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特许金融分析师（CFA）考试模拟题

来源：高顿网校 2016-11-11

　　1. A portfolio of no-dividend-paying common stocks earned a geometric mean return of 5 percent between 1 January 1996 and 31 December 2002. The arithmetic mean return for the same period was 6 percent. If the market value of the portfolio at the beginning of 1996 was $100,000, the market value of the portfolio at the end of 2002 was closest to

　　A . 135,000

　　B. 140,710

　　C. 142,000

　　D. 150,363

　　Answer: B

　　There are seven annual periods between I January 1996 and 31 December 2002, the market value of the portfolio

　　2. Which of the following statements about standard deviation is most accurate? Standard deviation:

　　A. is the square of the variance.

　　B. can be a positive number or a negative number.

　　C. is denominated in the same units as the original data.

　　D. is the arithmetic mean of the squared deviations from the mean.

　　Answer: C

　　The arithmetic average of the squared deviations around mean is the variance. The standard deviation is the positive square root of the variance and is denominated in the same units as the original data

　　3. An analyst developed the following probability distribution of the rate of return for a common stock Scenario Probability Rate of Return

　　1 0.25 0.08

　　2 0.50 0.12

　　3 0.25 0.16

　　The standard deviation of the rate of return is closest to

　　A. 0.0200

　　B. 0.0267

　　C. 0.0283

　　D. 0.0400

　　Answer:C

　　Expected value=0.12

　　Variance=0.0008

　　Standard deviation=0.028

　　4. A common stock with a coefficient of variation of 0.50 has a (n):

　　A. Variance equal to half the stock’s expected return

　　B. Expected return equal to half the stock’s variance

　　C. Expected return equal to half the stock’s standard deviation

　　D. Standard deviation equal to half the stock’s expected return

　　Answer: D

　　The coefficient of variation is a measure of relative dispersion that indicates how much dispersion exists relative to the mean of the distribution the coefficient of variation is the standard deviation divided by the mean

　　5. If no other estimator of a given parameter has a sampling distribution with a smaller variance, the estimator used is best characterized as

　　A. accurate

　　B. efficient

　　C. unbiased

　　D. consistent

　　Anewser B.
　　An unbiased estimator is efficient if no other unbiased estimator of the same parameter has a sampling distribution with smaller variance

　　6. A portfolio of no-dividend-paying common stocks earned a geometric mean return of 5 percent between 1 January 1996 and 31 December 2002. The arithmetic mean return for the same period was 6 percent. If the market value of the portfolio at the beginning of 1996 was $100,000, the market value of the portfolio at the end of 2002 was closest to

　　A . 135,000

　　B. 140,710

　　C. 142,000

　　D. 150,363

　　Answer: B

　　There are seven annual periods between I January 1996 and 31 December 2002, the market value of the portfolio

　　7. Which of the following statements about standard deviation is most accurate? Standard deviation:

　　A. is the square of the variance.

　　B. can be a positive number or a negative number.

　　C. is denominated in the same units as the original data.

　　D. is the arithmetic mean of the squared deviations from the mean.

　　Answer: C

　　8. An analyst developed the following probability distribution of the rate of return for a common stock

　　Scenario Probability Rate of Return

　　1 0.25 0.08

　　2 0.50 0.12

　　3 0.25 0.16

　　The standard deviation of the rate of return is closest to

　　A. 0.0200

　　B. 0.0267

　　C. 0.0283

　　D. 0.0400

　　Answer:C

　　Expected value=0.12

　　Variance=0.0008

　　Standard deviation=0.028

　　9. A common stock with a coefficient of variation of 0.50 has a (n):

　　A. Variance equal to half the stock’s expected return

　　B. Expected return equal to half the stock’s variance

　　C. Expected return equal to half the stock’s standard deviation

　　D. Standard deviation equal to half the stock’s expected return

　　Answer: D

　　10. If no other estimator of a given parameter has a sampling distribution with a smaller variance, the estimator used is best characterized as

　　A. accurate

　　B. efficient

　　C. unbiased

　　D. consistent

　　Anewser B.
　　An unbiased estimator is efficient if no other unbiased estimator of the same parameter has a sampling distribution with smaller variance

　　11. What are the mean and standard deviation of a standard normal distribution?

　　Mean Standard deviation

　　A 0 0

　　B 0 1

　　C 1 0

　　D 1 1

　　Answer: B.
　　The standard normal distribution (unit normal distribution) has a mean of zero and a standard deviation deviation of one

　　12. The population mean and standard deviation of monthly net sales for a company are $100 million and $30 million, respectively. if monthly net sales are normally distributed, which of the following best describes the interval that would be expected to contain approximately 95 percent of the monthly net sales?

　　A. $10 million to $190 million.

　　B. $30 million to $170 million.

　　C. $40 million to $160 million.

　　D. $70 million to $130 million.

　　Answer: C.
　　In normal distribution, about 95 percent of the observations will fall within standard deviations of the mean $100-2*(30)=$40and $100+2*(30)= $160

　　13. A mutual fund manager wants to create a fund based on a high-grade corporate bond index. She first distinguishes between utility bonds and industrial bonds; she then for each segment defines maturity intervals of less than 5 years, 5 to 10 years, and greater than 10 years. For each segment and maturity level, she classifies the bonds as callable or non-callable. For the manager’s sample, which of the following best describes the

　　Sampling approach Number of sampling cells?

　　A Simple random sample 3

　　B Simple random sample 12

　　C Stratified random sample 3

　　D Stratified random sample 12

　　Answer: D.
　　The mutual fund manager is using a stratified random sampling approach with 12 cells: 2*3*2=12 sampling cells

　　14. A utility analyst performed a regression analysis relating monthly energy consumption to average monthly temperature over the last four years. Total variation of the dependent variable was 58.6 and the unexplained variation was 31.3. The coefficient of determination and standard error of the estimate, respectively, for the regression model are closest to

　　Coefficient of determination Standard error of the estimate

　　A 0.4659 0.8075

　　B 0.4659 0.8249

　　C 0.5341 0.8075

　　D 0.5341 0.8249

　　Answer: B.
　　The coefficient of determination is explained variation divided by total variation (58.6-31.3)/58.6=0.4659. There are a total of 48 observations in the sample the standard error of the estimate is(31.3/(48-2))1/2=0.8249

　　15. A lognormal distribution differs from a normal distribution in that a lognormal distribution:

　　A. is skewed to the left

　　B. cannot contain negative values

　　C. has less complicated confidence intervals

　　D. is completely described by two parameters

　　Answer: B. T
　　he lognormal distribution is bounded on the left by zero, but a normal distribution contains negative values.

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