2020年CFA二级《投资组合管理》内部集训配套模拟题仅内部学员使用

2020年CFA二级《投资组合管理》内部集训配套模拟题仅内部学员使用

一、单项选择题（总共10题，每题2分）1.Whichofthefollowingisleastlikelytobeacomponentoftheinvestmentpolicystatement?A.InvestmentobjectivesB.ConstraintsC.Marketriskpremium2.Theriskthatcanbediversifiedawayiscalled:A.SystematicriskB.UnsystematicriskC.Totalrisk3.Whichofthefollowingisnotameasureofdispersion?A.VarianceB.StandarddeviationC.Beta4.Inthecapitalassetpricingmodel,theexpectedreturnonasecurityisalinearfunctionof:A.UnsystematicriskB.TotalriskC.Systematicrisk5.Theefficientfrontieristhesetofportfoliosthatofferthe:A.HighestexpectedreturnforagivenlevelofriskB.LowestriskforagivenlevelofexpectedreturnC.BothAandB6.Theoptimalportfolioforaninvestorisdeterminedby:A.Theinvestor'srisktoleranceB.Theinvestor'sinvestmentobjectivesC.BothAandB7.Whichofthefollowingisnotacharacteristicofawell-diversifiedportfolio?A.LowsystematicriskB.HighunsystematicriskC.Zerototalrisk8.TheSharperatiomeasures:A.TheexcessreturnperunitoftotalriskB.TheexcessreturnperunitofsystematicriskC.Theexcessreturnperunitofunsystematicrisk9.TheTreynorratiomeasures:A.TheexcessreturnperunitoftotalriskB.TheexcessreturnperunitofsystematicriskC.Theexcessreturnperunitofunsystematicrisk10.TheJensen'salphameasures:A.TheexcessreturnofaportfoliooverthereturnpredictedbythecapitalassetpricingmodelB.TheexcessreturnofaportfoliooverthereturnpredictedbythearbitragepricingtheoryC.TheexcessreturnofaportfoliooverthereturnpredictedbytheFama-Frenchthree-factormodel二、填空题（总共10题，每题2分）1.Theinvestmentpolicystatementshouldincludetheinvestor's____________________.2.Theriskthatcannotbediversifiedawayiscalled____________________.3.Themeasureofcentraltendencythatismostaffectedbyextremevaluesisthe____________________.4.Thecapitalassetpricingmodelassumesthatinvestorsare____________________.5.Theefficientfrontierisagraphofthe____________________ofportfolios.6.Theoptimalportfolioforaninvestorislocatedonthe____________________.7.Awell-diversifiedportfoliohasabetaof____________________.8.TheSharperatioiscalculatedastheexcessreturnofaportfoliodividedbyits____________________.9.TheTreynorratioiscalculatedastheexcessreturnofaportfoliodividedbyits____________________.10.TheJensen'salphaiscalculatedastheactualreturnofaportfoliominusthereturnpredictedbythe____________________.三、判断题（总共10题，每题2分）1.Theinvestmentpolicystatementshouldbereviewedandupdatedregularly.2.Systematicriskcanbediversifiedaway.3.Thevarianceisameasureofdispersion.4.Thecapitalassetpricingmodelassumesthatinvestorshavehomogeneousexpectations.5.Theefficientfrontieristhesetofportfoliosthatofferthehighestexpectedreturnforagivenlevelofrisk.6.Theoptimalportfolioforaninvestoristhesameforallinvestors.7.Awell-diversifiedportfoliohasabetaofzero.8.TheSharperatiomeasurestheexcessreturnperunitoftotalrisk.9.TheTreynorratiomeasurestheexcessreturnperunitofsystematicrisk.10.TheJensen'salphameasurestheexcessreturnofaportfoliooverthereturnpredictedbythecapitalassetpricingmodel.四、简答题（总共4题，每题5分）1.Whatistheinvestmentpolicystatement?Whatareitscomponents?2.Whatissystematicrisk?Whatarethesourcesofsystematicrisk?3.Whatisthecapitalassetpricingmodel?Whatareitsassumptions?4.Whatistheefficientfrontier?Howisitusedinportfoliomanagement?五、讨论题（总共4题，每题5分）1.Discusstheroleofdiversificationinportfoliomanagement.2.Discusstheadvantagesanddisadvantagesofthecapitalassetpricingmodel.3.Discussthefactorsthataffectaninvestor'soptimalportfolio.4.DiscussthelimitationsoftheSharperatioandtheTreynorratio.答案：一、单项选择题1.C2.B3.C4.C5.C6.C7.B8.B9.B10.A二、填空题1.Investmentobjectivesandconstraints2.Systematicrisk3.Mean4.Rational5.Expectedreturnandrisk6.Efficientfrontier7.18.Standarddeviation9.Beta10.Capitalassetpricingmodel三、判断题1.True2.False3.True4.True5.True6.False7.False8.True9.True10.True四、简答题1.Theinvestmentpolicystatementisawrittendocumentthatoutlinesaninvestor'sinvestmentgoals,risktolerance,investmenttimehorizon,andotherrelevantinformation.Itscomponentsincludetheinvestmentobjectives,constraints,andguidelines.2.Systematicriskistheriskthatcannotbediversifiedaway.Thesourcesofsystematicriskincludemarketrisk,interestraterisk,inflationrisk,andpoliticalrisk.3.Thecapitalassetpricingmodelisamodelthatdescribestherelationshipbetweentheexpectedreturnonasecurityanditssystematicrisk.Itsassumptionsincludethatinvestorsarerational,havehomogeneousexpectations,andcanborrowandlendattherisk-freerate.4.Theefficientfrontierisagraphoftheexpectedreturnandriskofportfolios.Itisusedinportfoliomanagementtoidentifytheportfoliosthatofferthehighestexpectedreturnforagivenlevelofriskorthelowestriskforagivenlevelofexpectedreturn.五、讨论题1.Diversificationistheprocessofspreadinganinvestmentacrossdifferentassetstoreducerisk.Itworksbecausedifferentassetshavedifferentreturnsandrisks,andbydiversifying,aninvestorcanreducetheimpactofanyoneassetontheoverallportfolio.However,diversificationdoesnoteliminateallrisk,andaninvestorstillneedstoconsiderotherfactorssuchastheinvestor'srisktoleranceandinvestmentobjectives.2.Thecapitalassetpricingmodelhasseveraladvantages,includingthatitissimpletounderstandanduse,anditprovidesaframeworkforanalyzingtherelationshipbetweenriskandreturn.However,italsohasseverallimitations,includingthatitassumesthatinvestorshavehomogeneousexpectations,thattherearenotransactioncosts,andthatthemarketisefficient.3.Thefactorsthataffectaninvestor'soptimalportfolioincludetheinvestor'srisktolerance,investmentobjectives,timehorizon,andtaxsituation.Aninvestorwithahigherrisktolerancemaychooseamoreaggressiveportfolio,whileaninvestorwithalowerrisktolerancemaychoose