CFA 20.4

In the Markowitz framework, risk is defined as the:

Which of the following portfolios falls below the Markowitz efficient frontier? Portfolio, Expected Return, Expected Standard Deviation: A, 12.1%, 8.5%. B, 14.2%, 8.7%. C, 15.1%, 8.7%.

Which of the following statements about the efficient frontier is least accurate?

The efficient frontier is best described as the set of attainable portfolios that gives investors:

Stock A has a standard deviation of 0.5 and Stock B has a standard deviation of 0.3. Stock A and Stock B are perfectly positively correlated. According to Markowitz portfolio theory how much should be invested in each stock to minimize the portfolio's standard deviation?

Which of the following inputs is least likely required for the Markowitz efficient frontier? The:

Which of the following statements best describes an investment that is not on the efficient frontier?

Adding a stock to a portfolio will reduce the risk of the portfolio if the correlation coefficient is less than which of the following?

An investor has identified the following possible portfolios. Which portfolio cannot be on the efficient frontier? Portfolio, Expected Return, Standard Deviation: V, 18%, 35%. W, 12%, 16%. X, 10%, 10%. Y, 14%, 20%. Z, 13%, 24%.

Which one of the following portfolios does not lie on the efficient frontier? Portfolio, Expected Return, Standard Deviation: A, 7, 5. B, 9, 12. C, 11, 10. D, 15, 15.

Which of the following possible portfolios is least likely to lie on the efficient frontier? Portfolio, Expected Return, Standard Deviation: X, 9%, 12%. Y, 11%, 10%. Z, 13%, 15%.

Which of the following portfolios falls below the Markowitz efficient frontier? Portfolio, Expected Return, Expected Standard Deviation: A, 7%, 14%. B, 9%, 26%. C, 15%, 30%. D, 12%, 22%.

Which of the following statements about portfolio theory is least accurate?

Which one of the following statements about correlation is NOT correct?

A portfolio manager adds a new stock that has the same standard deviation of returns as the existing portfolio but has a correlation coefficient with the existing portfolio that is less than +1. Adding this stock will have what effect on the standard deviation of the revised portfolio's returns? The standard deviation will:

As the correlation between the returns of two assets becomes lower, the risk reduction potential becomes:

There are benefits to diversification as long as:

On a graph of risk, measured by standard deviation and expected return, the efficient frontier represents:

Kendra Jackson, CFA, is given the following information on two stocks, Rockaway and Bridgeport. Covariance between the two stocks = 0.0325 Standard Deviation of Rockaway's returns = 0.25 Standard Deviation of Bridgeport's returns = 0.13 Assuming that Jackson must construct a portfolio using only these two stocks, which of the following combinations will result in the minimum variance portfolio?

Stock A has a standard deviation of 4.1% and Stock B has a standard deviation of 5.8%. If the stocks are perfectly positively correlated, which portfolio weights minimize the portfolio's standard deviation? Stock A, Stock B:

Which one of the following portfolios cannot lie on the efficient frontier? Portfolio, Expected Return, Standard Deviation: A, 20%, 35%. B, 11%, 13%. C, 8%, 10%. D, 8%, 9%.

In a two-asset portfolio, reducing the correlation between the two assets moves the efficient frontier in which direction?

A portfolio currently holds Randy Co. and the portfolio manager is thinking of adding either XYZ Co. or Branton Co. to the portfolio. All three stocks offer the same expected return and total risk. The covariance of returns between Randy Co. and XYZ is +0.5 and the covariance between Randy Co. and Branton Co. is -0.5. The portfolio's risk would decrease:

According to the CAPM, a rational investor would be least likely to choose as his optimal portfolio:

Of the six attainable portfolios listed, which portfolios are not on the efficient frontier? Portfolio, Expected Return, Standard Deviation: A, 26%, 28%. B, 23%, 34%. C, 14%, 23%. D, 18%, 14%. E, 11%, 8%. F, 18%, 16%.