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 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。

2、Which of the following is not an assumption of the Markowitz model? Investors:【单选题】

A.have homogeneous expectations.

B.maximize one-period expected utility.

C.base decisions solely on expected return and risk.

正确答案:A

答案解析:“An Introduction to Portfolio Management,” Frank K. Reilly and Keith C. Brown
2010 Modular Level I, Vol. 4, p.241
Study Session 12-50-b
List the assumptions about investor behavior underlying the Markowitz model.
A is correct. This is not an assumption of the Markowitz model, it is an assumption of the Capital Asset Pricing Model (CAPM).

3、A portfolio manager generated a rate of return of 15.5% on a portfolio with beta of 1.2. If the risk-free rate of return is 2.5% and the market return is 11.8%, Jensen’s alpha for the portfolio is closest to:【单选题】

A.1.84%.

B.3.70%.

C.4.34%.

正确答案:A

答案解析:“Portfolio Risk and Return Part II”, Vijay Singal, CFA
2013 Modular Level I, Vol. 4, Reading 44, Section 4.3.2
Study Session 12-44-h
Describe and demonstrate applications of the CAPM and the SML.

4、An analyst does research about beta and gathers the following information aboutan asset and the market portfolio:

The beta of the asset is closest to:【单选题】

A.0.53

B.1.06

C.1.89

正确答案:B

答案解析:代入数据得：
0.75 × 78%/55% = 1.06。

5、A portfolio manager decides to temporarily invest more of a portfolio in equities than the investment policy statement prescribes, because he expects equities will generate a higher return than other asset classes. This decision is most likely an example of:【单选题】

A.rebalancing.

B.tactical asset allocation.

C.strategic asset allocation.

正确答案:B

答案解析:Basics of Portfolio Planning and Construction,” Alistair Byrne, CFA, and Frank E. Smudde, CFA
2011 Modular Level I, Vol. 4, pp. 450, 467, 477
Study Session 12-54-g
Discuss the principles of portfolio construction and the role of asset allocation in relation to the IPS.
B is correct. Tactical asset allocation is the decision to deliberately deviate from the policy exposures to systematic risk factors with the intent to add value based on forecasts of the near-term returns of those asset classes.