更多服务

特色服务

找学习资源

查报考信息

看备考资讯

备考工具箱

报考指南

报名入口

报名流程

考试动态

考试日历

备考指南

资料中心

福利政策

热门题库

全部

FRM一级练习题：风险管理基础（21）

来源：高顿网校 2015-12-25

The efficient frontier is defined by the set of portfolios that, for each volatility level, maximizes the expected return. According to the capital asset pricing model (CAPM), which of the following statements are correct with respect to the efficient frontier?

i. The capital market line is the straight fine connecting the risk-free asset with the zero beta minimum variance portfolio.

ii. The capital market line always has a positive slope and its steepness depends on the market risk premium and the volatility of the market portfolio.

iii. The complete efficient frontier without a risk-free asset can be obtained by combining the minimum variance portfolio and the market portfolio.

iv. The efficient frontier allows different individuals to have different portfolios of risky assets based upon their own risk aversion and forecast for asset returns.

v. The efficient frontier assumes no transaction costs, no taxes, a common investment horizon for all investors, and that the return distribution has no skewness.

A. ii, iii and v

B. i, ii and iii

C. i, iv and v

D. ii, iii and iv

Answer:A

Within modern portfolio theory (MPT), the efficient frontier is a combination of assets that has the best possible expected level of return for its level of risk. The efficient frontier is the positively sloped portion of the opportunity set that offers the highest expected return for a given risk level. The efficient frontier is at the top of the feasible set of portfolio combinations. ii, iii and v are correct statements.

The capital market line connects the risk-free asset and the market portfolio. The efficient frontier does allow investors to have different risk aversions, but assumes that they all have the same forecast for asset returns.

高顿网校温馨提醒：2016年FRM备考已经开始，为了帮助大家充分备考，体验实战，提供给大家FRM考试考点复习笔记，针对性地训练与模考，对学习过程进行全面总结。点击免费获取>>>

　　FRM考试免费题库【手机题库下载】| 在线直播

　　FRM高清网课免费体验 FRM名师精品班免费试听

　　精彩推荐：

FRM考试，FRM是什么？

2016年FRM考试常见问题解析

FRM考试在线高清视频指导

版权声明：本条内容自发布之日起，有效期为一个月。凡本网站注明“来源高顿教育”或“来源高顿网校”或“来源高顿”的所有作品，均为本网站合法拥有版权的作品，未经本网站授权，任何媒体、网站、个人不得转载、链接、转帖或以其他方式使用。经本网站合法授权的，应在授权范围内使用，且使用时必须注明“来源高顿教育”或“来源高顿网校”或“来源高顿”，并不得对作品中出现的“高顿”字样进行删减、替换等。违反上述声明者，本网站将依法追究其法律责任。本网站的部分资料转载自互联网，均尽力标明作者和出处。本网站转载的目的在于传递更多信息，并不意味着赞同其观点或证实其描述，本网站不对其真实性负责。如您认为本网站刊载作品涉及版权等问题，请与本网站联系(邮箱fawu@gaodun.com，电话：021-31587497)，本网站核实确认后会尽快予以处理。

展开全文咨询在线