CFA考试一级章节练习题精选0329-1(附详解)

1、CFA考试一级章节练习题精选 0329-1 （附详解）1、 An analyst does research aboutthe capital asset pricing model (CAPM) and thesecurity market line (SML).With respect to the CAPM and SML, if a securityhas a beta of 1.3, that security should: 【单选题】A. plot above the security market line.B. have an above average risk premi

2、um.C. have above average unsystematic risk.SML上，同时在 CAPM中的市场组正确答案 :B答案解析 :如果贝塔系数大于 1，说明比市场组合的风险大，所以有超过平均的风险溢价；如果被正确定价，仍然在合中已经包含了所有风险性证券，就没有非系统性风险了。2、 The stock of GBK Corporation has a beta of 0.65. If the risk -free rate of return is 3% and the expected market return is 9%, the expected return for

3、GBK is closest to: 【单选题】A. 3.9%.B. 6.9%.C. 10.8%.正确答案 :B5答案解析：“ Portfolio Risk and Return: Part II” ,Vijay Singal, CFA2013 Modular Level I, Vol. 4, Reading 44, Section 326Study Session 12-44-gCalculate and interpret the exp ected return of an asset using the CAPM.B is correct. E(R石bk) = Rf + Pgbk *

4、(Rkt) - Rf=0.03 + 0.65 X (0,09 一 0.03) = 0.0693、 An analyst does research about security market line (SML).With respect tothe security market line, if an investor's estimated return is below the SML,asecurity is most likely:【单选题】A.overvalued.B.correctly valued.C.undervalued.正确答案:A答案解析:如果预期回报低于由资

5、本市场定价理论（CAPM）决定的必要回报，那么该证券会在SML线下面，表明该证券价格被高估了。4、Which of the following performance measures most likely relies on systematic risk as opposed to total risk when calculating risk-adjusted return?【单选题】A.M -squaredB.Shar pe ratioC.Treynor ratio正确答案:C 答案解析：“ Portfolio Risk and Return: Part II" by V

6、ijay Singal, CFAModular Level I, Vol. 4, Reading 44, Section 4.3.2Study Session 12-44-hDescribe and demonstrate app lications of the CAPM and the SML.C is correct because the Treynor ratio measures the return premium of a p ortfolio versus the risk free asset relative to the po rtfolio of systematic

7、 risk.5、The table below provides a probability distribution of stock returns for shares of Orion Corporation:P robabilityRate of Return (%)0.15-120,60110.2518The variance of returns for Orion Corpo ration stock is closest to:【单选题】A. 44.36B. 50.94C. 88.71正确答案:C” Frank K. Reilly and Keith C. Brown答案解析

8、：“ An Introduction to Portfolio Management, 2010 Modular Level I, Vol. 4, pp.242 -244Study Session 12-50-cCompute and inter pret the exp ected return, variance, and standard deviation for an individual investment and the exp ected return and standard deviation for a p ortfolio.C is correct. The table below p rovides the calculation of the varianceProbability(Pi)Rate ofReturn (%)PixRR - E( R)(R - E( R)2Pi(R-E(旳)20.15