2020年CFA考试《CFA一级》考试共240题，分为单选题。小编为您整理Portfolio Management5道练习题，附答案解析，供您备考练习。

1、An analyst does research about portfolio performance evaluation.Which of thefollowing performance measures is most appropriate for an investor who is notfully diversified?【单选题】

A.M-squared.

B.Treynor ratio.

C.Jensen's alpha.

正确答案:A

答案解析:M-squared使用标准差（总风险）来衡量风险，所以不需要充分地分散化非系统性风险这一假设。Treynor ratio和Jensen's alpha都是基于系统性风险，需要投资者充分地分散化非系统性风险这一假设。

2、An analyst does research about active and passive management.If the marketfor the asset class is insufficient, which of the following statements is most accurate?A skilled investor should choose:【单选题】

A.Index investing.

B.passive management.

C.active management.

正确答案:C

答案解析:如果市场是有效的，流动性是比较好的，投资者则应该采取被动投资策略，如投资于指数；而市场如果是不充分的，有经验的投资者则应该采用积极的投资管理策略。

3、Information about three stocks is provided below:

If the expected market return is 9.5% and the average risk-free rate is 1.2%, according to the capital asset pricing model (CAPM) and the security market line (SML), which of the three stocks is most likely overvalued?【单选题】

A.Heisen Inc.

B.Booraem Inc.

C.Gutmann Inc.

正确答案:B

答案解析:“Portfolio Risk and Return Part II,” Vijay Singal
2012 Modular Level I, Vol. 4, p. 434
Study Session 12-45-h
Describe and demonstrate applications of the CAPM and the SML.B is correct. Booraem Inc. is overvalued because it lies below the SML. The expected return, 12.85%, is less than the required return. According to the CAPM, the required return for Booraem Inc. is 0.1365 or 13.65%:
0.1365 = 0.012 + 1.5(0.095 – 0.012).

4、An analyst does research about correlation.The correlation of return betweentwo securities with equal standard deviation is 0.75.If the covarianceof returns in 5.5, the standard deviation of return of one security isclosest to:【单选题】

A.2.7%

B.5.7%

C.7.3%

正确答案:A

答案解析:correlation = covariance/ standard ，得出：0.75 = 5.5/ standard ，故standard deviation = 2.7%.

5、An analyst does research about capital asset pricing model.Which of the followingstatements is most accurate? The security market line (SML) :【单选题】

A.is a graphical representation of the capital asset pricing model that plots expectedreturn versus beta for any security.

B.includes all possible combinations of the risk-free asset and any risky portfolio.

C.includes all possible combinations of the risk-free asset and the market portfolio.

正确答案:A

答案解析:证券市场线（SML）是资本资产定价模型（CAPM）的图形表示，系统性风险用beta表示，该模型通过计算证券的必要收益率，进而进行证券选择。选项B是资本配置线（CAL）的定义，即不同的风险性资产与无风险性资产的组合。选项C是资本市场线（CML）的定义，即不同的市场组合与无风险性资产的组合。