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Question
Security A has a higher standard deviation of returns than security B. We would expect that:
I. Security A would have a higher risk premium than security B.
II. The likely range of returns for security A in any given year would be higher than the likely range of returns for security B.
III. The Sharpe ratio of A will be higher than the Sharpe ratio of B.
A. I only
B. I and II only
C. II and III only
D. I, II, and III
Answer
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Related questions
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Which of the following does not approximate the performance of a buy-and-hold portfolio strategy?
A. An equally weighted index
B. A price-weighted index
C. A value-weighted index
D. All of these options (Weights are not a factor in this situation.)
Q:
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C. delegate the management of core segments of the portfolio to other managers
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Q:
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A. investing in the stock of companies that are price takers
B. maintaining approximately the same proportions of a portfolio in each asset class over time
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D. selecting individual securities in different sectors that are believed to be undervalued
Q:
An employee has an average wage of $60,000 and has worked for the firm for 25 years. The defined benefit pension plan pays retirees 2.5% of the average wage times the years of service. The employee can expect to receive _______ per year upon retirement.
A. $18,000
B. $37,500
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D. $55,250
Q:
For a bank, the difference between the interest rate charged to borrowers and the interest rate paid on liabilities is called the __________.
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Q:
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Q:
The asset universe is the _____________________.
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Q:
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Q:
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Q:
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A. return requirement
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Q:
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Q:
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Q:
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Q:
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Q:
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Q:
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A. income
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Q:
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Q:
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A. traditional retirement plan
B. Roth retirement plan
C. 401k plan
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Q:
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B. make you worse off
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Q:
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Q:
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Q:
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Q:
You manage a $15 million hedge fund portfolio with beta = 1.2 and alpha = 2% per quarter. Assume the risk-free rate is 2% per quarter and the current value of the S&P 500 Index is 1,200. You want to exploit the positive alpha, but you are afraid that the stock market may fall and you want to hedge your portfolio by selling 3-month S&P 500 future contracts. The S&P contract multiplier is $250.
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D. The answer cannot be determined from the information given.