1. The diversifiable risk of a portfolio: a. Is correlated with systematic risk. b. Can be made sufficiently small. c. Is zero in the real world. d. Is the risk that investors lose because of transaction costs.
1. The diversifiable risk of a portfolio:
a. Is correlated with systematic risk.
b. Can be made sufficiently small.
c. Is zero in the real world.
d. Is the risk that investors lose because of transaction costs.
Which one of the following conditions determines the investor’s overall optimal portfolio?
a. The marginal ratio of substitution of the investor’s utility function must be equal to the Sharpe ratio of the optimal risky portfolio.
b. The standard-deviation of the overall portfolio in minimised.
c. The expected return of the overall portfolio is maximised.
d. The slope of the Sharpe-ratio is equal to zero.
4. Markets can never be strong-form efficient because:
a. There are too many traders in them.
b. Investors are rational.
c. Information is costly to acquire.
d. All information is public.
5. Which one of the following is not a property of a pure arbitrage portfolio? a. Zero investment.
b. Zero systematic risk.
c. Positive net return.
d. All of the above.
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