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FRM一级易错题精选:Portfolio returns

发表时间:2017-11-06 13:40
作者:FRM考试网
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Charlie Smith holds two portfolios,Portfolio X and Portfolio Y.They are both liquid,well-diversified portfolios with approximately equal market values.He expects Portfolio X to return 13%and Portfolio Y to return 14%over the upcoming year.Because of an unexpected need for cash,Smith is forced to sell at least one of the portfolios.He uses the security market line to determine whether his portfolios are undervalued or overvalued.Portfolio X’s beta is 0.9 and Portfolio Y’s beta is 1.1.The expected return on the market is 12%and the risk-free rate is 5%.Smith should sell:

A.portfolio Y only.
 
B.portfolio X only.
 
C.both portfolios X and Y because they are both overvalued.
 
D.either portfolio X or Y because they are both properly valued.

FRM一级
 
Answer:A
 
Portfolio X’s required return is 0.05+0.9×(0.12-0.05)=11.3%.It is expected to return 13%.The portfolio has an expected excess return of 1.7%
 
Portfolio Y’s required return is 0.05+1.1×(0.12-0.05)=12.7%.It is expected to return 14%.The portfolio has an expected excess return of 1.3%.
 
Since both portfolios are undervalued,the investor should sell the portfolio that offers less excess return.Sell Portfolio Y because its excess return is less than that of Portfolio X.


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报名、考试时间

2017年11月2018年05月
报名时间 第一阶段:2017.05.01~06.30
第二阶段:2017.08.01~08.31
第三阶段:2017.09.01~10.15
考试时间 2017年11月18日(周六)
成绩查询 2018年01月03日(周三)
报名时间2 第一阶段:2017.12.1~18.1.31
第二阶段:2018.02.01~02.28
第三阶段:2018.03.01~04.15
考试时间 2018年05月19日(周六)
成绩查询 2018年07月04日(周三)
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