2020年CFA考试《CFA二级》考试共题，分为。小编为您整理Portfolio Management (1)5道练习题，附答案解析，供您备考练习。

1、Is Quek’s response to Yusuf most likely correct?【单选题】

A.Yes.

B.No, she is incorrect regarding the number of factors.

C.No, she is incorrect regarding the identity of the factors.

正确答案:B

答案解析:B is correct. Quek is incorrect in stating that APT specifies the number of factors in a multifactor model but is correct in stating that APT does not specify the identity of factors in a multifactor model. APT does not indicate the number of factors or their identity.

2、The scenario analysis that Hamilton prepares for the committee is a valuable tool to supplement VaR because it:【单选题】

A.incorporates historical data to evaluate the risk in the tail of the VaR distribution.

B.

C.

正确答案:C

答案解析:C is correct. A hypothetical scenario analysis allows Hamilton to estimate the direct effect of a ratings downgrade on the portfolio’s government bond holdings and the resulting need to sell a number of the portfolio’s holdings because they no longer meet the ratings guidelines. VaR alone does not accurately reflect the risk of large position sizes, which may be difficult to trade. The hypothetical scenario analysis will also highlight the effect of increased economic turmoil on all of the portfolio’s exposures, not only the government bond exposures.

3、Which one of the following factors is the least likely to affect the individual investor's ability to accept risk?【单选题】

A.Required spending needs.

B.Financial strength. 

C.Behavioral factors.

正确答案:C

答案解析:Specific factors that determine an investor's ability to accept risk include required spending needs, financial strength, and long-term wealth targets. Behavioral factors affect an individual investor's willingness to accept risk.

4、Which of the following is not a key assumption of APT, which is used by Altuve to evaluate strategies and manage risks?【单选题】

A.A factor model describes asset returns.

B.Asset-specific risk can be eliminated through diversification.

C.Arbitrage opportunities exist among well-diversified portfolios.

正确答案:C

答案解析:C is correct. Arbitrage pricing theory (APT) is a framework that explains the expected return of a portfolio in equilibrium as a linear function of the risk of the portfolio with respect to a set of factors capturing systematic risk. A key assumption of APT is that, in equilibrium, there are no arbitrage opportunities.

5、With respect to capital allocation, which lending group listed in Exhibit 1 is least likely attractive?【单选题】

A.Secured

B.Cash Flow

C.Real Estate

正确答案:B

答案解析:B is correct. From a capital allocation perspective, the Cash Flow lending group is least attractive because its 10% rate of return is below the 11% minimum return (hurdle rate) required for the corporate banking division. The hurdle rate is being used as a risk measure since the $3,000 million aggregate amount of economic capital currently being consumed by the three lending groups exceeds the $2,800 million regulatory amount established for corporate banking. The rate of return is calculated as Portfolio return/Economic capital. The calculation for the Cash Flow group is $120 million/$1,200 million = 10%.