If a portfolio had a return of 15 the risk free asset

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74) If a portfolio had a return of 15%, the risk-free asset return was 5%, and the standard deviation of the portfolio's excess returns was 30%, the Sharpe measure would be A) 0.20. Version 1 53
B) 0.35. C) 0.45. D) 0.33. E) 0.25. Question Details Accessibility : Keyboard Navigation Bloom's : Apply Difficulty : 2 Intermediate Topic : Risk-adjusted performance measures (Sharpe, Treynor, Jensen, Information ratio, M2, etc.) AACSB : Knowledge Application 75) If a portfolio had a return of 12%, the risk-free asset return was 4%, and the standard deviation of the portfolio's excess returns was 25%, the risk premium would be A) 8%. B) 16%. C) 37%. D) 21%. E) 29%. Question Details Accessibility : Keyboard Navigation Bloom's : Apply Difficulty : 2 Intermediate Topic : Risk premiums AACSB : Knowledge Application 76) _______ is a risk measure that indicates vulnerability to extreme negative returns. A) Value at risk B) Lower partial standard deviation C) Standard deviation D) Value at risk and lower partial standard deviation E) None of the options are correct. Question Details Accessibility : Keyboard Navigation Bloom's : Understand Difficulty : 3 Challenge Topic : Value-at-risk AACSB : Reflective Thinking Version 1 54
77) ________ is a risk measure that indicates vulnerability to extreme negative returns. A) Value at risk B) Lower partial standard deviation C) Expected shortfall D) None of the options E) All of the options are correct. Question Details Accessibility : Keyboard Navigation Bloom's : Understand Difficulty : 3 Challenge Topic : Value-at-risk AACSB : Reflective Thinking 78) The most common measure of loss associated with extremely negative returns is A) lower partial standard deviation. B) value at risk. C) expected shortfall. D) standard deviation. Question Details Accessibility : Keyboard Navigation Bloom's : Understand Difficulty : 3 Challenge Topic : Value-at-risk AACSB : Reflective Thinking 79) Practitioners often use a ________% VaR, meaning that ________% of returns will exceed the VaR, and ________% will be worse. A) 25; 75; 25 B) 75; 25; 75 C) 1; 99; 1 D) 95; 5; 95 E) 80; 80; 20 Question Details Accessibility : Keyboard Navigation Bloom's : Apply Difficulty : 3 Challenge Topic : Value-at-risk AACSB : Knowledge Application Version 1 55
80) When assessing tail risk by looking at the 5% worst- case scenario, the VaR is the A) most realistic, as it is the most complete measure of risk. B) most pessimistic, as it is the most complete measure of risk. C) most optimistic, as it is the most complete measure of risk. D) most optimistic, as it takes the highest return (smallest loss) of all the cases. Question Details Accessibility : Keyboard Navigation Bloom's : Understand Difficulty : 3 Challenge Topic : Value-at-risk AACSB : Reflective Thinking

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