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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.

關(guān)聯(lián)考點：CAPM模型計算

易錯點分析：把10%當(dāng)作市場的收益，又重新減去無風(fēng)險收益5%，導(dǎo)致zui終組合收益計算錯誤。

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：線性回歸(不是線性函數(shù)) 要求系數(shù)是線性的，對變量是否是線性沒有要求；也就是說變量可以是線性的，也可以是非線性的。Joy的描述中B1^2不是線性的，所以這個不是線性回歸

易錯點分析：線性回歸(不是線性函數(shù))，要求系數(shù)是線性的，而不是自變量是線性的。只要系數(shù)β是線性的就稱為線性回歸。這個問題弄錯的原因是，大家把“線性回歸方程”等價于“線性函數(shù)”,兩者的概念不一樣。

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