高顿项目

国内财会

国际财会

金融证书

公务员

考研

考研

继续教育

继续教育

在职硕博

学历学位

国企求职

军队文职

军队文职

职业提升

语言培训

出国留学

海外留学

报考指南

报考查询

招生简章

分数线

考试日历

资料中心

备考经验

择校择专

院校排名

全部

北美精算师历届SOA真题收藏：2003年5月Course6（第三部分课程）

来源：高顿网校 2014-08-31

　　请问有来报考今年10月底的北美精算师的学子么？赶紧鼠标点击进来学习——北美精算师历届SOA真题收藏：2003年5月Course6（第三部分课程）。　　3. X. Multiple asset performance I. Allocates a portion of the initial

　　portfolio to active management with the

　　balance being immunized.

　　Y. Contingent immunization II. Option valuation-based approach to

　　fixed-income asset allocation.

　　III. Objective is to achieve a portfolio

　　return equal to the return of the best

　　performing of the various fixed income

　　asset classes held in the portfolio, less a

　　predetermined strategy cost.

　　Course 6: Spring 2003 - 14 - GO ON TO NEXT PAGE

　　4. X. Arbitrage Pricing Theory I. Assumes an unobservable market

　　portfolio.

　　Y. Capital Asset Pricing Model II. Provides an unequivocal statement on

　　the expected return-beta relationship

　　for all assets.

　　III. Highlights the crucial distinction

　　between diversifiable and

　　nondiversifiable risk.

　　5. X. Putable Bond I. Positive convexity

　　Y. Callable Bond II. As interest rates decrease, the bond

　　duration decreases

　　III. Negative convexity

　　6. X. Markowitz Portfolio Selection Model I. Separates risk into macro and micro

　　components.

　　Y. Index Model II. Requires a large number of estimates.

　　III. Allows for specialization of effort in

　　security analysis.

　　Course 6: Spring 2003 - 15 - GO ON TO NEXT PAGE

　　3-8. Each of questions 3 through 8 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)

　　I and II only

　　(B)

　　II and III only

　　(C)

　　I and II only

　　(D)

　　I and III only

　　(E)

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

　　7. X. Insured asset allocation I. Assumes the investor’s risk tolerance is

　　unaffected by changes in the investor’s

　　circumstance.

　　Y. Tactical asset allocation II. Assumes expected returns, variances

　　and correlations remain the same over

　　time.

　　III. Goal is to take advantage of perceived

　　inefficiencies in capital markets.

　　8. X. Limit-buy order I. Buy stock when the price falls below a

　　given price limit.

　　Y. Stop-buy order II. Often accompanies short sales.

　　III. Buy stock when the price rises above a

　　given price limit.

　　Course 6: Spring 2003 - 16 - GO ON TO NEXT PAGE

　　USE THIS PAGE FOR YOUR SCRATCH WORK

　　Course 6: Spring 2003 - 17 - GO ON TO NEXT PAGE

　　9. You are given the following with respect to two portfolios:

　　Portfolio A Portfolio B

　　Expected Return 10% 8%

　　Variance 2% 3%

　　An investor has all his funds in Portfolio A. His expected utility is the same as for a certain

　　return of 6%.

　　Calculate the equivalent certain return for Portfolio B for this investor.

　　(A) –0.50%

　　(B) 2.00%

　　(D) 3.67%

　　(E) 6.50%

　　Course 6: Spring 2003 - 18 - GO ON TO NEXT PAGE

　　USE THIS PAGE FOR YOUR SCRATCH WORK

　　Course 6: Spring 2003 - 19 - GO ON TO NEXT PAGE

　　10. You are given the following with respect to a treasury bill:

　　? price on June 30, 2003: 9,800

　　? par value: 10,000

　　? maturity date: December 31, 2003

　　Calculate the difference between the effective annual rate and the bank discount yield as of June

　　30, 2003.

　　(A) 0.12%

　　(B) 0.13%

　　(D) 0.17%

　　(E) 0.21%

　　Course 6: Spring 2003 - 20 - GO ON TO NEXT PAGE

　　USE THIS PAGE FOR YOUR SCRATCH WORK

　　Course 6: Spring 2003 - 21 - GO ON TO NEXT PAGE

　　11-15. Questions 11 through 15 consist of an assertion in the left-hand column and a reason in the

　　right-hand column. Code your answer to each question by blackening space:

　　(A) If both the assertion and the reason are true statements, and the reason is a correct

　　explanation of the assertion.

　　(B) If both the assertion and the reason are true statements, but the reason is NOT a

　　correct explanation of the assertion.

　　(D) If the assertion is a false statement, but the reason is a true statement.

　　(E) If both the assertion and the reason are false statements.
　　加紧学习，抓住中心，宁精勿杂，宁专勿多。——高顿网校名人心语

扫一扫微信，关注精算师*7考试动态

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

严选名师全流程服务

其他人还搜了热门推荐