CA Final Portfolio Management — practice questions
25 free MCQs with worked solutions. Tap any question for the answer + explanation, or practice them all in the app.
Practice CA Final Portfolio Management in the app →Systematic risk in portfolio theory is also referred to as:Unsystematic risk in a portfolio context is best described as:Beta of a security in the CAPM framework measures:Markowitz portfolio theory rests primarily on which two parameters?The Sharpe ratio normalises portfolio excess return using:Two assets with expected returns 10% and 16% are held in 40:60 proportions. Portfolio expected return equals:Two assets have σ of 20% and 30% with correlation 0.5; portfolio weights 0.5 each. Portfolio variance is closeIf two stocks have correlation exactly −1, the portfolio standard deviation can theoretically be reduced to:The CAPM equation is best stated as:Stock A: σ_A = 25%, Stock B: σ_B = 15%, correlation 0; weights 50:50. Portfolio standard deviation is closest Treynor ratio differs from Sharpe ratio in that the denominator is:Capital Market Line (CML) is plotted with which axes?Arbitrage Pricing Theory (APT) differs from CAPM in that APT:The Jensen alpha of a portfolio is computed as:Portfolio expected return: 60% in A (E(R)=12%) and 40% in B (E(R)=8%). Calculated E(Rp) is:Portfolio with three securities: weights 0.5, 0.3, 0.2; σ: 20%, 25%, 30%; pairwise correlation 0.2 between eacA security has beta 1.5; risk-free rate 7%; market risk premium 6%. Required return is:Portfolio Sharpe ratio: portfolio return 14%, risk-free 6%, portfolio σ 16%. Sharpe ratio equals:Portfolio of two stocks A and B: w_A 0.6, σ_A 18%, w_B 0.4, σ_B 22%, ρ_AB = 1. Portfolio σ is:If the minimum-variance two-asset portfolio weight in asset A equals (σ_B² − ρ σ_A σ_B)/(σ_A² + σ_B² − 2 ρ σ_AA portfolio holds 50% in market index (β=1, σ=15%) and 50% in T-bills (σ=0). Portfolio standard deviation equaStock A has β=0.8 and Stock B has β=1.4. A portfolio with 40% A and 60% B has portfolio beta of:Using Sharpe's single-index model, total variance of a stock decomposes into:If APT identifies two factors with sensitivities b1 = 0.7 (industrial production, risk premium 4%) and b2 = 0.Treynor ratio: portfolio return 13%, risk-free 5%, beta 1.6. Treynor ratio equals: