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 ma is maximised. d. The slope of the Sharpe-ratio is equal to zero. Question 2--- 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. Question 3--- Select the incorrect statement about the optimal portfolio weights in the SIM from the following: a. When short sales are not allowed, the investor will hold more assets in her portfolio than when short sales are allowed. b. When the single index is tradeable, securities with negative will be shorted. c. When the single index is tradeable, securities with higher (given everything else constant) are more desirable. d. The investor's portfolio with no short sales is less desirable than the portfolio with short sales. Question 4---- 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
Question 1-
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 ma is maximised.
d. The slope of the Sharpe-ratio is equal to zero.
Question 2---
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.
Question 3---
Select the incorrect statement about the optimal portfolio weights in the SIM from the following:
a. When short sales are not allowed, the investor will hold more assets in her portfolio than when short sales are allowed.
b. When the single index is tradeable, securities with negative will be shorted.
c. When the single index is tradeable, securities with higher (given everything else constant) are more desirable.
d. The investor's portfolio with no short sales is less desirable than the portfolio with short sales.
Question 4----
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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