CFA考试《CFA三级》历年真题精选及详细解析1007-20

1、CFA考试CFA三级历年真题精选及详细 解析 1007-201. 单选题A. exhibit characteristics of multiple investor typesB. retain the same emotional biases as they become older.C exhibit primarily emotional or cognitive biases, but not both 正 确答案:A答案解析:A is correct. A limitation of behavioral models is that in dividual investors

2、do freque ntly2、Which of Schumacher's three outcomes is most likely consistent with the ALM approach?【单选题】A. Outcome 1B. Outcome 3C. Outcome 2正确答案:A答案解析：Outcome 1 is consistent with the ALM approach. TheALM approach to strategic asset allocation, which involves explicitly modeling liabilities an

3、d adopting the optimal asset allocation in relation to funding liabilities, characteristically results in a higher allocation to fixed-income instruments than an asset- only (AO) approach Compared with AO, an ALM approach affords much more precision in controlling risk related to the funding of liab

4、ilities The global market equilibrium portfolio is the default strategic asset allocation for the Black-Litterman AO approach3 Are Wilsonzs closing remarks consistent with recommended practices and procedures designed to prevent violations of the Asset Manager Code of Professional Conduct?【单选题】A. Ye

5、sB. No, with regard to disclosure of the firm's risk management processC No, with regard to the business continuity plan正确答案:c答案角军析:At a minimum, Section D, Risk Management, Complianee, and Support, of the Asset Manager Code recomme nds that a busi ness contin uity plan in elude plans for contac

6、ting and communicating with clients during a period of exte nded disruption. Wils on's conti nuity plan in eludes no such strategy. Wilson's recommendation for disclosing the firm's risk management process to both clients and regulators goes beyond the code recommendation, which is to di

7、sclose the risk management process only to clients4、 Schumacher's con cer n about in ter natio nal investme nts that Roth might find advantageous most likely pertains to:【单选 题】A. conditional correlation.B. the efficient frontier.C market integration.正确答案:c答案角军析:The lack of market integration (or

8、 the absenee of free cross-border capital flows) can be an advantage if it increases market segmentation and helps prevent correlations with other markets from rising .In creased integratio n of markets can decrease diversificatio n ben efits, whereas retur ns in segme nted markets will be in flue n

9、eed mostly by a specific country's own macroeconomy and will be less subject to changes in correlations when volatility increases Global correlations tend to increase in times of in creased volatility and eve n appear to be condi 廿 onal on global volatility. The efficient frontier and traditi on

10、al mea n-varia nee an alysis using un conditi onal correlations would not apply because correlations remain low when returns are high but become high when returns are negative 5、 Assuming Silva's advice is followed and Libor rates are 5% and 6% on 15 October 2013 and 15 December 2013, respectively, the effective annual in