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cfa词汇CFA（Chartered Financial Analyst）是全球公认的金融计算机分析师资格认证，在金融界享有很高声誉。
CFA认证课程分3级，涵盖了三大基本核心领域：投资工具、投资价值、投资组合和风险管理。
这里将介绍一些CFA代表性词汇。
1. Equity（股票）2. Bond（债券）债券是一种债务工具，发行人以借贷的形式向投资者筹集资金。
债券有定期支付的利息和到期时返还本金的义务。
CFA课程将教授如何进行固定收益证券分析和债券投资分析。
3. Derivatives（衍生品）衍生品是一种从其他资产价值中衍生出来的金融工具，如期货、期权、掉期和互换等。
CFA课程中会详细讲解衍生品的种类、市场和投资策略。
4. Portfolio Management（投资组合管理）投资组合管理是一个将多种资产混合组成的投资组合，以实现长期财务目标、控制风险和最大化收益。
CFA课程的最终目标是培养合格的投资组合管理人才。
5. Risk Management（风险管理）风险管理是通过识别和评估不同形式的风险，制定合适的决策应对未来可能的损失和威胁。
CFA课程中将强调风险管理的重要性，并教授风险的类型和评估方法。
6. Valuation（估值）估值是通过分析一个公司或项目的财务和经济数据，评估其真实价值和潜在投资机会。
CFA课程将重点讲解公司估值和资产估值，包括估值方法、评估指标和估值工具的使用。
7. Ethics（道德）道德是金融行业中的重要问题，涉及到投资人和企业之间的责任、诚信和公正。
CFA课程将着重培养学员对道德和职业操守的重视和尊重，在实践工作中遵循道德原则。
以上是CFA课程中的一些代表性词汇，这些术语涉及到金融行业中的核心领域。
对于CFA认证的考生来说，熟悉这些词汇不仅对于通过考试有帮助，也会对于未来在金融领域的职业发展有所助益。
11.Financial assets represent _____ of total assets of U.S. households.A. over 60%B. over 90%C. under 10%D. about 30%2.Real assets in the economy include all but which one of the following?A. LandB. BuildingsC. Consumer durablesD. Common stock worth represents _____ of the liabilities and net worth of commercial banks.A. about 50%B. about 90%C. about 10%D. about 30%4.According to the Flow of Funds Accounts of the United States, the largest single asset of U.S. householdsis ___.A. mutual fund sharesB. real estateC. pension reservesD. corporate equity5.According to the Flow of Funds Accounts of the United States, the largest liability of U.S. households is________.A. mortgagesB. consumer creditC. bank loansD. gambling debts6.____ is not a derivative security.A. A share of common stockB. A call optionC. A futures contractD. All of the above are derivative securities.7.According to the Flow of Funds Accounts of the United States, the largest financial asset of U.S.households is ____.A. mutual fund sharesB. corporate equityC. pension reservesD. personal trusts8.Active trading in markets and competition among securities analysts helps ensure that __________.I. security prices approach informational efficiencyII. riskier securities are priced to offer higher potential returnsIII. investors are unlikely to be able to consistently find under- or overvalued securitiesA. I onlyB. I and II onlyC. II and III onlyD. I, II and III9.The material wealth of society is determined by the economy's _________, which is a function of theeconomy's _________.A. investment bankers, financial assetsB. investment bankers, real assetsC. productive capacity, financial assetsD. productive capacity, real assets10.Which of the following is not a money market security?A. U.S. Treasury billB. Six month maturity certificate of depositC. Common stockD. Banker's acceptance11.__________ assets generate net income to the economy and __________ assets define allocation of incomeamong investors.A. Financial, financialB. Financial, realC. Real, financialD. Real, real12.Which of the following are financial assets?I. Debt securitiesII. Equity securitiesIII. Derivative securitiesA. I onlyB. I and II onlyC. II and III onlyD. I, II and III13.__________ are examples of financial intermediaries.A. Commercial banksB. Insurance companiesC. Investment companiesD. All of the above are financial intermediaries14.Asset allocation refers to the _________.A. allocation of the investment portfolio across broad asset classesB. analysis of the value of securitiesC. choice of specific assets within each asset classD. none of the answers define asset allocation15.Which one of the following best describes the purpose of derivatives markets?A. Transferring risk from one party to anotherB. Investing for a short time period to earn a small rate of returnC. Investing for retirementD. Earning interest income16.__________ was the first to introduce mortgage pass-through securities.A. Chase ManhattanB. CiticorpC. FNMAD. GNMA17.Security selection refers to the ________.A. allocation of the investment portfolio across broad asset classesB. analysis of the value of securitiesC. choice of specific securities within each asset classD. top down method of investing18._____ is an example of an agency problem.A. Managers engage in empire buildingB. Managers protect their jobs by avoiding risky projectsC. Managers over consume luxuries such as corporate jetsD. All of the answers provide examples of agency problems19._____ is a mechanism to mitigate potential agency problems.A. Tying income of managers to success of the firmB. Directors defending top managementC. Anti takeover strategiesD. Straight voting method of electing the board of directors20.__________ are real assets.A. BondsB. Production equipmentC. StocksD. Commercial paper21.__________ portfolio construction starts with selecting attractively priced securities.A. Bottom-upB. Top-downC. Upside-downD. Side-to-side22.In a capitalist system capital resources are primarily allocated by ____________.A. governmentsB. the SECC. financial marketsD. investment bankers23. A __________ represents an ownership share in a corporation.A. call optionB. common stockC. fixed-income securityD. preferred stock24.The value of a derivative security _________.A. depends on the value of other related securityB. affects the value of a related securityC. is unrelated to the value of a related securityD. can only be integrated by calculus professors25. A bond issue is broken up so that some investors will receive interest payments while others will receiveprincipal payments. This is an example of _________.A. bundlingB. credit enhancementC. securitizationD. unbundling26.__________ portfolio management calls for holding diversified portfolios without spending effort orresources attempting to improve investment performance through security analysis.A. ActiveB. MomentumC. PassiveD. Market timing27.Financial markets allow for all but which one of the following?A. Shift consumption through time from higher income periods to lowerB. Price securities according to their riskinessC. Channel funds from lenders of funds to borrowers of fundsD. Allow most participants to routinely earn high returns with low risk28.Financial intermediaries exist because small investors cannot efficiently _________.A. diversify their portfoliosB. gather informationC. monitor their portfoliosD. all of the answers provide reasons why29.Methods to encourage managers to act in shareholders' best interest includeI. Threat of takeoverII. Proxy fights for control of the Board of DirectorsIII. Tying managers' compensation to stock price performanceA. I onlyB. I and II onlyC. II and III onlyD. I, II and III30.Firms that specialize in helping companies raise capital by selling securities to the public are called_________.A. pension fundsB. investment banksC. savings banksD. REITs31.In securities markets, there should be a risk-return trade-off with higher-risk assets having _________expected returns than lower-risk assets.A. higherB. lowerC. the sameD. Can't tell from the information given32.__________ are an indirect way U.S. investors can invest in foreign companies.A. ADRsB. IRAsC. SDRsD. CPCs33.Security selection refers to _________.A. choosing specific securities within each asset-classB. deciding how much to invest in each asset-classC. deciding how much to invest in the market portfolio versus the riskless assetD. deciding how much to hedge34.An example of a derivative security is _________.A. a common share of General MotorsB. a call option on Intel stockC. a Ford bondD. a U.S. Treasury bond35.__________ portfolio construction starts with asset allocation.A. Bottom-upB. Top-downC. Upside-downD. Side-to-side36.Which one of the following firms falsely claimed to have a $4.8 billion bank account at Bank of Americaand vastly understated its debts, eventually resulting in the firm's bankruptcy?A. WorldComB. EnronC. ParmalatD. Global Crossing37.Debt securities promise _________.I. a fixed stream of incomeII. a stream of income that is determined according to a specific formulaIII. a share in the profits of the issuing entityA. I onlyB. I or II onlyC. I and III onlyD. II or III only38.The Sarbanes-Oxley Act tightened corporate governance rules by requiring all but which one of thefollowing?A. Required corporations to have more independent directorsB. Required the CFO to personally vouch for the corporation's financial statementsC. Required that firms could no longer employ investment bankers to sell securities to the publicD. The creation of a new board to oversee the auditing of public companies39.The success of common stock investments depends on the success of _________.A. derivative securitiesB. fixed income securitiesC. the firm and its real assetsD. government methods of allocating capital40.The historical average rate of return on the large company stocks since 1926 has beenA. 5%B. 8%C. 12%D. 20%41.The average rate of return on U.S. Treasury bills since 1926 was _________.A. 0.5%B. 2.4%C. 3.8%D. 6.0%42.An example of a real asset is _________.I. a college educationII. customer goodwillIII. a patentA. I onlyB. II onlyC. I and III onlyD. I, II and III43.The 2002 law designed to improve corporate governance is titled theA. Pension Reform ActB. ERISAC. Financial Services Modernization ActD. Sarbanes-Oxley Act44.Which of the following is not a financial intermediary?A. a mutual fundB. an insurance companyC. a real estate brokerage firmD. a savings and loan company45.The combined liabilities of American households represent approximately __________ percent ofcombined assets.A. 11%B. 21%C. 25%D. 33%46.In 2008 real assets represented approximately __________ percent of the total asset holdings of Americanhouseholds.A. 37%B. 42%C. 48%D. 55%47.In 2008 mortgages represented approximately __________ percent of total liabilities and net worth ofAmerican households.A. 12%B. 15%C. 28%D. 42%48.Liabilities equal approximately _____ of total assets for nonfinancial U.S. businesses.A. 10%B. 25%C. 44%D. 75%49.Which of the following is not an example of a financial intermediary?A. Goldman SachsB. Allstate InsuranceC. First Interstate BankD. IBM50.Real assets represent about ____ of total assets for financial institutions.A. 1%B. 15%C. 25%D. 40%51.Money Market securities are characterized by ________.I. maturity less than one yearII. safety of the principal investmentIII. low rates of returnA. I onlyB. I and II onlyC. I and III onlyD. I, II and III52.After much investigation an investor finds that Intel stock is currently under priced. This is an example of______.A. asset allocationB. security analysisC. top down portfolio managementD. passive management53.After considering current market conditions an investor decides to place 60% of their funds in equities andthe rest in bonds. This is an example ofA. asset allocationB. security analysisC. top down portfolio managementD. passive management54.Suppose an investor is considering one of two investments which are identical in all respects except forrisk. If the investor anticipates a fair return for the risk of the security they invest in they can expect toA. earn no more than the Treasury bill rate on either securityB. pay less for the security that has higher riskC. pay less for the security that has lower riskD. earn more if interest rates are lower55.The efficient markets hypothesis suggests that _______.A. active portfolio management strategies are the most appropriate investment strategiesB. passive portfolio management strategies are the most appropriate investment strategiesC. either active or passive strategies may be appropriate, depending on the expected direction of the marketD. a bottom up approach is the most appropriate investment strategy56.In a perfectly efficient market the best investment strategy is probably a/anA. active strategyB. passive strategyC. asset allocationD. market timing57.An important trend that has changed the contemporary investment market is _________.A. financial engineeringB. globalizationC. securitizationD. all three of the other answers58.Securitization refers to the creation of new securities by _________.A. selling individual cash flows of a security or loanB. repackaging individual cash flows of a security or loan into a new payment patternC. taking an illiquid asset and converting it into a marketable securityD. selling financial services overseas as well as in the U.S.59.Brady bonds were an example of _________.A. securitizationB. mortgagizationC. bundlingD. pass through securities60.Individuals may find it more advantageous to purchase claims from a financial intermediary rather thandirectly purchasing claims in capital markets becauseI. intermediaries are better diversified than most individualsII. intermediaries can exploit economies of scale in investing that individual investors cannotIII. intermediated investments usually offer higher rates of return than direct capital market claimsA. I onlyB. I and II onlyC. II and III onlyD. I, II and III61.Surf City Software Company develops new surf forecasting software. It sells the software to Microsoft inexchange for 1000 shares of Microsoft common stock. Surf City Software has exchanged a _____ asset fora _____ asset in this transaction.A. real, realB. financial, financialC. real, financialD. financial, real62.Stone Harbor Products takes out a bank loan. It receives $100,000 and signs a promissory note to pay backthe loan over 5 years.A. A new financial asset was created in this transaction.B. A financial asset was traded for a real asset in this transaction.C. A financial asset was destroyed in this transaction.D. A real asset was created in this transaction.63.Which of the following firms was not engaged in a major accounting scandal between 2000 and 2005?A. General ElectricB. ParmalatC. EnronD. WorldCom64.Accounting scandals can often be attributed to a particular concept in the study of finance known as theA. agency problemB. risk - return trade - offC. allocation of riskD. securitization65.An intermediary that pools and manage funds for many investors is called a/an ______.A. investment companyB. savings and loanC. investment bankerD. ADR66.Financial institutions that specialize in assisting corporations in primary market transactions are called_______.A. mutual fundsB. investment bankersC. pension fundsD. globalization specialists67.WEBS allow investors to _______.A. invest in U.S. mortgage backed securitiesB. invest in an individual foreign stockC. invest in a portfolio of foreign stocksD. avoid any exposure to foreign exchange risk68.In 2008 the largest corporate bankruptcy in the U.S. history involved the investment banking firm of______.A. Goldman SachsB. Lehman BrothersC. Morgan StanleyD. Merrill Lynch69.The inability of shareholders to influence the decisions of managers, despite overwhelming shareholdersupport, is a breakdown in what process or mechanism?A. AuditingB. Public financeC. Corporate governanceD. Public reporting70.Real assets are ______.A. are assets used to produce goods and servicesB. always the same as financial assetsC. always equal to liabilitiesD. claims on company's income71. A major cause of mortgage market meltdown in 2007 and 2008 was linked to ________.A. globalizationB. securitizationC. negative analyst recommendationsD. online trading72.In recent years the greatest dollar amount of securitization occurred for which type loan?A. Home mortgagesB. Credit card debtC. Automobile loansD. Equipment leasing73.The process of securitizing poor quality bank loans made to developing nations resulted in the creation of__________.A. Pass-throughsB. Brady bondsC. WEBSD. FHLMC participation certificates74.U.S. Treasury bonds pay interest every six months and repay the principal at maturity. The U.S.Treasury routinely sells individual interest payments on these bonds to investors. This is an example of ___________.A. unbundlingB. bundlingC. securitizationD. security selection75.An investment advisor has decided to purchase gold, real estate, stocks, and bonds in equal amounts. Thisdecision reflects which part of the investment process?A. Asset allocationB. Investment analysisC. Portfolio analysisD. Security selection1 Key1.Financial assets represent _____ of total assets of U.S. households.A. over 60%B. over 90%C. under 10%D. about 30%Bodie - Chapter 01 #1Difficulty: Easy2.Real assets in the economy include all but which one of the following?A. LandB. BuildingsC. Consumer durablesD. Common stockBodie - Chapter 01 #2Difficulty: Easy worth represents _____ of the liabilities and net worth of commercial banks.A. about 50%B. about 90%C. about 10%D. about 30%Bodie - Chapter 01 #3Difficulty: Medium 4.According to the Flow of Funds Accounts of the United States, the largest single asset of U.S.households is ___.A. mutual fund sharesB. real estateC. pension reservesD. corporate equityBodie - Chapter 01 #4Difficulty: Medium 5.According to the Flow of Funds Accounts of the United States, the largest liability of U.S. households is________.A. mortgagesB. consumer creditC. bank loansD. gambling debtsBodie - Chapter 01 #5Difficulty: Medium6.____ is not a derivative security.A. A share of common stockB. A call optionC. A futures contractD. All of the above are derivative securities.Bodie - Chapter 01 #6Difficulty: Easy 7.According to the Flow of Funds Accounts of the United States, the largest financial asset of U.S.households is ____.A. mutual fund sharesB. corporate equityC. pension reservesD. personal trustsBodie - Chapter 01 #7Difficulty: Medium8.Active trading in markets and competition among securities analysts helps ensure that __________.I. security prices approach informational efficiencyII. riskier securities are priced to offer higher potential returnsIII. investors are unlikely to be able to consistently find under- or overvalued securitiesA. I onlyB. I and II onlyC. II and III onlyD. I, II and IIIBodie - Chapter 01 #8Difficulty: Hard 9.The material wealth of society is determined by the economy's _________, which is a function of theeconomy's _________.A. investment bankers, financial assetsB. investment bankers, real assetsC. productive capacity, financial assetsD. productive capacity, real assetsBodie - Chapter 01 #9Difficulty: Medium10.Which of the following is not a money market security?A. U.S. Treasury billB. Six month maturity certificate of depositC. Common stockD. Banker's acceptanceBodie - Chapter 01 #10Difficulty: Medium11.__________ assets generate net income to the economy and __________ assets define allocation ofincome among investors.A. Financial, financialB. Financial, realC. Real, financialD. Real, realBodie - Chapter 01 #11Difficulty: Medium12.Which of the following are financial assets?I. Debt securitiesII. Equity securitiesIII. Derivative securitiesA. I onlyB. I and II onlyC. II and III onlyD.I, II and IIIBodie - Chapter 01 #12Difficulty: Hard13.__________ are examples of financial intermediaries.A. Commercial banksB. Insurance companiesC. Investment companiesD. All of the above are financial intermediariesBodie - Chapter 01 #13Difficulty: Easy14.Asset allocation refers to the _________.A.allocation of the investment portfolio across broad asset classesB. analysis of the value of securitiesC. choice of specific assets within each asset classD. none of the answers define asset allocationBodie - Chapter 01 #14Difficulty: Easy15.Which one of the following best describes the purpose of derivatives markets?A.Transferring risk from one party to anotherB. Investing for a short time period to earn a small rate of returnC. Investing for retirementD. Earning interest incomeBodie - Chapter 01 #15Difficulty: Medium16.__________ was the first to introduce mortgage pass-through securities.A. Chase ManhattanB. CiticorpC. FNMAD. GNMABodie - Chapter 01 #16Difficulty: Easy17.Security selection refers to the ________.A. allocation of the investment portfolio across broad asset classesB. analysis of the value of securitiesC.choice of specific securities within each asset classD. top down method of investingBodie - Chapter 01 #17Difficulty: Medium18._____ is an example of an agency problem.A. Managers engage in empire buildingB. Managers protect their jobs by avoiding risky projectsC. Managers over consume luxuries such as corporate jetsD. All of the answers provide examples of agency problemsBodie - Chapter 01 #18Difficulty: Easy19._____ is a mechanism to mitigate potential agency problems.A. Tying income of managers to success of the firmB. Directors defending top managementC. Anti takeover strategiesD. Straight voting method of electing the board of directorsBodie - Chapter 01 #19Difficulty: Hard20.__________ are real assets.A. BondsB. Production equipmentC. StocksD. Commercial paperBodie - Chapter 01 #20Difficulty: Easy21.__________ portfolio construction starts with selecting attractively priced securities.A. Bottom-upB. Top-downC. Upside-downD. Side-to-sideBodie - Chapter 01 #21Difficulty: Easy22.In a capitalist system capital resources are primarily allocated by ____________.A. governmentsB. the SECC. financial marketsD. investment bankersBodie - Chapter 01 #22Difficulty: Easy23. A __________ represents an ownership share in a corporation.A. call optionmon stockC. fixed-income securityD. preferred stockBodie - Chapter 01 #23Difficulty: Easy24.The value of a derivative security _________.A.depends on the value of other related securityB. affects the value of a related securityC. is unrelated to the value of a related securityD. can only be integrated by calculus professorsBodie - Chapter 01 #24Difficulty: Easy 25. A bond issue is broken up so that some investors will receive interest payments while others willreceive principal payments. This is an example of _________.A. bundlingB. credit enhancementC. securitizationD.unbundlingBodie - Chapter 01 #25Difficulty: Easy 26.__________ portfolio management calls for holding diversified portfolios without spending effort orresources attempting to improve investment performance through security analysis.A. ActiveB. MomentumC.PassiveD. Market timingBodie - Chapter 01 #26Difficulty: Easy27.Financial markets allow for all but which one of the following?A. Shift consumption through time from higher income periods to lowerB. Price securities according to their riskinessC. Channel funds from lenders of funds to borrowers of fundsD. Allow most participants to routinely earn high returns with low riskBodie - Chapter 01 #27Difficulty: Moderate28.Financial intermediaries exist because small investors cannot efficiently _________.A. diversify their portfoliosB. gather informationC. monitor their portfoliosD. all of the answers provide reasons whyBodie - Chapter 01 #28Difficulty: Easy29.Methods to encourage managers to act in shareholders' best interest includeI. Threat of takeoverII. Proxy fights for control of the Board of DirectorsIII. Tying managers' compensation to stock price performanceA. I onlyB. I and II onlyC. II and III onlyD. I, II and IIIBodie - Chapter 01 #29Difficulty: Easy 30.Firms that specialize in helping companies raise capital by selling securities to the public are called_________.A. pension fundsB.investment banksC. savings banksD. REITsBodie - Chapter 01 #30Difficulty: Easy 31.In securities markets, there should be a risk-return trade-off with higher-risk assets having _________expected returns than lower-risk assets.A. higherB. lowerC. the sameD. Can't tell from the information givenBodie - Chapter 01 #31Difficulty: Easy32.__________ are an indirect way U.S. investors can invest in foreign companies.A. ADRsB. IRAsC. SDRsD. CPCsBodie - Chapter 01 #32Difficulty: Easy33.Security selection refers to _________.A. choosing specific securities within each asset-classB. deciding how much to invest in each asset-classC. deciding how much to invest in the market portfolio versus the riskless assetD. deciding how much to hedgeBodie - Chapter 01 #33Difficulty: Easy34.An example of a derivative security is _________.A. a common share of General MotorsB. a call option on Intel stockC. a Ford bondD. a U.S. Treasury bondBodie - Chapter 01 #34Difficulty: Easy35.__________ portfolio construction starts with asset allocation.A. Bottom-upB. Top-downC. Upside-downD. Side-to-sideBodie - Chapter 01 #35Difficulty: Easy 36.Which one of the following firms falsely claimed to have a $4.8 billion bank account at Bank ofAmerica and vastly understated its debts, eventually resulting in the firm's bankruptcy?A. WorldComB. EnronC. ParmalatD. Global CrossingBodie - Chapter 01 #36Difficulty: Medium37.Debt securities promise _________.I. a fixed stream of incomeII. a stream of income that is determined according to a specific formulaIII. a share in the profits of the issuing entityA. I onlyB.I or II onlyC. I and III onlyD. II or III onlyBodie - Chapter 01 #37Difficulty: Medium 38.The Sarbanes-Oxley Act tightened corporate governance rules by requiring all but which one of thefollowing?A. Required corporations to have more independent directorsB. Required the CFO to personally vouch for the corporation's financial statementsC. Required that firms could no longer employ investment bankers to sell securities to the publicD. The creation of a new board to oversee the auditing of public companiesBodie - Chapter 01 #38Difficulty: Medium39.The success of common stock investments depends on the success of _________.A. derivative securitiesB. fixed income securitiesC. the firm and its real assetsD. government methods of allocating capitalBodie - Chapter 01 #39Difficulty: Easy40.The historical average rate of return on the large company stocks since 1926 has beenA. 5%B. 8%C.12%D. 20%Bodie - Chapter 01 #40Difficulty: Medium41.The average rate of return on U.S. Treasury bills since 1926 was _________.A. 0.5%B. 2.4%C. 3.8%D. 6.0%Bodie - Chapter 01 #41Difficulty: Medium42.An example of a real asset is _________.I. a college educationII. customer goodwillIII. a patentA. I onlyB. II onlyC. I and III onlyD. I, II and IIIBodie - Chapter 01 #42Difficulty: Medium43.The 2002 law designed to improve corporate governance is titled theA. Pension Reform ActB. ERISAC. Financial Services Modernization ActD. Sarbanes-Oxley ActBodie - Chapter 01 #43Difficulty: Easy44.Which of the following is not a financial intermediary?A. a mutual fundB. an insurance companyC. a real estate brokerage firmD. a savings and loan companyBodie - Chapter 01 #44Difficulty: Medium 45.The combined liabilities of American households represent approximately __________ percent ofcombined assets.A. 11%B.21%C. 25%D. 33%Bodie - Chapter 01 #45Difficulty: Medium 46.In 2008 real assets represented approximately __________ percent of the total asset holdings ofAmerican households.A. 37%B. 42%C. 48%D. 55%Bodie - Chapter 01 #46Difficulty: Medium。
Portfolio Management: An OverviewOne measure of the benefits of diversification is the diversification ratio. It is calculated as the ratio of the risk of an equally weighted portfolio of n securities (measured by its standard deviation of returns) to the risk of a single security selected at random from the n securities.例子：If the average standard deviation of returns for the n stocks is 25%, and the standard deviation of returns for an equally weighted portfolio of the n stocks is 18%, the diversification ratio is 18 / 25 = 0.72.Foundations and endowments typically have long investment horizons, high risk tolerance, and, aside from their planned spending needs, little need for additional liquidity.Banks seek to keep risk low and need adequate liquidity to meet investor withdrawals as they occur.Insurance companies invest customer premiums with the objective of funding customer claims as they occur. Life insurance companies have a relatively long-term investment horizon, while property and casualty财产和意外保险(P&C) insurers have a shorter investment horizon because claims are expected to arise sooner than for life insurers.Sovereign wealth funds refer to pools of assets owned by a government.A defined contribution pension plan is a retirement plan in which the firm contributes a sum each period to the employee’s retirement account.In a defined benefit pension plan, the firm promises to make periodic payments to employees after retirement.There are three major steps in the portfolio management process:Step 1: The planning step begins with an analysis of the investor’s risk tolerance, return objectives, time horizon, tax exposure, liquidity needs, income needs, and any unique circumstances or investor preferences.This analysis results in an investment policy statement (IPS)that details the investor’s investment objectives and constraints.Step 2: The execution step involves an analysis of the risk and return characteristics of various asset classes to determine how funds will be allocated to the various asset types.in what is referred to as a top-down analysis, a portfolio manager will examine current economic conditions and forecasts of such macroeconomic variables as GDP growth, inflation, and interest rates, in order to identify the asset classes that are most attractive.Step 3: The feedback step is the final step. Over time, investor circumstances will change, risk and return characteristics of asset classes will change, and the actual weights of the assets in the portfolio will change with asset prices.Mutual funds are one form of pooled investments (i.e., a single portfolio that contains investment funds frommultiple investors). Each investor owns shares representing ownership of a portion of the overall portfolio. The total net value of the assets in the fund (pool) divided by the number of such shares issued is referred to as the net asset value (NA V) of each share.With an open-end fund, investors can buy newly issued shares at the NA V. Newly invested cash is invested by the mutual fund managers in additional portfolio securities. Investors can redeem their shares (sell them back to the fund) at NA V as well. All mutual funds charge a fee for the ongoing management of the portfolio assets, which is expressed as a percentage of the net asset value of the fund. No-load funds免佣基金do not charge additional fees for purchasing shares (up-front fees) or for redeeming shares (redemption fees). Load funds charge either up-front fees, redemption fees, or both.Closed-end funds are professionally managed pools of investor money that do not take new investments into the fund or redeem investor shares. The shares of a closed-end fund trade like equity shares (on exchanges or over-the-counter). As with open-end funds, the portfolio management firm charges ongoing management fees.T ypes of Mutual Funds：Money market funds invest in short-term debt securities and provide interest income with very low risk of changes in share value.Bond mutual funds invest in fixed-income securities. They are differentiated by bond maturities, credit ratings, issuers, and types.A great variety of stock mutual funds are available to investors. Index funds are passively managed; that is, the portfolio is constructed to match the performance of a particular index, such as the Standard & Poor’s 500 Index. Actively managed funds refer to funds where the management selects individual securities with the goal of producing returns greater than those of their benchmark indexes.Other Forms of Pooled Investments：Exchange-traded funds (ETFs) are similar to closed-end funds in that purchases and sales are made in the market rather than with the fund itself.【相同之处】【ETFs和close end fund不同之处】While closed-end funds are often actively managed, ETFs are most often invested to match a particular index (passively managed). With closed-end funds, the market price of shares can differ significantly from their NA V due to imbalances between investor supply and demand for shares at any point in time. Special redemption provisions for ETFs are designed to keep their market prices very close to their NA Vs.【ETFs和open end fund不同之处】ETFs can be sold short, purchased on margin, and traded at intraday盘中交易价prices, whereas open-end funds are typically sold and redeemed only daily, based on the share NA V calculated with closing asset prices.Investors in ETFs must pay brokerage commissions when they trade, and there is a spread between the bid price at which market makers will buy shares and the ask price at which market makers will sell shares.With most ETFs, investors receive any dividend income on portfolio stocks in cash, while open- end funds offer thealternative of reinvesting dividends in additional fund shares.One final difference is that ETFs may produce less capital gains liability compared to open- end index funds. This is because investor sales of ETF shares do not require the fund to sell any securities. If an open-end fund has significant redemptions that cause it to sell appreciated portfolio shares, shareholders incur a capital gains tax liability.A separately managed account is a portfolio that is owned by a single investor and managed according to that investor’s needs and preferences. No shares are issued, as the single investor owns the entire account.Portfolio Risk and Return: Part IHolding period return (HPR) is simply the percentage increase in the value of an investment over a given time period:The geometric mean return is a compound annual rate. When periodic rates of return vary from period to period, the geometric mean return < the arithmetic mean return:The money-weighted rate of return is the internal rate of return on a portfolio based on all of its cash inflows and outflows.Gross return refers to the total return on a security portfolio before deducting fees for the management and administration of the investment account. Net return refers to the return after these fees have been deducted.Note that commissions on trades and other costs that are necessary to generate the investment returns are deducted in both gross and net return measures.Pretax nominal return refers to the return prior to paying taxes.After-tax nominal return refers to the return after the tax liability is deducted.year when inflation is 2%. The investor’s approximate real return is simply 7 - 2 = 5%. The investor’s exact real return is slightly lower, 1.07 / 1.02 - 1 = 0.049 = 4.9%.A leveraged return refers to a return to an investor that is a multiple of the return on the underlying asset.The leveraged return is calculated as the gain or loss on the investment as a percentage of an investor’s cash investment. An investment in a derivative security, such as a futures contract, produces a leveraged return because the cash deposited is only a fraction一小部分of the value of the assets underlying the futures contract. Leveraged investments in real estate are very common: investors pay for only part of the cost of the property with their own cash, and the rest of the amount is paid for with borrowed money.small-capitalization stocks have had the greatest average returns and greatest risk over the period.Covariance measures the extent to which two variables move together over time. A positive covariance means that the variables (e.g., rates of return on two stocks) tend to move together. Negative covariance means that the two variables tend to move in opposite directions.Here we will focus on the calculation of the covariance between two assets’ returns using historical data.The covariance of the returns of two securities can be standardized by dividing by the product of the standard deviations of the two securities. This standardized measure of co-movement is called correlation and is computed as:A risk-averse investor is simply one that dislikes risk (i.e., prefers less risk to more risk). Given two investments that have equal expected returns, a risk-averse investor will choose the one with less risk (standard deviation).A risk-seeking (risk-loving) investor actually prefers more risk to less and, given equal expected returns, willchoose the more risky investment. A risk-neutral investor has no preference regarding risk and would be indifferent between two such investments.The variance of returns for a portfolio of two risky assets is calculated as follows:Note that portfol io risk falls as the correlation between the assets’ returns decreases. This is an important result of the analysis of portfolio risk: The lower the correlation of asset returns, the greater the risk reduction (diversification) benefit of combining assets in a portfolio. If asset returns were perfectly negatively correlated, portfolio risk could be eliminated altogether for a specific set of asset weights.For each level of expected portfolio return, we can vary the portfolio weights on the individual ass ets to determine the portfolio that has the least risk. These portfolios that have the lowest standard deviation of all portfolios with a given expected return are known as minimum-variance portfolios. T ogether they make up the minimum-variance frontier. On a risk versus return graph, the portfolio that is farthest to the left (has the least risk) is known as the global minimum-variance portfolio整体最小方差投资组合.Assuming that investors are risk averse, investors prefer the portfolio that has the greatest expected return when choosing among portfolios that have the same standard deviation of returns. Those portfolios that have the greatest expected return for each level of risk (standard deviation) make up the efficient frontier.An investor’s utility function效用函数represents the investor’s preferences in terms of risk and return (i.e., his degree of risk aversion).An indifference curve is a tool from economics that, in this application, plots combinations of risk (standard deviation) and expected return among which an investor is indifferent.a more risk-averse investor will have steeper indifference curves, reflecting a higher risk aversion coefficient. Combining a risky portfolio with a risk-free asset is the process that supports the two- fund separation theorem, which states that all investors’ optimum portfolios will be made up of some combination of an optimal portfolio of risky assets and the risk-free asset. The line representing these possible combinations of risk-free assets and theoptimal risky asset portfolio is referred to as the capital allocation line.Now that we have constructed a set of the possible efficient portfolios (the capital allocation line) Portfolio Risk and Return: Part IIThe line of possible portfolio risk and return combinations given the risk-free rate and the risk and return of a portfolio of risky assets is referred to as the capital allocation line (CAL).A simplifying assumption underlying modern portfolio theory (and the capital asset pricing model, which is introduced later in this topic review) is that investors have homogeneous expectationsDepending on their preferences for risk and return (their indifference curves), investors may choose different portfolio weights for the risk-free asset and the risky (tangency) portfolio. Every investor, however, will use the same risky portfolio. When this is the case, that portfolio must be the market portfolio of all risky assets because all investors that hold any risky assets hold the same portfolio of risky assets.只有与有效边界相切的那条才是CML。
CFA知识点丨Portfolio Management（投资组合）详解Portfolio Management，投资组合管理，这部分内容在CFA一级的考试中占比并不是很大，只占5%左右，但在二级三级的考试中占比不断扩大，三级中甚至达到了45%--55%。
所以这门课的学习并不能掉以轻心。
那么，CFA一级考试中，Portfolio Management讲了些什么呢？一、Overview概述在投资中，组合的概念是很重要的，它不仅可以分散风险，并且通过不同的组合方法，可以满足不同投资者的不同资金需求。
教材在这里首先介绍了投资组合的重要性，接着介绍了两种不同的投资者：个人投资者和机构投资者的不同特征与需求。
在这当中有两个概念需要理解并掌握：defined contribution pension plan(固定缴款养老金计划)和defined benefit pension plan(固定受益养老金计划)。
并且一个投资组合管理流程是怎样的也需要了解。
二、Risk and Return风险与收益（一）建立一个最优的投资组合对投资者来说很重要。
而想要建立这个最优的投资组合，我们首先需要了解每支证券的风险与收益水平，然后用它们创造可能的组合，接着找到有效的组合，最后，为不同的投资需要寻找最优的投资组合。
在这个过程中，有几个因素是需要考虑的。
首先是拿来构建投资组合的每个证券的风险与收益水平，所以，单个证券以及组合的收益与风险的计算是最基础、最需要掌握的内容。
同时，也需要了解单支证券之间的相关性（correlation）在分散组合风险中的作用。
尽管教材并不要求掌握如何量化投资者的风险厌恶程度，但由于它在选择最优投资组合过程中的必要性，投资者无差异曲线(indifferent curve)的相关知识也是必须掌握的。
最后如何从投资者面对的大量可用的风险资产组合中筛选出有效的组合(有效边界efficient frontier)，并且从有效组合中，结合投资者风险偏好得到最优投资组合，教材都有详细的解释。
BEC 中级考试词汇必备Aabsenteeism n. (经常性)旷工，旷职account executive n.(广告公司)客户经理*accruals n. 增值，应计*acquisition n. 收购，被收购的公司或股份agenda n. 议事日程allocate v. 分配，配给amalgamation n. 合并，重组*amortise v. 摊还annual general meeting (AGM ) 股东年会anticipate v.期望anticipated adj.期待的appointee n. 被任命人appraisal n. 估量，估价*appropriate v.拨出(款项)aptitude n. 天资，才能*arbitrage n. 套利arbitration n. 仲裁*arrears n. 欠帐current asset n. 流动资产fixed asset n. 固定资产frozen asset n. 冻结资产intangible assets n. 无形资产liquid assets n. 速动资产tangible assets n. 有形资产assist v. 援助，协助，出席audit n. 查账，审计automate v. 使某事物自动操作awareness n. 意识；警觉Bbacking n. 财务支持，赞助backhander n.贿赂*backlog n. 积压(工作或订货)balance sheet n. 资产负债表bar chart n. 条形图，柱状图benchmark n. 衡量标准fringe benefits n. 附加福利bid n. 出价，投标takeover bid n.盘进(一个公司)的出价billboard n. (路边)广告牌，招贴板blue chips n. 蓝筹股，绩优股books n. 公司帐目book value n. 账面价值， (公司或股票)净值bookkeeper n. 簿记员，记帐人boost v. 提高，增加，宣扬bottleneck n. 瓶颈，窄路，阻碍bounce v. 支票因签发人无钱而遭拒付并退回brainstorm n./v. 点子会议，献计献策 , 头脑风暴brand leader n. 占市场最大份额的品牌，名牌break even v. 收支相抵，不亏不盈breakthrough n. 突破bulk n. 大量(货物)adj. 大量的bust adj. 破了产的Ccanvass v. 征求意见，劝说capture v. 赢得catastrophe n. 大灾难，大祸CIF, c.i.f. 成本保险费加运费circular n. 传阅的小册子(传单等)circulate v. 传阅commercialise v. 使商品化commission n. 佣金commodity n. 商品，货物limited (liability) company (ltd.) 股份有限公司public limited company (plc) n. 股票上市公司compensate v. 补偿，酬报compensation n. 补偿，酬金concentrated marketing n.集中营销策略*conglomerate n. 综合商社，多元化集团公司*consolidate v. 帐目合并*consortium n. 财团constant adj. 恒定的，不断的，经常的consumables n. 消耗品consumer durables n. 耐用消费品(如：洗衣机)*contingency n. 意外事件contractor n. 承办商，承建人conversion n. 改装，改造conveyor n. 运送，传递，转让core time n.(弹性工作制的)基本上班时间(员工于此段时间必须上班，弹性只对除此以外的时间有效)cost n. 成本fixed costs 固定成本running costs 日常管理费用variable costs 可变成本cost-effective adj. 合算的，有效益的credit n. 赊购，赊购制度creditor n. 债权人，贷方*creditworthiness n. 信贷价值，信贷信用*critical path analysis n. 关键途径分析法Current account 往来帐户，活期(存款)户current assets n. 流动资产current liabilities n. 流动负债customise v. 按顾客的具体要求制造(或改造等)；顾客化cut-throat adj. 残酷的，激烈的cut-price a.削价(出售)的CV(=curriculum vitae) n. 简历，履历Ddebit n. 借方，欠的钱v. 记入帐户的借方debtor n. 债务人aged debtors 长期债务人deduct v. 扣除，减去default n. 违约，未履行defer v. 推迟deferred payments n. 延期支付*demand management n.需求规化demotivated adj. 消极的，冷谈的deposit n. 储蓄，预付(定金)depot n. 仓库depreciate v. 贬值， (对资产)折旧deputy n. 代理人，副职，代理devalue v. 货币贬值(相对于其它货币)dismissal n. 打发走dispatch n./v. 调遣dispose v. 安排，处理(事务)dispose of 去掉，清除*diversify v. 从事多种经营；多样化divest v. 剥夺dividend n. 股息，红利，年息*dog n. 滞销品down-market a./ad. 低档商品的*down-time/downtime n. 设备闲置期DP(=Data Processing) n. 计算机数据处理，计算机数据处理部门dynamic adj. 有活力的Eendorse v. 背书，接受engage v. 雇用equity n. 股东权益equity capital n. 股本equities 普通股，股票eventual adj. 最终的exhibit n. 展览，表现expenditure n. 花费，支出额expertise n. 专长，专门知识和技能*exposure n. 公众对某一产品或公司的知悉；广告所达到的观众总数Ffacilities n. 用于生产的设备、器材facilities layout n. 设备的布局规化、计划facilities location n. 设备安置*factoring n. 折价购买债券*fail-safe system n. 安全系统feasibility study n. 可行性研究fiscal adj. 国库的，财政的*flagship n. 同类中最成功的商品，佼佼者flier(=flyer) n. 促销传单float v. 发行股票flop n. 失败flow shop n. 车间fluctuate v. 波动，涨落，起伏FOB, f.o.b n. 离岸价*follow-up n. 细节落实，接连要做的事*franchise n. 特许经销权v. 特许经销，给予特许经销权franchiser n. 授予特许经营权者fraud n. 欺骗*freebie n. (非正式的)赠品，免费促销的商品futures n. 期货交易G*gearing n. 配称(即定息债务与股份资本之间的比率) *gimmick n. 好主意，好点子goodwill n. 声誉*go public v. 首次公开发行股票grapple with v. 与……搏斗，尽力解决grievance n. 申诉，抱怨gross margin n. 毛利率gross profit n. 毛利gross yield n. 毛收益H*hedge n. 套期保值hierarchy n. 等级制度，统治集团，领导层hostile adj. 不友好的，恶意的*hype n. 天花乱坠的(夸张)广告宣传Iimplement v. 实施，执行incentive n. 刺激；鼓励earned income 劳动收入，劳动所得unearned income 非劳动收入，投资所得increment v. 定期增加incur v 招致，承担*indemnity n. 偿还，赔偿retail price index 零售价格指数induction n. 就职industrial action n. (罢工、怠工等)劳工行动industrial relations n. 劳资关系inflate v.抬高(物价)，使通货等)膨胀inflation n. 通货膨胀*infringe v. 违法，违章insolvent adj. 无清偿力的installment n. 部分，分期付款interim n. 中期，过渡期间intermittent production n. 阶段性生产*inventory n. 库存buffer inventory n. 用于应付突发性需求的存货capacity inventory n. 用于将来某时使用的存货cycle inventory n. 循环盘存decoupling inventory n. 保险性存货(以应付万一)finished goods inventory n. 制成品存货(盘存)pipeline inventory n. 在途存货raw materials inventory n. 原材料存货work-in-progress inventory n. 在制品盘存(存货)invoice n. 发票v.给(某人)开发票irrevocable adj. 不可撤消的，不能改变的issue n. 发行股票* rights issue n. 优先认股权J*job lot n. 一次生产的部分或少数产品job mobility 工作流动job rotation 工作轮换*job shop n. 专门车间jobbing n. 为一次性的或小的订货需求而特设的生产制度*jurisdiction n. 管辖(权)junk bonds n. 低档(风险)债券，垃圾债券*just-in-time n. 无库存制度Kknockdown adj. (价格)很低的know-how n. 专门技术Llayout n. 工厂的布局lead time n. 完成某项活动所需的时间leaflet n. 广告印刷传单lease n. 租借，租赁物lessee n. 承租人lessor n. 出租人*ledger n. 分类帐nominal ledger n. 记名帐purchase ledger n. 进货帐sales ledger n. 销货帐*leverage n. 杠杆比率liability n. 负债liabilities n. 债务liquid adj. 易转换成现款的liquidate v. 清算*liquidity n. 拥有变现力liquidation n. 清理(关闭公司)，清算liquidator n. 清算人，公司资产清理人literature n. (产品说明书之类的)印刷品，宣传品litigate v. 提出诉讼Mmajority shareholding 绝对控股make n. 产品的牌子或型号make-to-order adj. 根据订货而生产的产品make-to-stock adj. 指那些在未收到订货时就已生产了的产品matrix management n. 矩阵管理manning n. 人员配备margin n. 利润gross margin n. 毛利率net margin n. 净利润mark-up v. 标高售价，加价down market adv./adj. 低档商品/地的*market niche n. 小摊位，专业市场的一个小部分market penetration n. 市场渗入market segmentation 市场划分*materials handling n. 材料管理，材料控制maximise v. 使增至最大限度、最大化merchandising n. (在商店中)通过对商品的摆放与促销进行经营merge v. 联合，合并merger n. (公司，企业等的)合并merit n. 优点，值得，应受middleman n. 中间人，经纪人full milk n. 全脂牛奶skimmed milk n. 脱脂乳minimise v. 使减至最小限度，最小化moderately adv. 中等地，适度地monopoly n. 垄断，独占mortgage n./v. 抵押N*niche n. 专业市场中的小摊位Oobsolete adj. 过时的，淘汰的，废弃的offer n. 报价，发盘offer v. 开价off-season adj./adv. 淡季的off-the-shelf adj. 非专门设计的off-the-peg adj. 标准的，非顾客化的opening n. 空位*operations scheduling n. 生产经营进度表*optimize v. 优化organigram n. 组织图outlay n. 开销，支出，费用*outlet n. 商店*outsource v. 外购产品或由外单位制做产品*overhead costs n. 营业成本*overheads n. 企业一般管理费用Pp.a. (=per annum) n. 每年participate v. 参加，分享 (in)take-home pay 实得工资payroll n. 雇员名单，工资表peak n. 峰值，顶点penetrate v.渗透，打入(市场)penetration n. 目标市场的占有份额pension n. 养老金，退休金performance appraisal n.工作情况评估perk n. 额外待遇(交通、保健、保险等)*petty cash n. 零用现金phase out n. 分阶段停止使用*pick v. 提取生产用零部件或给顾客发货* picking list n. 用于择取生产或运输订货的表格pie chart n. 饼形图pilot n. 小规模试验plot v. 标绘，策划*plough back n. 将获利进行再投资*portfolio n. (投资)组合*portfolio management n. 组合证券管理probation n. 试用期production schedule n. 生产计划product life cycle n. 产品生命周期product mix n. 产品组合(种类和数量的组合)*profile n. 简介形象特征prospectus n. 计划书，说明书prosperity n. 繁荣，兴隆prototype n. 原型，样品public sector 公有企业publicity n. 公开场合，名声，宣传punctual adj. 准时的punctuality n. 准时purchaser n. 买主，采购人QQC(=Quality Circle) n. 质检人员questionnaire n. 调查表，问卷quote n. 报价，股票牌价quotation n. 报价，股票牌价Rradically adv. 根本地，彻底地rapport n. 密切的关系，轻松愉快的气氛fixed rate 固定费用，固定汇率rationalise v. 使更有效，使更合理receipt n. 收据accounts receivable 应收帐receivership n. 破产管理recession n. 萧条reckon v. 估算，认为reconcile v. 使……相吻合，核对，调和recoup v. 扣除，赔偿in the red 赤字，负债redundant adj. 过多的，被解雇的redundancy n. 裁员，解雇*reimburse v. 偿还，报销reject n./v. 拒绝remuneration n. 酬报，酬金reputation n. 名声，声望reputable adj. 名声/名誉好的reserves n. 储量金，准备金*retained earnings n. 留存收益酬revenue n. 岁入，税收risk capital n. 风险资本rival n. 竞争者，对手adj. 竞争的ROI Return on Investment 投资利润round trip 往返的行程royalty n. 特许权，专利权税Ssack v. 解雇*saturation n.(市场的)饱和(状态)saturate v. 饱和scale n. 刻度，层次*scrap n. 废料或废品*securities n. 债券及有价证券closed shop 限制行业(只允许本工会会员)open shop 开放行业(非会员可从事的工作)shop steward 工会管事shop floor 生产场所shortlist n. …… 供最后选择的候选人名单v. 把…… 列入最后的候选人名单sick leave 病假sick note 病假条sick pay 病假工资slogan n. 销售口号slump n. 暴跌a slump in sales 销售暴跌soft-sell n. 劝诱销售(术)，软销售(手段)sole distributor 独家分销商solvent adj. 有偿付能力的*sourcing n. 得到供货spare part n. 零部件specification n. 产品说明sponsor n. 赞助者(为了商品的广告宣传)stag n. 投机认股者v. 炒买炒卖stagnant adj. 停滞的，萧条的*statute n. 成文法statutory adj. 法定的*subcontract v. 分包(工程项目)，转包subordinate n. 下级adj. 下级的subsidise v. 补贴，资助subsidy n. 补助金substantially adv. 大量地，大幅度地*SWOT analysis n. SWOT 分析是分析一个公司或一个项目的优点、弱点、机会和风险*synergy n. 协作Ttactic n. 战术，兵法tailor v. 特制产品tailor made products 特制产品take on 雇用tariff n. 关税；价目表capital gains tax n. 资本收益税corporation tax n. 公司税，法人税income tax n. 所得税value added tax 增值税tax allowance 免减税tax avoidance 避税taxable 可征税的taxation 征税tax-deductible 在计算所得税时予以扣除的tender n./v. 投标territory n. (销售)区域throughput n. 工厂的总产量TQC(=Total Quality Control) n. 全面质量管理*track record n. 追踪记录，业绩trade union 工会*transaction n. 交易，业务transparency n. (投影用)透明胶片*treasury n. 国库，财政部staff turnover 人员换手率Uundertake v. 从事、同意做某事undifferentiated marketing n. 无差异性营销策略unemployment benefit n. 失业津贴USP 唯一的销售计划BEC 中级词汇-精选VVAT Value Added Tax 增值税vendor n. 卖主(公司或个人)vision n. 设想，公司的长期目标Wwage n.(周)工资wage freeze n. 工资冻结white goods n. 如冰箱和洗衣机等用在厨房中的产品wholesale n./adj./adv.批发*wind up v. 关闭公司withdrawal n. 拿走，收回，退出wholesale n./a. 批发；批发的wholesaler n. 批发商workload n. 工作量work order n. (包括原料、半成品、成品的)全部存货总量work station 工作位置*working capital n. 营运资本，营运资金write off v. 取消write-off n. 债务的取消Y*yield n. 有效产量Z*zero defect n. 合格产品*zero inventory n. 零存货。
《金融市场学》复习题1. Common stock is an example of a(n) ______.A) debt security. B) money market security. C) equity security. D) a and b2. The required return to implement a given business project will be ______ if interestrates are lower. This implies that businesses will demand a ______ quantity of loanablefunds when interest rates are lower.A) greater; lower B) lower; greater C) lower; lower D) greater;greater3. The federal government demand for loanable funds is __________. If the budget deficitwas expected to increase, the federal government demand for loanable funds would ________.A) interest elastic; decrease B) interest elastic; increaseC) interest inelastic; increase D) interest inelastic; decrease4. If the real interest rate was negative for a period of time, thenA) inflation is expected to exceed the nominal interest rate in the future.B) inflation is expected to be less than the nominal interest rate in the future.C) actual inflation was less than the nominal interest rate.D) actual inflation was greater than the nominal interest rate.5. If inflation turns out to be lower than expectedA) savers benefit.B) borrowers benefit while savers are not affected.C) savers and borrowers are equally affected.D) savers are adversely affected but borrowers benefit.6. Assume that foreign investors who have invested in . securities decide to increasetheir holdings of . securities. This should cause the supply of loanable funds in theUnited States to _____ and should place ______ pressure on . interest rates.A) decrease; upward B) decrease; downward C) increase; downward D) increase; upward7. If economic expansion is expected to decrease, the demand for loanable funds should______ and interest rates should ______.A) increase; increase B) increase; decrease C) decrease; decrease D) decrease; i8. When Japanese interest rates rise, and if exchange rate expectations remainunchanged, the most likely effect is that the supply of loanable funds provided by Japaneseinvestors to the United States will ______, and the . interest rates will _______.A) increase; increase B) increase; decrease C) decrease; decrease D) decrease; i9. Assume that annualized yields of short-term and long-term securities are equal. Ifinvestors suddenly believe interest rates will increase, their actions may cause the yield curve toA) become inverted. B) become flat. C) become upward sloping. D) be unaffected.10. I f the liquidity premium exists, a flat yield curve would be interpreted as the marketexpecting ______ in interest rates.A) no changes B) a slight decrease C) a slight increase D) a large increase11. According to the segmented markets theory, if most investors suddenly preferredto invest in short-term securities and most borrowers suddenly preferred to issue long-term securities there would beA) upward pressure on the price of long-term securities.B) upward pressure on the price of short-term securities.C) downward pressure on the yield of long-term securities.D) a and c12. O ther things equal, the yield required on non-callable bonds should be ______ theyield required on callable bonds whose other characteristics are exactly the same.A) greater than B) equal to C) less thanD) All of the above are possible, depending on the size of the call premium.13. A ccording to expectations theory, the sudden expectation of lower interest ratesin the future will cause a ______ supply of short-term funds provided by investors, anda ______ supply of long-term funds.A) large; large B) large; small C) small; small D) small; large14. Assume that the Treasury experiences a large decrease in the budget deficit andpurchases a large number of T-bills. This action will _________________ the supply of T-bills in the market and places __________________ pressure on the yield of T-bills.A) decrease; downward B) decrease; upward C) increase; upward D) increase;downward15. A firm plans to issue 30-day commercial paper for $9,900,000. Par value is$10,000,000. What is the firm’s cost of borrowingA) % B) % C) % D) % E) %16. A repurchase agreement calls for an investor to buy securities for $4,925,000 andsell them back in 60 days for $5,000,000. What is the yieldA) % B) % C) % D) %17. Robbins Corp. frequently invests excess funds in the Mexican money market. One yearago, Robbins invested in a one-year Mexican money market security that provided a yield of 25%. At the end of the year, when Robbins converted the Mexican pesos to dollars, the peso had depreciated from $.12 to $.11. What is the effective yield earned by RobbinsA) % B) % C) % D) none of the above18. Bullock Corp. purchases certain securities for $4,921,349, with an agreement to sell them back at a price of $4,950,000 at the end of a 30-day period. The repo rate is ________ %.A) B) C) D) E) none of the above19. A ssume . interest rates are significantly higher than German rates. A . firm wanting to issue bonds could achieve a lower financing rate, without exchange rate risk by denominating the bonds inA) dollars.B) marks（德国马克）and making payments from . headquarters.C) marks and making payments from a German subsidiary.D) dollars and making payments from a German subsidiary.20. I f interest rates suddenly ____________, those existing bonds that have a call feature are __________ likely to be called.A) decline; more B) decline; less C) increase; more D) none of the above21. W hen financial institutions expect interest rates to ______, they may ______.A) increase; sell bonds and buy short term securitiesB) increase; sell short term securities and buy bondsC) decrease; sell bonds and buy short term securitiesD) B and C22. I f the coupon rate ______ the required rate of return, the price of a bond _____ par value.A) equals; equals B) exceeds; is less thanC) is less than; is greater than D) B and CE) none of the above23. A s interest rates consistently rise over a specific period, the market price of a bond you own would likely ______ over this period. (Assume no major change in the bond’s default risk.)A) consistently increase B) consistently decrease C) remainunchangedD) change in a direction that cannot be determined with the above information24. I f analysts expect that the demand for loanable funds will increase, and the supply of loanable funds will decrease, they would most likely expect interest rates to ______ and prices of existing bonds to ______.A) increase; increase B) increase; decrease C) decrease; decrease D)decrease; increase25. I f bond portfolio managers expect interest rates to increase in the future, they would likely ______ their holdings of bonds now, which could cause the prices of bonds to ______ as a result of their actions.A) increase; increase B) increase; decrease C) decrease; decrease D)decrease; increase26. I f the United States announces that it will borrow an additional $10 billion, this announcement will normally cause the bond traders to expectA) higher interest rates in the future, and will buy bonds now.B) higher interest rates in the future, and will sell bonds now.C) stable interest rates in the future, and will buy bonds now.D) lower interest rates in the future, and will buy bonds now.E) lower interest rates in the future, and will sell bonds now.27. I f the level of inflation is expected to __________, there will be _______________ pressure on interest rates and ____________ pressure on the required rate of return on bonds.A) increase; upward; downward B) decrease; upward; downwardC) decrease; upward; upward D) increase; downward; upwardE) increase; upward; upward28. U sing a(n) _____________ strategy, investors allocate funds evenly to bonds in each of several different maturity classes.A) matching B) laddered C) barbell D) interest rate E)none of the above29. M anagers of firms may consider a stock repurchase or even a leveraged buyout when they believe their stock is ____________ by the market, or a secondary stock offering when they believe their stock is ____________ by the market.A) undervalued; undervalued B) overvalued; overvaluedC) undervalued; overvalued D) overvalued; undervalued E) none ofthe above30. A stock’s average return is 10%. The average risk-free rate is 7%. The standard deviation of the stock’s return is 4%, and the stock’s beta is . What is the Treynor Index for the stockA) .03 B) .75 C) D) .02 E) 5031. A higher beta of an asset reflectsA) lower risk.B) lower covariance between the asset’s returns and market returns.C) higher covariance between the asset’s returns and the market returns.D) none of the above.32.The arbitrage pricing theory (APT) differs from the capital asset pricing model (CAPM)in that it suggests that stock pricesA) are influenced only by the market itself.B) can be influenced by a set of factors in addition to the market.C) are not influenced at all by the market.D) cannot be influenced at all by the industry factors.33. If the returns of two stocks are perfectly correlated, thenA) their betas should each equal .B) the sum of their betas should equal .C) their correlation coefficient should equal .D) their portfolio standard deviation should equal .34. T he risk of a short sale is that the stock priceA) may decrease over time. B) will remain the same.C) may increase over time. D) none of the above.35. S ellers (writers) of call options can offset their position at any point in time byA) selling a put option on the same stock. B) buying identical calloptions.C) selling additional call options on the same stock. D) A and B E) allof the above36. S peculators purchase currency ______ on currencies they expect to ______ against the dollar.A) call options; weaken B) put options; strengthenC) futures; weaken D) put options; weaken37. T he premium on an existing call option should ______ when the underlying stock price decreases.A) be negative B) decline C) increase D) be unaffected E)A and B计算题：1. Sorvino Co. is expected to offer a dividend of $ per share per year forever. The required rate of return on Sorvino stock is 13%. According to the dividend discount model, what is the price of a share of Sorvino stock习题答案：选择题：1-5 CBCDA 6-10 CCDCB 11-15 BCDBA 16-20 CCCCA21-25 AABBC 26-30 BDBCD 31-35 CBCCB 36-37 DB计算题：1.。
资产负债管理)大纲资产负债管理考试时间:3小时考试形式:主观问答题本考试科目是中国精算师资格考试高级阶段的选考课程之一，在学习本课程前，考生应具备会计和投资方面的基础知识。
本课程包括：资产负债管理基础、投资组合理论、股权风险管理、利率风险管理、案例分析和资产负债管理在中国的应用六个方面。
通过这门课程的学习，考生应掌握有关资产负债管理的基本理论与应用的框架，熟悉资产负债管理的主要方法和主要工具的特点，并能运用资产负债管理体系对保险公司的负债评估和投资进行评价和建议，同时，能够从资产负债管理的角度对保险公司的经营管理提出建议。
在掌握了利率风险管理和资产负债匹配管理的基础上，能够建立适于公司业务特点的资产负债管理体系和模式。
最终，能够综合运用本课程中的理论与方法进行案例分析。
一、资产负债管理基础资产负债管理是商业经营管理实践活动的一个重要组成部分，企业进行资产负债管理的核心目的是协调企业的资产和负债，以实现预期的商业目标。
从狭义上看，可将资产负债管理理解为对金融机构的风险采取套期保值策略。
从广义上看，资产负债管理是一种不断进行的过程，这个过程包括针对企业资产负债所进行的分析设计、管理实施、以及相关政策实施后的跟踪监测和检查，这一系列的活动将使得在满足可接受的风险程度和一定的约束条件下，保证实现企业既定的财务目标。
这里的风险可接受程度和具体财务目标是由企业自身设定的。
如果企业投资活动的主要目的是为了满足负债的需求，那么资产负债管理就意味着有效彻底的财务管理过程，当然是至关重要的部分。
考试要求：掌握资产负债管理的基本概念，以及在企业经营活动中的位置和作用，了解不同的业务形式下的资产负债管理的体系，以及现代金融理论在资产负债管理中的基本应用.考试内容：1.1 资产负债管理寿险公司的风险背景资产负债管理的基本原则利率风险股权投资市场风险资产负债管理的挑战资产负债管理的方法传统方法/现代方法当今保险行业中使用的衍生工具监管和评级机构方面的考虑资产负债管理的实务资产负债管理的挑战和机遇1.2 投资策略投资风险的类型投资的监管环境投资策略资产负债管理过程主要寿险产品的保险负债分析主要年金产品的保险负债分析养老金体系的负债和投资策略分析竞争环境和组织机构因素1.3 现代金融理论的应用负债特性在投资管理中的重要性负债的市场价值传统的免疫方法期权定价理论资产组合保险动态资产分配债务期权的定价理论再讨论免疫方法衍生产品套期保值工具阅读材料：1.1 Anson J. Glacy, Jr. and Andres E. Vilms, “Asset / Liability Management,” 2001, SOA Course 8 study note 8V-315-02.1.2 R.H. Stapleford and K.W. Stewart, “Introduction to the formation of investment strategy for life insurance companies and pension plans,” 1991, SOA Course 6 study note 6-28-00.1.3 J.A. Tilley, “The Application of Modern Techniques to theInvestment of Insurance and Pension Funds,” Transactions of the 23rd International Congress of Actuaries, Helsinki (1988) R, 301-326.二、投资组合理论考试要求：掌握Markowitz的均值方差法组合分析理论及其在养老金资产负债管理中的应用。
