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SOA北美地区2005年5月那年精算师的真题Course6（三）

来源：高顿网校 2014-08-07

　　高顿网校友情提示，为您精心编制的8月7日立秋季节*7的SOA北美地区2005年5月那年精算师的真题Course6（三）。
　　10.

　　ASSERTION

　　If a risk-free asset is available,

　　only aggressive investors will be

　　affected by a restriction on

　　borrowing.

　　BECAUSE

　　REASON

　　A borrowing restriction drives

　　aggressive investors to portfolios

　　on the efficient frontier of risky

　　assets.

　　Course 6: Spring 2005 - 12 - GO ON TO NEXT PAGE

　　Morning Session

　　11. A fixed-rate bond with a market value of 20 million and a duration of 4 is separated into

　　three bonds. Two of the bonds are floaters and the third is an inverse floater.

　　You are given the following information with respect to the floaters:

　　Floater Market Value Duration

　　A 16 million 1

　　B 2 million 0.5

　　Calculate the duration of the inverse floater.

　　(A) 2.50

　　(B) 3.06

　　(C) 3.15

　　(D) 25.20

　　(E) 31.50

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　　Morning Session

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　　Morning Session

　　12. You are given the following with respect to Stock X:

　　? Stock price today: 10

　　? Stock price one year from today: either 12 or 7

　　? Call option strike price: 11

　　The annual interest is 5%.

　　Calculate the no-arbitrage call option price on Stock X as of today.

　　(A) 0.67

　　(B) 0.74

　　(C) 1.40

　　(D) 1.47

　　(E) 3.33

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　　Morning Session

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　　Morning Session

　　13. For a portfolio of investment-grade fixed-income securities, rank the following factors by

　　their impact on the portfolio return from greatest to least.

　　(A) Duration management, individual bond selection, sector selection

　　(B) Duration management, sector selection, individual bond selection

　　(C) Individual bond selection, duration management, sector selection

　　(D) Individual bond selection, sector selection, duration management

　　(E) Sector selection, individual bond selection, duration management

　　14. You are given the following information with respect to a stock portfolio:

　　Stock Portfolio Proportion β

　　A 75% 1.25

　　B 25% 1.45

　　The market risk premium is 4%.

　　Calculate the risk premium of the portfolio.

　　(A) 5.0%

　　(B) 5.2%

　　(C) 5.4%

　　(D) 5.6%

　　(E) 5.8%

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　　Morning Session

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　　Morning Session

　　15. You are given the following with respect to a portfolio of zero-coupon bonds:

　　Bond Current Value Maturity Value Time to Maturity

　　A 1000 1081.60 2 years

　　B 1000 1215.51 4 years

　　Calculate the yield-to-maturity for this portfolio.

　　(A) 4.3%

　　(B) 4.5%

　　(C) 4.7%

　　(D) 9.6%

　　(E) 10.0%

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　　Morning Session

　　16-20. Each of questions 16 through 20 consists of two lists. In the list at the left are two items,

　　lettered X and Y. In the list at the right are three items, numbered I, II and III. ONE of

　　the lettered items is related in some way to EXACTLY TWO of the numbered items.

　　Indicate the related items using the following answer code:

　　Lettered Item

　　Is Related to Numbered Items

　　(A)

　　X

　　I and II only

　　(B)

　　X

　　II and III only

　　(C)

　　Y

　　I and II only

　　(D)

　　Y

　　I and III only

　　(E)

　　The correct answer is not given by (A), (B), (C) or (D).

　　16. X. Bonds I. Residual claim

　　Y. Common stock II. Limited liability

　　III. Maturity date

　　17. X. Combination by formula I. Equivalent to purchasing an option

　　Y. Multiple asset performance II. Assumes that the immunization

　　target return exceeds either the

　　minimum return or the expected

　　worst case active return

　　III. Active management proportion will

　　vary inversely with the minimal

　　acceptable return

　　Course 6: Spring 2005 - 21 - GO ON TO NEXT PAGE

　　Morning Session

　　18. X. Immunization strategy I. Transactions are a function of

　　volatility and time

　　Y. Total-return strategy II. Explicitly considers real-world

　　constraints such as tax effects,

　　regulatory restrictions and GAAP

　　accounting

　　III. Manager may take advantage of a

　　perceived change in value in the

　　market

　　19. X. Rainbow options I. Knockout options

　　Y. Barrier options II. Based on the maximum or minimum

　　of the values of several assets

　　III. Often arise as part of a structured

　　security
　　时间就是生命，无端的空耗别人的时间，其实无异于谋财害命的。——高顿网校名言警句

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