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2015年11月FRM一级冲刺：易错题汇总

来源：高顿网校 2015-09-23

　　小编导读：题海战术，也有备考技巧。高顿网校FRM小编认为，在备考过程中，找出自己的易错点很重要。找准目标，对症下药，在之后的冲刺复习中就能效率更高！快来练题吧！　　1.Which of the following is the best interpretation of the no-arbitrage principle?

　　A. The information flow is quick in the financial market.

　　B. There is no free money.

　　C. People can never beat the market.

　　D. There is no way you can find an opportunity to make a profit.

　　2.All portfolios on the capital market line are:

　　A. distinct from each other.

　　B. unrelated except that they all contain the risk-free asset.

　　C. perfectly negatively correlated.

　　D. perfectly positively correlated.

　　3.Which of the following assumptions is NOT necessary to derive the APT?

　　A.There are no arbitrage opportunities available to investors.

　　B.The factor portfolios are efficient.

　　C.Investors can create diversified portfolios with no firm-specific risk.

　　D.A factor model describes asset returns.

Answer:
1.B

　　An arbitrage opportunity is the chance to make a riskless profit with no investment. In essence, finding an arbitrage opportunity is like finding free money. As you recall, in arbitrage, you observe two identical assets with different prices. Your immediate response should be to buy the cheaper one and sell the expensive one short. You can then deliver the cheap one to cover your short position. Once you take the initial arbitrage position, your arbitrage profit is locked in. The no-investment statement referenced in the text refers to the assumption that when you short the expensive asset, you will be given access to the cash created by the short sale. With this cash, you now have the money to buy the cheaper asset. The no-investment assumption means that the first person to observe a market pricing error will have the financial resources to correct the pricing error instantaneously all by themselves.

　　2.D

　　The introduction of a risk-free asset changes the Markowitz efficient frontier into a straight line. This straight efficient frontier line is called the capital market line (CML). Since the line is straight, the math implies that any two assets falling on this line will be perfectly, positively correlated with each other. Note: When ra,b = 1, then the equation for risk changes to sport = WAsA + WBsB, which is a straight line.

　　3.B

　　The APT is an equilibrium model that assumes there are no arbitrage opportunities in equilibrium, that investors can create diversified portfolios, and that a factor model describes asset returns. It does NOT require that factor portfolios (nor, as in the capital asset pricing model [CAPM], the market portfolio) be efficient. In effect, the APT assumes investors simply like more money to less, while the CAPM assumes they care about expected return and standard deviation and invest in efficient portfolios. The APT makes no reference to mean-variance analysis or assumptions about efficient portfolios. This weaker set of assumptions is an advantage of the APT over the CAPM.

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