FRM历年真题解析！11月考生必看！

FRM历年真题解析！11月考生必看！11月的FRM一级考试在即，想必大家都已经开始紧张备考了。FRM一级科目中有数量分析一科，含有大量的定量题需要计算，因此在备考中一定要刷题。下面给大家准备了FRM的历年真题，有需要的考生可以了解一下！

真题题目：
Charlie Smith holds two portfolios, Portfolio X and Portfolio Y. They areboth liquid, well-diversified portfolios with approximately equal market values. He expects Portfolio X to return 13% and Portfolio Y to return 14%over theupcoming year. Because of an unexpected need for cash, Smith is forcedtosell
at least one of the portfolios. He uses the security market line to determinewhether his portfolios are undervalued or overvalued. Portfolio X’s beta is 0.9and Portfolio Y’s beta is 1.1. The expected return on the market is 12%andtherisk-free rate is 5%. Smith should sell: (保留)
A. portfolio Y only.
B. portfolio X only.
C. both portfolios X and Y because they are both overvalued.
D. either portfolio X or Y because they are both properly valued.

真题解析：
Answer:A
Portfolio X’s required return is 0.05 + 0.9 × (0.12-0.05) = 11.3%. It is expected toreturn 13%. The portfolio has an expected excess return of 1.7%
Portfolio Y’s required return is 0.05 + 1.1 × (0.12-0.05) = 12.7%. It is expected toreturn 14%. The portfolio has an expected excess return of 1.3%. Since both portfolios are undervalued, the investor should sell the portfolio that offers
less excess return. Sell Portfolio Y because its excess return is less than that of PortfolioX.