宫绅藏弟烤扛混晨浦儒乒拜森
Chapter 1
Chapter 1 TEST
1、单选题：
The beginning of the development of modern financial theory is
A: The capital asset pricing model appears
B: Option pricing formula appears
C: Markowitz’s portfolio theory appears
D: Interest theory appears
答案: Markowitz’s portfolio theory appears
2、单选题：
Who proposed the capital asset pricing model (
A: Markowitz
B: William Sharp
C: Eugene Fama
D: Samuelson
答案: William Sharp
3、单选题：
Which of the following statement is correct?
A: Arbitrage pricing theory uses balanced supply and demand pricing
B: Arbitrage pricing theory uses absolute pricing
C: The pricing principles of the arbitrage pricing theory and the capital asset pricing model are the same
D: Arbitrage pricing theory uses relative pricing method.
答案: Arbitrage pricing theory uses relative pricing method.
Chapter 2
Chapter 2 TEST
1、单选题：
About fair gambling, which option is true:
A: Risk averse people will not
participate
B: Gambling with zero entrance fee
C: Fair gambling is gambling where the entrance fee is
equal to the expected return of gambling
D: Both A and C are correct
答案: Both A and C are correct
2、单选题：
Suppose the participants’
preference relations of consumption plans a, b and c are as follows: the
participant preferred a better than b, preferred b better than c, preferred c better
than a. which of the following preference relationship is violated( )?
A: Transitivity
B: Completeness
C: Reflexivity
D: None of above are violated
答案: Transitivity
3、单选题：
If an investor is a strict risk-averse investor, the
utility function of the investor is
A: α>2β, β<0
B: α>2β, β>0
C: α>0, β<0
D: α<2βy, β<0
答案: α<2βy, β<0
4、单选题：
4. Someone’s utility function is quadratic utility function as followsWhere x is personal wealth. His initial wealth is 50. In the face of such a game, the probability of losing 10 is 80%, and the probability winning 40 is 20%. If the entrance fee is zero, will this person choose to participate in this game?
A: Yes, he will
B: No, he will not
C: It does not matter whether he participate or not.
D: Unable to judge
答案: No, he will not
5、单选题：
One’s utility function is
U(w)=-1/w. Then he is a relatively ( ) risk-averse investor.
A: Decreasing
B: Unchanged
C: Increasing
D: Unable to judge
答案: Unchanged
6、单选题：
Please complete the following form:
A: x: 0.51; y: 0.1; z:0.42
B: x: 0.44; y: 0.2; z:0.42
C: x: 0.44; y: 0.1; z:0.46
D: x: 0.54; y: 0.3; z:0.42
答案: x: 0.51; y: 0.1; z:0.42
7、单选题：
Assume that all the portfolios in the figure are fairly priced.
What is the beta of stocks A, B, and C?
A: 0,1,1.6
B: 0, 2, 2.4
C: 0.1, 1, 1.8
D: 0, 1.5, 1.8
答案: 0,1,1.6
8、单选题：
Assume that all the portfolios in the figure are fairly priced.
What is the residual variance of stocks A, B, and C?
A: 0.49，0.56，0.17
B: 0.59，0.76，0.19
C: 0.59，0.56，0.19
D: 0.39，0.56，0.17
答案: 0.49，0.56，0.17
9、单选题：
Assume that all the portfolios in the figure are fairly priced.
Consider investing 20% of the funds in stock A and 80% of
the funds in the portfolio which include stock C:
a. What is the beta of the combination?
b. According to CAPM, what is the equilibrium return of the
portfolio?
A: 1.28，0.124
B: 1.34， 0.136
C: 1.28， 0.136
D: 1.34， 0.124
答案: 1.28，0.124
10、单选题：
Assume that all the portfolios in the figure are fairly priced.
Calculate the Sharpe ratio and Treynor ratio of stocks
B and C.
A: 0.056，0.089；0.05，0.05
B: 0.051，0.082；0.04，0.04
C: 0.051，0.082；0.05，0.05
D: 0.056，0.089；0.04，0.04
答案: 0.056，0.089；0.05，0.05
11、填空题：
What is fair gambling and how can
we judge investors’ subjective risk attitude based on fair gambling.
答案: fair gambling
12、填空题：
Please use the utility functio
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