備考CFA考試中做過定量的CFA考試計算題嗎？

在備考中CFA一級考試更多的是考定性問題，但是很少考定量問題，但是在CFA考試中還是有的，那你在備考CFA考試中做過定量的CFA考試計算題嗎？如果沒有跟著小編一起看看吧！

1、The correlation between the historical returns of Stock A and Stock B is 0.75. If the variance of Stock A is 0.16 and the variance of Stock B is 0.09, the covariance of returns of Stock A and Stock B is closest to:

A. 0.01.

B. 0.09.

C. 0.16.

答案：B

解析：Cov（A,B） = ρABσAσB = 0.75 × 0.4 × 0.3 = 0.09

2、An investor‘s transactions in a mutual fund and the fund’s returns over a four-year period are provided in the following table:

Based on this data, the money-weighted return（or internal rate of return） for the investor is closest to:

A. 2.15%.

B. 7.50%.

C. 3.96%.

答案：C

解析：CF0 = ?2,500，CF1 = ?1,500 ，CF2 = ?500，CF3 = 500，CF4 = 4,626.88

通過財務計算器[CF]功能鍵，CPTi= 3.96%

3、A portfolio contains equal weights of two securities having the same standard deviation.If the correlation between the returns of the two securities was to decrease, the portfolio risk would most likely:

A. increase.

B. remain the same.

C. decrease.

答案：C

解析：從組合標準差計算σp=w12σ12 +w22σ22+2w1w2Cov（R1 ,R2），可以看出兩證券之間的相關性減少，Cov（R1 ,R2）減小，組合的標準差減小，對應風險降低。