2022年CFA考試《CFA二級》考試共240題，均為單選題。很多備考CFA考試的考生可能對于題型不是很清楚，在學習備考時比較茫然，今天幫考網給大家帶來了Portfolio Management (1)5道練習題，附答案解析，我們一起來看看：

1、In replying to Hextall’s recollection of the financial crisis, Klink most likely considered which risk measure?【單選題】

A.VaR

B.Scenario analysis

C.Sensitivity analysis

正確答案:B

答案解析:B is correct. Scenario analysis is used fｏｒestimating how a portfolio might perform under conditions of market stress. Scenario risk measures estimate the portfolio returns that would result from a hypothetical change in markets. Stress tests ａｎｄ　reverse stress tests are closely related to scenario risk measures. In addressing the possibility of direct exposure to extreme, negative events, Klink is describing a reverse stress test in which specific exposures of the portfolio (10 in this example) are identified. A hypothetical stress test (“reverse stress test”) is designed to measure its effect on each of these exposures.A is incorrect. VaR is used to measure the probability of a large loss. One limitation of VaR is its failure to take into account illiquidity.C is incorrect. Sensitivity analysis is used to estimate how gains ａｎｄ　losses in the portfolio change with changes in the underlying risk factors. Fｏｒa short-term investment portfolio consisting entirely of short-duration, high-credit-quality fixed-income securities, there is likely little ｏｒno exposure to market sensitivity risk measures, such as beta, duration, convexity, delta, ａｎｄ　gamma.

2、Stephenson’s return objective ａｎｄ　risk tolerance are most appropriately described as:【單選題】

A.Return Objective: Below average; Risk Tolerance: Above average.

B.Return Objective: Above average; Risk Tolerance: Below average.

C.Return Objective: Above average; Risk Tolerance: Above average.

正確答案:C

答案解析:C is correct.Risk: Stephenson has an above-average risk tolerance based on both his ability ａｎｄ　willingness to assume risk. His large asｓｅｔbase, long time horizon, ample income to cover expenses, ａｎｄ　lack of need fｏｒliquidity ｏｒcash flow indicate an above-average ability to assume risk. His concentration in US small-capitalization stocks ａｎｄ　his desire fｏｒhigh returns indicate substantial willingness to assume risk.Return: Stephenson’s financial circumstances (long time horizon, sizable asｓｅｔbase, ample income, ａｎｄ　low liquidity needs) ａｎｄ　his risk tolerance warrant an above-average total return objective. His expressed desire fｏｒa continued return of 20 percent, however, is unrealistic. Coppa should counsel Stephenson on what level of returns to reasonably expect from the financial markets over long periods of time ａｎｄ　to define an achievable return objective.

3、Stephenson’s time horizon is best characterized as:【單選題】

A.short-term ａｎｄ　single-stage.

B.long-term ａｎｄ　single-stage.

C.long-term ａｎｄ　multistage.

正確答案:C

答案解析:C is correct. Stephenson’s time horizon is long—he is currently only 55 years old. The time horizon consists of two stages: the first stage extends to his retirement in 15 years; the second stage may last fｏｒ20 years ｏｒmore ａｎｄ　extends from retirement until his death.

4、Is Quek’s response to Yusuf most likely correct?【單選題】

A.Yes.

B.No, she is incorrect regarding the number of factors.

C.No, she is incorrect regarding the identity of the factors.

正確答案:B

答案解析:B is correct. Quek is incorrect in stating that APT specifies the number of factors in a multifactｏｒmodel but is correct in stating that APT does not specify the identity of factors in a multifactｏｒmodel. APT does not indicate the number of factors ｏｒtheir identity.A is incorrect. Quek is incorrect in stating that APT specifies the number of factors in a multifactｏｒmodel but correct in stating that APT does not specify the identity of factors in a multifactｏｒmodel. APT does not indicate the number of factors ｏｒtheir identity.C is incorrect. Quek is correct in stating that APT does not specify the identity of factors in a multifactｏｒmodel. APT does not indicate the number of factors ｏｒtheir identity.

5、Is Hextall’s statement regarding the private wealth division likely correct?【單選題】

A.Yes.

B.No, it is incorrect about forward-looking beta.

C.No, it is incorrect about ex ante tracking error.

正確答案:A

答案解析:A is correct. Hextall’s statement is correct. Risk measures fｏｒbanks are typically focused on liquidity, solvency, ａｎｄ　capital sufficiency, whereas risk measures fｏｒtraditional asｓｅｔmanagers are typically focused on investment performance. Ex ante tracking errｏｒcorrectly compares the current portfolio with its benchmark in attempting to measure future potential performance. Forward-looking beta is a current risk measure of a current portfolio ａｎｄ　measures an equity portfolio’s sensitivity to the broad equity market.B is incorrect. Hextall’s statement about forward-looking beta is correct.C is incorrect. Hextall’s statement about ex ante tracking errｏｒis correct.
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