviation of the average annual rate of return over several years will be smaller than the one-year standard deviation. II. For a longer time horizon, uncertainty compounds over a greater number of years. III. Time diversification does not reduce risk.
This is the end of the preview. Sign up to access the rest of the document.

{[ snackBarMessage ]}

### Page1 / 25

Chp2-8 Study Guide - 22 The variance of a portfolio of...

This preview shows document pages 1 - 5. Sign up to view the full document.

View Full Document
Ask a homework question - tutors are online