Investment Sample Exam for Fudan

复旦大学管理学院院

投资学期末考试试卷

样品

课程名称：__投资学 _________ 课程代码： MANA130029.01____________

开课院系：__管理学院财务金融系____ 考试形式：闭卷

姓 名： 学 号： 专 业：

|题 号 |1 |2 |3 |4 |5 |总 分 |

|得 分 | | | | | | |

(以下为试卷正文)

一、选择题 （60分）Multiple choices （60 point, one point each）

1. 资本配置线可以描述为

A) 投资机会集由一个无风险资产和一个风险资产构成

B) 投资机会集由两个风险资产构成

C) 上面每个点对某个投资者来说效用都一样

D) 每个点期望收益一样但风险不一样

E) 上面一个都不对

1. The Capital Allocation Line can be described as the

A) investment opportunity set formed with a risky asset and a risk-free asset.

B) investment opportunity set formed with two risky assets.

C) line on which lie all portfolios that offer the same utility to a particular investor.

D) line on which lie all portfolios with the same expected rate of return and different standard deviations.

E) none of the above.

3．无风险利率为5%，风险资产如下

Security A: E(r) = 0.15; Variance = 0.04

Security B: E(r) = 0.10; Variance = 0.0225

Security C: E(r) = 0.12; Variance = 0.01

Security D: E(r) = 0.13; Variance = 0.0625

投资者将选择哪一个资产来组成风险资产和无风险资产的组合

A) A.

B) B.

C) C.

D) D.

E) 不能决定.

3. Consider a T-bill with a rate of return of 5 percent and the following risky securities:

Security A: E(r) = 0.15; Variance = 0.04

Security B: E(r) = 0.10; Variance = 0.0225

Security C: E(r) = 0.12; Variance = 0.01

Security D: E(r) = 0.13; Variance = 0.0625

From which set of portfolios, formed with the T-bill and any one of the 4 risky securities, would a risk-averse investor always choose his portfolio?

A) The set of portfolios formed with the T-bill and security A.

B) The set of portfolios formed with the T-bill and security B.

C) The set of portfolios formed with the T-bill and security C.

D) The set of portfolios formed with the T-bill and security D.

E) Cannot be determined.

E) a and c.

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