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　　竞答须知：

 

　　1.本期竞赛共计10道题，答题、打卡及邀请皆可获取积分。

 

　　2.每期竞赛积分排行榜前10名有机会抽取高小吉公仔一只。连续三期排行榜第一名赠送FRM官方指定考试专用计算器一个。

 

　　3.本期答题即日起至10月18号23点59分截止，请大家在活动期间参与答题。

 

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　　第一题

 

　　Answer:A

 

　　Solution:

 

　　VAR is an ex-ante measure of risk.Notional limits cannot be aggregated across assets.An exposure limit is not a predictive risk management measure.A stop-loss limit seeks to eliminate a position after a cumulative loss threshold is exceeded.

 

　　第二题

 

　　Answer:A

 

　　Solution:

 

　　σportfolio=[W12σ12+W2σ2+2W1W2σ1σ2r1,2]iven r1,2=+1

 

　　σ=[W12σ12+W22σ22+2W1W2σ1σ2]1/2=(W1σ1+W2σ2)2]1/2

 

　　σ=(W1σ1+W2σ2)=(0.3)(0.3)+(0.7)(0.4)=0.09+0.28=0.37

 

　　第三题

 

　　Answer:C

 

　　Solution:

 

　　Reducing correlation between the two assets results in the efficient frontier expanding to the left and possibly slightly upward.This reflects the influence of correlation on reducing portfolio risk.

 

　　第四题

 

　　Answer:A

 

　　

 

　　第五题

 

　　Answer:C

 

　　Solution:

 

　　The variance of the portfolio is found by:

 

　　[W1σ1+W2σ2+2W1W2σ1σ2r1,2],or[(0.15)(0.0071)+(0.85)(0.0008)+(2)(0.15)(0.85)(0.0843)(0.0283)(0.04)]=0.0007.

 

　　第六题

 

　　Answer:D

 

　　Solution:

 

　　Since the stocks,are perfectly correlated,there is no benefit from diversification.So,invest in the stock with the lowest risk.

 

　　第七题

 

　　Answer:C

 

　　Solution:

 

　　The portfolio possibilities curve is concave above the minimum variance portfolio and convex below the minimum variance portfolio.

 

　　第八题

 

　　Answer:A

 

　　Solution:

 

　　Since the portfolio is well diversified,the assumed level of unsystematic risk is zero.The addition of ABC Inc will increase the portfolio beta,and,hence,the level of systematic risk.

 

　　第九题

 

　　Answer:A

 

　　Solution:

 

　　k=5+1.10(10-5)

 

　　=5+1.10(5)

 

　　=5+5.5

 

　　=10.5

 

　　第十题

 

　　Answer:D

 

　　Solution:

 

　　The general form of the two-factor APT model is:E(RPort)=RF+βinterest RP interest+βGNP RPGNP,where theβare the factor risk premiums and the RP are the portfolio’s factor sensitivities.Substituting the appropriate values,we have:

 

　　RPort=0.03+0.02(−1.2)+0.03(0.80)=3.0%

 

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