備考FRM考試，考生一定要做大量的真題練習，尤其是近幾年的真題練習。下文是列舉的相關真題，11月考生必看！


Which of the following items is not one of the standard inputs required in the process of constructing an investment portfolio?

A) Alphas.

B) Betas.

C) Transaction costs.

D) Active risk aversion.

答案：B

解析：Alpha refers to the excess return of each asset – the input is subject to error and bias and as a result is sometimes unreasonable. Transaction costs are an important input for portfolio construction but they also contain a degree of uncertainty. Transaction costs must be amortized over the investment horizon in order to determine the optimal portfolio adjustments. Active risk aversion must be consistent with the specified target active risk level. Active risk is another name for tracking error, which is the standard deviation of active return.

Aportfolio manager produced an alpha of 2.5% based on monthly returns over a 6 year period. Under the assumption of a normal distribution, the portfolio manager claims that the probability of observing such a large alpha by chance is only 1%. To test her claim, one would use a t-test using which level of confidence?

A) 97%.

B) 95%.

C) 90%.

D) 99%.

答案：D

解析：Confidence level = 1 - significance level = 1-0.01 = 99% This means that we are 99% confident that superior performance was not due to chance.

Aportfolio manager produced an alpha of 5% based on monthly returns over a 10 year period. Under the assumption of a normal distribution, the portfolio manager claims that the probability of observing such a large alpha by chance is only 5%. To test her claim, one would use a t-test using which level of confidence?

A) 90%.

B) 95%.

C) 98%.

D) 99%.

答案：B

解析：Confidence level = 1- significance level = 1-0.05 = 95% This means that we are 95% confident that superior performance was not due to chance.