"Portfolio Management":risk tolerance
学习是一个不断积累的过程,每天学习一点,每天进步一点!为了帮助大家更高效地备考2021年CFA考试,正保会计网校每日为大家上新CFA习题供大家练习。让网校与您一起高效备考2021年CFA考试,梦想成真!
Questions 1:
A security has a beta of 1.30. If the risk-free rate of interest is 3% and the expected return of the market is 8%, based on the capital asset pricing model (CAPM), the expected return of the security is closest to:
A 、6.5%.
B 、13.4%.
C、 9.5%.
Questions 2:
Two risk managers are discussing how an organization’s risk tolerance should be determined. The first manager says, “The risk tolerance must reflect the losses or shortfalls that will cause the organization to fail to meet critical objectives.” The second manager responds, “The risk tolerance must reflect the external forces that bring uncertainty to the organization.” Which of them is most likely correct?
A 、 The second risk manager
B 、The first risk manager
C、 Both risk managers
C is correct. The formula for the CAPM is expressed as E(Ri ) = Rf + βi [E(Rm) – Rf ] or 3% + [1.3 × (8% – 3%)] = 9.5%.
A is incorrect. It ignores the risk-free rate: 1.3 × (8% – 3%) = 6.5%.
B is incorrect. The market return is incorrectly interpreted as the market risk premium: 3% + 1.3 × 8% = 13.4%.
C is correct. The risk tolerance of an organization should reflect both an “inside” view and an “outside” view. The inside view asks what level of loss will leave the organization unable to meet critical objectives. The outside view asks what sources of uncertainty or risk the organization faces.
A is incorrect because both an “inside” and “outside” view must be reflected.
B is incorrect because both an “inside” and “outside” view must be reflected.
成功=时间+方法,自制力是这个等式的保障。世上无天才,高手都是来自刻苦的练习。而人们经常只看到“牛人”闪耀的成绩,其成绩背后无比寂寞的勤奋。小编相信,每天都在勤奋练习,即使是一点点的进步,大家一定可以成为人人称赞的“牛人”。