金融风险管理答案2023

第一章测试

1.Which formula describe the Capital Asset Pricing Model?（ ）
A:
B:
C:

答案:C
2.Which of the following descriptions are the assumption for Capital Asset Pricing Model?（ ）

答案:ABCDEF
3.The return from the market last year was 10% and the risk-free rate was 5%. A hedge fund manager with a beta of 0.6 has an alpha of 4%. What return did the hedge fund manager earn?（ ）
A:0.10
B:0.15
C:0.12

答案:C
4.Suppose the S&P 500 Index has an expected annual return of 7.2% and volatility of 8.2%. Suppose Andromeda Fund has an expected annual return of 6.8% and volatility of 7.0% and is benchmarked against the S&P 500 Index. According to the CAPM, if the risk-free rate is 2.2% per year, what is the beta of the Andromeda Fund?（ ）
A:0.92
B:0.20
C:0.90
D:1.23

答案:A
5.If a bond issued by a company have a rating of AAA, the company generally can not be referred to as having a rating of AA.（ ）
A:错 B:对
答案:B