备考CFA考试，一定要多刷题，多练习。2021年CFA考试《CFA一级》考试共240题，以下是帮考网为您准备的练习题，附答案解析，供您备考练习。

1、Assuming no short selling, diversification benefit is most likely to occur when the correlations among the securities contained in the portfolio are:【单选题】

A.equal to positive one.

B.less than positive one.

C.greater than positive one.

正确答案:B

答案解析:“Probability Concepts,” Richard A. Defusco, CFA, Dennis W. McLeavey, CFA, Jerald E. Pinto, CFA, ａｎｄ David E. Runkle, CFA2011 Modular Level I, Vol. 1, p. 463Study Session 2-8-kCalculate ａｎｄ interpret covariance ａｎｄ correlation.Diversification benefit requires correlations less than positive one.When we do not reject a false null hypothesis we have a Type II error.

2、An analyst does research about hypothesis testing ａｎｄ conducts a significancetest to determine if the relationship between two variables is real ｏｒthe result ofchance.His null hypothesis is that the population correlation coefficient is equalto zero ａｎｄ his alternative hypothesis is that the population correlation coefficientis different from zero.He develops the following information:The analyst conducts a:【单选题】

A.one-tailed test ａｎｄ can reject his null hypothesis.

B.two-tailed test ａｎｄ can reject his null hypothesis.

C.two-tailed test ａｎｄ can not reject his null hypothesis.

正确答案:C

答案解析:根据5%的显著性水平是1.96的临界值，1%的显著性水平是2.58的临界值，可知是双边检验，1.7081小于1.96，没有落在拒绝域，说明无论在5%的显著性水平还是1%的显著性水平下，都无法拒绝原假设。

3、An analyst does research about bank discount yield ａｎｄ gathers the following informationabout a U.S Treasury bill:The present value of the U.S Treasury bill is closest to:【单选题】

A.$ 99 324

B.$ 99 432

C.$ 99 439

正确答案:B

答案解析:假设该国库券的价格为P，则[(100 000 - p)/100 000] × 360/330 =0.62%，得出P =99 432。

4、An investｏｒwants to maximize the possibility of earning at least 5% on her investments each year. Using Roy’s safety-first criterion, which of the following portfolios is the most appropriate choice?【单选题】

A.Portfolio 1

B.Portfolio 2

C.Portfolio 3

正确答案:B

答案解析:“Common Probability Distributions,” Richard A. DeFusco, CFA, Dennis W. McLeavey, CFA, Jerald E. Pinto, CFA, ａｎｄ David E. Runkle, CFA2013 Modular Level I, Vol. 1, Reading 9, Section 3.3, Example 9Study Session 3-9-nDefine shortfall risk, calculate the safety-first ratio, ａｎｄ ｓｅｌｅｃｔan optimal portfolio using Roy’s safety-first criterion.B is correct. The portfolio with the highest SFRatio is preferred. The SFRatio is calculated by subtracting the target return from the expected return ａｎｄ dividing by the standard deviation.Portfolio 1= 0.35Portfolio 2= 0.64Portfolio 3 (22 – 5)/40 = 0.43B has the highest SFRatio, so it is the most appropriate choice.

5、An analyst gathers the following information about the performance of a portfolio ($ millions):The portfolio’s annual time-weighted rate of return is closest to:【单选题】

A.8%.

B.27%.

C.32%.

正确答案:C

答案解析:The time-weighted rate of return is calculated by computing the quarterly holding period returns ａｎｄ linking those returns into an annual return as follows:The time-weighted return (TWR) is found as follows:2014 CFA Level I“Discounted Cash Flow Applications,” by Richard A. DeFusco, Dennis W. McLeavey, Jerald E. Pinto, ａｎｄ David E. RunkleSections 3 ａｎｄ 3.2

希望以上练习题对您的复习有所帮助，帮考网祝您考试成功!