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、Risk that can be attributed to factor(s) that impact a company or industry is best described as:【单选题】

A.market risk.

B.systematic risk.

C.unsystematic risk.

正确答案:C

答案解析:“Portfolio Risk and Return Part II,” Vijay Singal
2012 Modular Level I, Vol. 4, pp. 410–411
Study Session 12-45-c
Explain systematic and nonsystematic risk, including why an investor should not expect to receive additional return for bearing nonsystematic risk.
C is correct. Risk that is due to company-specific or industry-specific factors is referred to as unsystematic risk.

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、A portfolio with equal parts invested in a risk-free asset and a risky portfolio will most likely lie on:【单选题】

A.the efficient frontier.

B.the security market line.

C.a capital allocation line.

正确答案:C

答案解析:“Portfolio Risk and Return: Part II”, by Vijay Singal.
2011 Modular Level I, Vol. 4, pp. 392-400
Study Session 12-53-b
Explain and interpret the capital allocation line (CAL) and the capital market line (CML).
C is correct. A capital allocation line shows possible combinations of a risky portfolio and the risk-free asset.

4、For a portfolio consisting of two assets and the correlation coefficient between these two assets is +1.0, it is most likely that portfolio risk is:【单选题】

A.greater than the weighted average of the risk of the two assets in the portfolio.

B.equal to the weighted average of the risk of the two assets in the portfolio.

C.less than the weighted average of the risk of the two assets in the portfolio.

正确答案:B

答案解析:With a correlation coefficient of +1.0, no diversification benefits are obtained and the portfolio risk is equal to the weighted average of the risk of the two assets in the portfolio.
2014 CFA Level I
"Portfolio Risk and Return: Part I," by Vijay Singal
Section 4.1.3

5、The slope of the security market line is best derived from the:【单选题】

A.risk-free rate of return.

B.market risk premium.

C.beta of the security.

正确答案:B

答案解析:The security market line is a graphical representation of the CAPM with beta on the x-axis and expected return on the y-axis. The slope of the line is given by the market risk premium, the difference between the equity market return and the risk-free rate of interest.
2014 CFA Level I
"Portfolio Risk and Return: Part II," by Vijay Singal
Section 4.2