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Question 1

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The Correct Answer is Covariance with all other assets in the portfolio.
When adding a new security to an existing portfolio, the variable that is most important in estimating the new portfolio's standard deviation is the new security's:

Question 2

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The Correct Answer is Estimated returns.
If two securities have the same systematic risk, but plot at different levels above the security market line, the two securities most likely have different:

Question 3

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The Correct Answer is Portfolios that maximize return for a given level of risk.
The efficient frontier is best described as the set of all:

Question 4

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The Correct Answer is Add inflation protection.
Adding a long position in commodities to a traditional portfolio asset mix will most likely:

Question 5

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The Correct Answer is Around the portfolio's expected return.

According to the Markowitz model, portfolio risk is best described as the variability of portfolio returns:

Question 6

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The Correct Answer is Both portfolio performance attribution and identifying sector rotation opportunities.

Industry analysis is used for:

Question 7

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The Correct Answer is Is applicable for bonds with embedded options.

Calculating portfolio duration as the weighted average duration of the underlying bonds:

Question 8

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The Correct Answer is Less than the Sharpe ratio.

A security's mean return is positive and greater than its standard deviation of returns. If the risk-free rate is zero, the coefficient of variation is most likely:

Question 9

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The Correct Answer is 0.53

A portfolio has a mean return of 4.7% and a coefficient of variation of 1.9. If the risk-free rate is zero, the portfolio's Sharpe ratio is closest to:

Question 10

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The Correct Answer is Skewed to the right.

Common stock prices are approximately lognormally distributed. Therefore, it is most likely that conventional (discrete) common stock prices are: