The values of beta coefficients of securities are ___________.

The values of beta coefficients of securities are ___________. 

A) always positive
B) always negative
C) always between positive 1 and negative 1
D) usually positive, but are not restricted in any particular way

Answer: D

According to Tobin's separation property, portfolio choice can be separated into two independent tasks consisting of __________ and ___________.

According to Tobin's separation property, portfolio choice can be separated into two independent tasks consisting of __________ and ___________. 

A) identifying all investor imposed constraints; identifying the set of securities that conform to the investor's constraints and offer the best risk-return tradeoffs 

B) identifying the investor's degree of risk aversion; choosing securities from industry groups that are consistent with the investor's risk profile 

C) identifying the optimal risky portfolio; constructing a complete portfolio from T-bills and the optimal risky portfolio based on the investor's degree of risk aversion 

D) None of the above answers is correct 

Answer: C

The systematic risk of a security __________.

The systematic risk of a security __________. 

A) is likely to be higher in a rising market
B) results from its own unique factors
C) depends upon market volatility
D) cannot be diversified away

Answer: D

An investor can design a risky portfolio based on two stocks, A and B. The standard deviation of return on stock A is 20% while the standard deviation on stock B is 15%. The expected return on stock A is 20% while on stock B it is 10%. The correlation coefficient between the return on A and B is 0%. The standard deviation of return on the minimum variance portfolio is __________.

An investor can design a risky portfolio based on two stocks, A and B.  The standard deviation of return on stock A is 20% while the standard deviation on stock B is 15%. The expected return on stock A is 20% while on stock B it is 10%.  The correlation coefficient between the return on A and B is 0%.  The standard deviation of return on the minimum variance portfolio is  __________. 

A) 0%
B) 6%
C) 12%
D) 17%

Answer: C

An investor can design a risky portfolio based on two stocks, A and B. The standard deviation of return on stock A is 20% while the standard deviation on stock B is 15%. The expected return on stock A is 20% while on stock B it is 10%. The correlation coefficient between the return on A and B is 0%. The expected return on the minimum variance portfolio is approximately __________.

An investor can design a risky portfolio based on two stocks, A and B.  The standard deviation of return on stock A is 20% while the standard deviation on stock B is 15%. The expected return on stock A is 20% while on stock B it is 10%.  The correlation coefficient between the return on A and B is 0%.  The expected return on the minimum variance portfolio is approximately __________.

A) 10.00%
B) 13.60%
C) 15.00%
D) 19.41%

Answer: B

An investor can design a risky portfolio based on two stocks, A and B. The standard deviation of return on stock A is 20% while the standard deviation on stock B is 15%. The correlation coefficient between the return on A and B is 0%. The expected return on stock A is 20% while on stock B it is 10%. The proportion of the minimum variance portfolio that would be invested in stock B is __________.

An investor can design a risky portfolio based on two stocks, A and B.  The standard deviation of return on stock A is 20% while the standard deviation on stock B is 15%. The correlation coefficient between the return on A and B is 0%.  The expected return on stock A is 20% while on stock B it is 10%. The proportion of the minimum variance portfolio that would be invested in stock B is __________. 

A) 6%
B) 50%
C) 64%
D) 100%

Answer: C

Consider two perfectly negatively correlated risky securities, A and B. Security A has an expected rate of return of 16% and a standard deviation of return of 20%. B has an expected rate of return 10% and a standard deviation of return of 30%. The weight of security B in the global minimum variance is __________.

Consider two perfectly negatively correlated risky securities, A and B.  Security A has an expected rate of return of 16% and a standard deviation of return of 20%.  B has an expected rate of return 10% and a standard deviation of return of 30%.  The weight of security B in the global minimum variance is __________. 

A) 10%
B) 20%
C) 40%
D) 60%

Answer: C