备考FRM考试的过程中,做大量的习题是很有必要的,今天为大家列举相关的错题集解析,希望对备考生有所帮助!

The risk-free rate is 5% and the expected market risk premium is 10%. A portfolio manager is projecting a return of 12%. The portfolio has a beta of 0.7,and the market beta is 1.0. After adjusting for risk, this portfolio is expected to:

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A.equal the performance predicted by the CAPM

B.outperform the CAPM return

C.underperform the CAPM return

D.unable to determine based on the information provided

答案:A

解析:Based on the CAPM, the portfolio should earn: E(R) = 0.05 +0.7(0.10) = 12%.

On a risk adjusted basis, this portfolio lies on the security market line (SML) and thus is earning the proper risk adjusted rate of return.

关联考点:CAPM模型计算

易错点分析:把10%当作市场的收益,又重新减去无风险收益5%,导致zui终组合收益计算错误。

Bob, FRM and Joy, FRM are planning to do a regression analysis. They discuss specifying the stock return equation they wish to estimate. Bob proposes the specification E(Yi |Xi)= B0+(B1)×(X^2). Joy process the specification (Yi |Xi)= B0+(B1^2×Xi). Which, or either, is appropriate when applying linear regression?

A.Neither the specification of Bob nor that of Joy.

B.The specification of Bob but not that of Jay.

C.Both the specification of Bob and Jay.

D.The specification of Jay but not that of Bob.

答案:B

解析:线性回归(不是线性函数) 要求系数是线性的,对变量是否是线性没有要求;也就是说变量可以是线性的,也可以是非线性的。Joy的描述中B1^2不是线性的,所以这个不是线性回归

易错点分析:线性回归(不是线性函数),要求系数是线性的,而不是自变量是线性的。只要系数β是线性的就称为线性回归。这个问题弄错的原因是,大家把“线性回归方程”等价于“线性函数”,两者的概念不一样。

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