2011_Week 7- Diversification - Portfolio Theory
投资学第7章最优风险资产组合v1
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图7.8 Determination of the Optimal Overall Portfolio
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图7.9 The Proportions of the Optimal Overall Portfolio
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小结：两种风险资产与无风险资产 组合的配置程序
▪ Covariance and the correlation coefficient provide a measure of the way returns of two assets vary
7-7
Two-Security Portfolio: Return
w r w r rp
DD
EE
rP Portfolio Return
（1）给定收益的条件下，风险最小化 （2）给定风险的条件下，收益最大化
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11 ... 1n
若已知资产组合收益c、方差 协方差矩阵
M
O
M 和
1n L nn
组合各个资产期望收益向量r=(r1, r2,..., rn )T，求解组合中资产权重
向量w=(w1, w2,..., wn ),则有
nn
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图7.6 债券与股票基金的可行集和两条可 行的CALs
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最优风险资产组合P的求解
Max wi
S
P
E(rP ) rf
P
s.t. E(rP ) wD E(rD ) wE E(rE )
P
[ wD2
2 D
wE2
2 E
2wDwECov(rD , rE )]1/ 2
wD wE 1
财务管理专业英语unit6
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12.Allocationally efficient markets 配置有效市场
operationally efficient markets 运营有效市场
informationally efficient markets 信息有效市场
When prices are determined in a way that equates the marginal rates of return (adjusted for risk) for all producers and savers, the market is said to be allocationally efficient.
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14.Anomaly 异常 15.Underpricing 价格低估 16.Monday effect 星期一效应 January effect 元月效应
On average, stocks have lower (negative) returns on Monday, compared to (positive) returns on other days of the week.
place, nor is my whole estate upon the fortune of this present years; Therefore, my merchandise makes me not sad.
——Shakespear, Merchant of Venice
我的买卖的成败并不完全寄托在一艘船上，更不是倚赖着一处地方；我 的全部财产，也不会因为这一年的盈亏而受到影响，所以我的货物并不 能使我忧愁。
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博迪投资学第九版课件
Security D and Security E
INVESTMENTS | BODIE, KANE, MARCUS
7-9
Two-Security Portfolio: Risk
• Another way to express variance of the portfolio:
2 P wD wDCov(rD , rD ) wE wE Cov(rE , rE ) 2wD wE Cov(rD , rE )
INVESTMENTS | BODIE, KANE, MARCUS
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Figure 7.6 The Opportunity Set of the Debt and Equity Funds and Two Feasible CALs
INVESTMENTS | BODIE, KANE, MARCUS
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Figure 7.3 Portfolio Expected Return as a Function of Investment Proportions
INVESTMENTS | BODIE, KANE, MARCUS
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Figure 7.4 Portfolio Standard Deviation as a Function of Investment Proportions
INVESTMENTS | BODIE, KANE, MARCUS
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Figure 7.2 Portfolio Diversification
INVESTMENTS | BODIE, KANE, MARCUS
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Covariance and Correlation
• Portfolio risk depends on the correlation between the returns of the assets in the portfolio
CORPORATE FINANCE
Jiangxi University of Finance andEconomicsInternational SchoolCorporate FinanceCourse Syllabus:Year and semester: 2005 Semester 1,Unit convener: Dr. Jing ShiThis is one of the more important sources of information for students. Read it carefully and bring it along each week. The workload for each week is clearly indicated, so make sure you keep up with the work.GENERAL INFORMATIONrmation on Staffrmation for StudentsCore material for this course is made available, including:∙The course outline (including course objectives, full assessment details, , topic synopsis, and tutorial program with questions);∙Textbook and supplementary readings in electronic version∙Lecture notes;∙Suggested answers for tutorial questions (will be made available a week after each tutorial)∙And practical mid-semester and final exams.UNIT OVERVIEW1.Aims and ObjectivesThis unit aims to provide a broad introduction to the study of corporate finance. By the end of this course, students are expected to have attained proficiency in the following areas:∙The concepts of risk and portfolio theory;∙Valuation of equity and debt instrument;∙The capital asset pricing model;∙Capital budgeting concepts and applications;∙Corporate financing decisions;∙Corporate dividend decision;∙Financial decision-making;∙Corporate Acquisition∙Valuation and Applications of Derivatives2.How the Course is taughtLECTURES AND TUTORIALSTEXTBOOK10 Copies of the book are made available on short loan in your library. In addition, an electronic version is available for download on the course web site.3.AssessmentThe assessment will be on the following basis:To achieve a pass grade in these unit students must obtain 50% or more as an aggregate mark on the assessment.Information about Assessment:1. T utorials (10%): Prepare solutions to the set tutorial questions inadvance. Bring your answers to the tutorial and be prepared toparticipate in tutorial discussions. Quizzes may be run with nonotice to check comprehension so be prepared and these willattract 10% of the total mark. The content for the quizzes willbe limited to the required material for each tutorial. Quizquestions will be set by your lecturer. There are a total of 11quizzes and only best 10 of them will be counted.2.Mid-semester examination (20%): The mid semester exam willbe held during week (subject to final confirmation). It coversthe topics taught over the period there will be no class during theweek of the mid-semester exam. However, your lecturer will beavailable for consultation and consultation times will beannounced soon.3. Final examination (70%): The final examination will include amixture of theoretical and numerical questions. You should notexpect repetition of tutorial questions and class examples in thefinal examination.Lecture Topics121-25 Feb Introduction and Review of FinancialMathematicsReading: Ch 3.228 Feb- 4 Mar Concepts of Risk and Portfolio TheoryReading: Ch. 6, pp. 113-128.Normal tutorials commencing this week37-11 Mar CAPM and APTReading: Ch 6 (pp.129-146), and Ch. 7 (pp.162-169).414-18 Mar Valuation and the capital marketReading: Ch. 4.521-25 Mar Capital Budgeting 1Reading: Ch.8, Ch.10 (Section 10.1.1) .628 Mar-1 Apr Capital Budgeting 2Reading: Ch 9 (pp. 213-226).7 4 – 8 Apr DividendReading: Ch.15.811 – 15 Apr Capital StructureReading: Ch. 13, Ch. 14.918-22 Apr Mid-semester-Examination (subject to confirmation)(No tutorial this week)1025-29 Apr Cost of CapitalReading: Ch 17, pp. 446-458.112-6 May Capital Budgeting 3Reading: Ch 9.129-14 May Corporate AcquisitionReading: Ch 11.1316-20 May Introduction to DerivativesReading: Ch 18 and Supplementary Readings1423-27 May Futures and ForwardReading: Ch 18 and Supplementary Readings1530 May – 3 Jun OptionsReading: Ch 18 and Supplementary Readings166-10 Jun Final Review (including Mid-semester examreview)TUTORIAL QUESTIONSTUTORIAL 1 (WEEK COMMENCING 28 FEBRUARY) REVIEW OF FINANCIAL MATHEMATICSQuestions and Problems: 3.6, 3.8, 3.11, 3.25, and plus additional questionsAdditional Questions1. Sirimon borrows $100,000 at an interest rate of 11.5% p.a., repayable by equal monthly installments over 20 years.a) How much is each payment?b) What does the balance owe when one-third of the loan term has expired?2. As winner of a Mystery Envelope Competition, you can choose one of the following prizes:(a) $120,000 now(b) $30,000 at end of each of the next five years(c) $180,000 In seven years time.(d) $9,000 a year in perpetuity and the first cash flow occurs at end of the first year.If interest rate is 8% p.a., which is the most valuable prize Explain. Show all workings.3. Given the following informationStock A Stock BState of EconomyProbability ofstate of economyRate of return ifstate occursRate of return ifstate occursRecession 0.2 0.10 0.55Normal 0.4 0.24 0.20Boom 0.4 0.44 0.10In addition, covariance between the returns on Stocks A and B is –0.0194.a) Calculate the expected return for Stock A and Stock B.b) Calculate the standard deviation for Stock A and Stock B.c) What is the correlation coefficient between the returns of Stocks A and B?Now consider a portfolio which is such that 40% of available fundsare invested in Stock A and 60% are invested in Stock B.d) Calculate the expected return for this portfolio.e) Calculate the standard deviation for this portfolio.TUTORIAL 2 (WEEK COMMENCING 7 MARCH)CONCEPTS OF RISK AND PORTFOLIO THEORYQuestions and Problems: 6.1, 6.3, 6.7, 6.8, 6.26, and plus additional questionsAdditional questions:1.Diversification is certainly good for investors. Therefore, investorsshould be prepared to pay a premium for the shares of a company that operate in several lines of business. Discuss.2.Mr. Billson is considering a 1-year investment in shares in one ofthe following three companies:Company A: expected return = 15% and a standard deviation of 15%Company B: expected return = 15% and a standard deviation of 20%Company C: expected return = 20% and a standard deviation of 20%Rank the investment in order of preference for each of the case where it is assumed that Mr. Billson is:a) Risk averse;b) Risk neutral;c) Risk seeking.TUTORIAL 3 (WEEK COMMENCING 14 MARCH)CAPM & APTQuestions and Problems: 6.9, 6.13, 6.15, 6.23, 6.32, 7.4, plus additional questions.Additional Questions1. Assume the market is efficient. You are giving the following information in the table.Asset Expected Return(p.a.) StandardDeviation(p.a.)BetaA 8% 10%B 12% 2C 11.8% 1D 5% 0% 0Note that one of the above assets is the risk free asset.a) Which asset is the risk free asset?b) Which asset is the market portfolio?c) What is the expected rate of return for Asset C?d) What is the beta for Asset A?e) What is the standard deviation for Asset B? (Hint: Assume Asset B is efficient)f) Does the CAPM predict that a security with a beta of 0 will offer a zero expected return?g) Briefly explain systematic and unsystematic risks and how each is affected by increasing the number of securities in the portfolio.2. Assume the Capital Asset Pricing Model holds. The risk-free interest rate is 6%, the market risk premium is 8% and the standard deviation of the return on the market is 0.2.a) If the expected return on stock A is 18%, what is the beta of stock A?b) Assume a portfolio is formed only of stocks A and B. Stock A has an expected return of 18% and the portfolio has an expected return of 14%. If 50% of the portfolio value is sold short in stock B, what is the expected return on stock B?c) If stock C has an expected return of 20%, by how much would its beta need to change to alter the expected return to 12%?d) The share price of stock D is currently $3, its variance is 0.03 and the covariance between the returns on stock D and the market is 0.06. What is the expected share price for stock D in the next period?TUTORIAL 4 (WEEK COMMENCING 21 MARCH) VALUATION AND THE CAPITAL MARKETQuestions and Problems: 4.3, 4.6, 4.8, 4.12, 4.14, 4.17, 4.19, plus additional questionsAdditional questions1. Sirimon borrows a mortgage loan (or principal and interest loan) of $100,000 at an interest rate of 11.5% p.a., repayable by equal monthly installments over 20 years.a) How much is each payment?b) What does the balance owe when one-third of the loan term has expired?TUTORIAL 5 (WEEK COMMENCING 28 MARCH)CAPITAL BUDGETING 1Questions and Problems: 8.4, 8.5, 8.6, 8.7, 8.12, 8.13, 10.1, and 10.7.TUTORIAL 6 (WEEK COMMENCING 4 APRIL)CAPITAL BUDGETING IIQuestions and Problems: 9.2, 9.4, 9.7, 9.11, 9.13, 9.15, 9.16,TUTORIAL 7 (WEEK COMMENCING 11 APRIL)DIVIDEND POLICYQuestions and Problems: 15.7, 15.8, 15.10, 15.12, 15.16, 15.26, plus additional questionsAdditional Questions:1. “If a company repurchases stock instead of paying a dividend, the number of shares falls and earnings per share rise. Thus stock repurchase must always be preferred to paying dividends”. Discuss.2. “If a company repurchases stock instead of paying a dividend, the number of shares falls and earnings per share rise. Thus stock repurchase must always be preferred to paying d ividends”. Discuss this statement.TUTORIAL 8 (WEEK COMMENCING 25 APRIL)CAPITAL STRUCTUREQuestions and Problems: 13.6, 13.9, 14.10, and 14.17, plus additional questionsAdditional Questions1. The probability of financial distress should be negligible for companieswith a low proportion of debt. Therefore, a low proportion of debt should not have any noticeable effect on the cost of equity.2. “In a world where both corporate and personal taxes exist, it is obvious that companies should use as much debt as possible. It is cheaper than equity and the interest expenses are tax deductible as well.” Critically evaluate this statement.3. Imagine a firm that is expected to produce a perpetual income stream. As leverage is increased, discuss what happens to the ratio of the market value of the firm to income. In providing your answer, assume the firm operates in a perfect capital market and that all the assumptions of Modigliani and Miller hold.TUTORIAL 9 (WEEK COMMENCING 2 MAY)COST OF CAPITALQuestions and Problems: 17.2, and additional questionsAdditional Questions:1. Billson Ltd is planning to expand its existing operations. To evaluate several alternative possibilities, the following information has been gathered.a) Debentures currently outstanding were sold at a face value of$100 each at a coupon rate of 10% p.a. (paid annually) three years ago. The outstanding debentures have seven years remaining tomaturity. A merchant banker suggests that if a similar debenture is issued now, it would require a coupon rate of 15% p.a. for it to be fully subscribed at its face value.b) Preference shares were recently traded at $0.56, well below their$2 par value. Assume dividends are paid annually.c) The last trade of ordinary shares was $0.90. The beta ofBillson’s equity has been calculated at 1.2. Government securities (essentially risk free) are currently yielding 13.5% p.a. and the market risk premium is 10%.d) The corporate tax rate is 36%e) The following information has been extracted from Billson’s latest balance sheet:Debentures $3,000,000Preference shares, 5%, $2$500,000parOrdinary shares ($1 par) $2,000,000Assume a classical tax system. Compute the after-corporate-tax required rate of return to be used for evaluating the expansion project.2. The management of Heaney TV Ltd wants you to estimate the after-effective-corporate-tax required rate of return associated with their current regional TV business. They intend to expand in this area and want to evaluate several alternative investment opportunities. You have been given the following information (assume an imputation tax system).Debentures currently outstanding were sold at a face value of $2and a coupon rate of 12% p.a. (with annual coupon payments) five years ago. A merchant banker suggests that a new issue of similar debenture would require a same coupon rate for it to be fully subscribed at its face value at current market condition. The outstanding debentures have five years to maturity.∙The interest rate on long term unsecured bank loans is 14% p.a.The current market value of this unsecured bank loan is equal to its book value. The loan will mature in three years.∙Preference shares were recently traded at $0.56, well below their $2 par value.∙The last trade of ordinary shares was $2.39. The beta of Heaney TV Ltd’s equity has been calculated at 1.75. Government securities (essentially risk-free) are currently yielding 13.5% p.a.and the market risk premium is 6% (including dividends, capital gains and imputation tax credit).∙The corporate tax rate is 36%, and the value of imputation tax credits, γ = 0.45.∙The following information has been extracted from Haney’s latest balance sheet:Debentures $61,000,000Unsecured Bank Loan $95,000,000Preference shares, 5%, $2$50,000,000parOrdinary shares ($1 par) $150,000,0003. The management of XYZ TV Ltd wants you to estimate the company’s after-effective-corporate-tax weighted average required rateof return. You have been given the following information regarding the company’s operations.Debt∙The company has issued $10 million (book value) of 90-day bank bills with a current interest rate of 6% p.a. The bills mature in 90 days.∙The debentures the company currently has outstanding were sold five years ago with a face value of $100 each and a coupon rate of 10% p.a. (with coupons paid quarterly). The outstanding debentures have ten years remaining to maturity. A merchant banker suggests that if a similar debenture were issued now, it would require a coupon rate of 8% p.a. in order for it to be fully subscribed at its face value.∙The company has a principal and interest loan with 10 years remaining to maturity. The original terms of the loan when it was taken out five years ago included annual repayments (payment at end of each year) at a fixed interest rate of 8% p.a. It has been estimated that a new loan with terms similar to these would cost 14% p.a.Equity∙The company’s preference shares are currently selling at $9.50 each and it pays a (partially) franked dividend annually.∙The company’s ordinary shares are currently selling at $1.10 each and the last annual (partially) franked dividend, which has just been paid, was 17.5 cents per share. The dividend growth rate is estimated to be 5% p.a. in perpetuity.Other Information∙The corporate tax rate is 36%, and the value of imputation tax credits, γ=0.6;∙The risk-free interest rate is 5% p. a;∙It is believed that the market value capital structure of the company is optimal; and.∙The following information has been extracted fro m the company’s latest balance sheet:Bill $10,000,000Debenture $25,000,000Mortgage Loan $10,000,000$20,000,000Preference shares, 14%, $10parOrdinary shares, $1 par $20,000,000Show all workings and state all assumptions.TUTORIAL 10 (WEEK COMMENCING 9 MAY)CAPITAL BUDGETING 3Questions and Problems: 9.14, plus additional questionsAdditional Questions:1. A company purchased a machine 7 years ago for $8,500. When it was purchased the machine had an expected useful life of 17 years and an estimated value of zero at the end of its life. The machine, which is being depreciated on a straight-line basis, currently has a written-down value of $5,000 and a current market value of $2,000. The manager reports that he can buy a new machine for $12,000 (including installation) which, over its 10-year life, will result in an expansion of sales from $9,000 to $12,000 p.a. The estimated value of the new machine at the end of its life is zero. In addition, it is estimated that the new machine will reduce annual operating costs from $7,000 to $6,000. The corporate tax rate is 36% and the franking level is 55%. Given the effective after-tax required rate of return 10%, should the company buy the new machine?2. It does not matter whether the prime cost or diminishing value method of depreciation is used, since the total tax bill over the life of the project is the same. Discuss.3. The Brails ford Mining Company has constructed a town at Jungilla, near the site of a rich mineral discovery in a remote part of Australia. The town will be abandoned when mining operations cease after an estimated 10-year period. The following estimates of investment costs, sales and operating expenses related to a project to supply Jungilla with meat and agricultural product over the 10-year period by developing nearby land.Investment in farm buildings is $400,000, and farm equipment $800,000. The buildings have an estimated useful life of 20 years, at which time their residual value would be zero, and they are to be depreciated on aprime-cost methods for tax purposes based on this life. The residual value of the buildings after 10 years is expected to be $100,000. The farm equipment has an estimated life of 10 years and a zero residual value. The equipment is to be depreciated on a prime-cost method.The project requires an investment of $500,000 in working capital and this will be recovered at the termination of the venture.∙Annual cash sales are estimated to be $6 million.∙Annual operating costs are estimated to be $4.4 million.∙Assume tax is paid one year after the year of the income.Is the project profitable, given that the after-tax cost of capital is 10% p.a., with a company tax rate of 36%, and 0.70 of the tax collected from the company is claimed by shareholders?4. The management of XYZ Company is considering replacing its existing plant, Plant A, with a new plant, Plant B. A survey has revealed the following estimates:Plant A Estimates Plant B Estimates Remaining life 5 years Life 10 years Salvage value: Cost $1,500At present time $350 Salvage Value:In 5 years’ time$70 In 5 years’ time$600Current bookvalue$400 In 10 years’ time$300Annual before-tax cash flows $700 Annual before-taxcash flows$800Depreciation p.a. $70 Depreciation p.a. $150Management is also aware of the development of Plant C, which will become available in 5 years’ time. The estimates for Plant C are:Plant C EstimatesCost $1,200Annual before-tax cash flows $500Life 15 yearsSalvage value:In 5 years’ time$400In 15 years’ time$100Depreciation p.a. $80Other information is as follows:∙Annual net cash flows are assumed to be received at the end of each year;∙The after-tax required rate of return is 10% p. a;∙The company’s tax rate is 36% and 0.80 of the tax collected from the company is claimed by shareholders.Management is only considering the two following alternatives:a) Replace Plant A with Plant B now and replace the latter withPlant C in 5 years’ time; or,b) Retain Plant A for 5 years and then replace with Plant C;Calculate the total Net Present Value (NPV) of each alternative. Advice management as to which alternative it should adopt based on the NPVs obtained. Show all workings and state all assumptions.TUTORIAL 11 (WEEK COMMENCING 16 MAY)CORPORATE ACQUISITIONQuestions and Problems: 11.1, 11.5, 11.7, and 11.10.TUTORIAL 12 (WEEK COMMENCING 23 MAY) INTRODUCTION TO DERIVATIVESQuestions and Problems: 1.8 and 1.9 in your supplementary readings, plus additional questionsAdditional Questions1. What is the difference between an American option and an European option? What features do they have in common?2. Explain the link between options, futures and forward contracts.3. Distinguish between speculator and hedger.4. You are considering some put and call options on BHP Ltd. and have available the following data:Call Option Put OptionTime to maturity 3 months 3 monthsExercise Price $5.5 $5.5Option price $0.256 $0.62$5 $5Current stockpriceAssume you are long in both the call and the put in the A series, what are the maturity and net payoffs for both options if the share price isi) $6.50ii) $4.50TUTORIAL 13 (WEEK COMMENCING 30 MAY)FUTURES AND FORWARDQuestions and Problems: 2.10, 2.12, 3.11, 3.13, 3.14, 3.16, and 3.17 in your supplementary readingsTUTORIAL 14 (WEEK COMMENCING 6 JUNE)OPTIONSQuestions and Problems: 7.12, 7.14, and 8.8 in your supplementary readings, plus an additional questionAdditional Question:1. A European call option and put option on a non-dividend-paying stock both have a strike price of $20 and an expiration date in 3 months. Both sell for $3. The risk-free interest rate is 10% p.a., the current stock price is $19. Identify the arbitrage opportunity open to an investor.。
投资组合管理-理论和实践(ppt 95)
k
kk
Ｖar(Ｒ)＝∑Ｃ2jσ2(Ｒj)＋∑∑ＣjＣj'ρjj’σ(Ｒj)σ(Ｒj')
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四、传统投资组合分析——简单投资组合
1、传统投资组合的问题——过度与适度组合规模
（1）扩大组合规模有助于减少组合风险，但当组合规模达到一 定规模时，组合风险趋于稳定，不再继续下降 。
（2）组合的管理成本（信息费用、交易费用等）随组合规模的扩大 而增加。
等 级 系统风险系数（β） 组合的均方差 组合的平均月收益 ────────────────────────────────
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厦门大学管理学院博士研究生课程专题之四 Portfolio Management: Theory & Practice
（b）当Ｒj与Ｒj‘之间完全正相关，ρjj’＝1，则
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（c）当Ｒj与Ｒj‘之间完全负相关，ρjj’＝-1，则
k
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Ｖar(Ｒ)＝∑Ｃ2jσ2(Ｒj)-∑∑ＣjＣj'σ(Ｒj)σ(Ｒj')
j=1
j=1 j'=1
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组合规模 组合技术
最低收益
最高收益
平均收益
标准差
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2011.07金融理论与实务（含答案）
2011.07金融理论与实务（含答案）全国2011年7月高等教育自学考试金融理论与实务试题课程代码：00150一、单项选择题(本大题共20小题，每小题1分，共20分)在每小题列出的四个备选项中只有一个是符合题目要求的，请将其代码填写在题后的括号内。
错选、多选或未选均无分。
1.人们选择以某种形式贮藏财富主要取决于( A )A.该种财富贮藏形式风险与收益的对比B.通货膨胀C.汇率D.货币收益2.出现“劣币驱逐良币”现象的货币制度是( C )A.金本位制B.银本位制C.金银复本位制D.金块本位制3.与直接融资相比，间接融资的优点不包括( D )A.灵活便利B.分散投资、安全性高C.具有规模经济D.信息公开、强化监督4.判断商业票据有效性的依据是( D )A.商业活动内容B.取得票据的过程C.交易规模D.票据的真实性5.将任何有收益的事物通过收益与利率的对比倒算出该事物相当于多大的资本金额被称作( D )A.收益B.利率C.收益资本化D.资本证券化6.以开放经济条件下的“一价定律”为理论基础的汇率决定理论是( A )A.购买力平价理论B.国际借贷说C.货币分析说D.资产组合平衡理论7.由我国境内股份公司发行的H股股票的上市交易地是( D )A.上海B.深圳C.纽约D.香港8.同业拆借通常( B )A.有担保B.是信用拆借C.有抵押D.有资产组合要求9.基金份额总数可变且投资者可在每个营业日申购或赎回基金份额的是( C )A.公司型基金B.契约型基金C.开放式基金D.封闭式基金1O.金融期货合约的特点不包括( D )A.在交易所内交易B.流动性强C.采取盯市原则D.保证金额高11.我国财务公司的特点是( D )A.以吸收储蓄存款为主要资金来源B.为消费者提供广泛金融服务C.以消费信贷业务为主营业务D.由大型企业集团成员单位出资组建12.巴塞尔银行监管委员会的领导机构是( A )A.国际清算银行B.世界银行C.国际货币基金组织D.OECD组织13.商业银行附属资本中不包括( A )未公开储备、重估储备、普通准备金、带有债务性质的资本工具和长期次级债务。
高等教育自学考试_对外经济管理概论真题2011年7月_真题(含答案与解析)-交互
高等教育自学考试对外经济管理概论真题2011年7月(总分100, 做题时间150分钟)课程代码：00053一、单项选择题（本大题共30小题，每小题1分，共30分）在每小题列出的四个备选项中只有一个是符合题目要求的，请将其代码填写在题后的括号内。
错选、多选或未选均无分。
1.根据联合国国际贸易标准分类，属于工业制成品的是（）SSS_SINGLE_SELA 运输设备B 动植物油、油脂和蜡C 饮料及烟草D 食品及主要供食用的鲜活动物该题您未回答:х该问题分值: 1答案:A2.比较优势学说形成于（）SSS_SINGLE_SELA 帝国主义时期B 垄断资本主义时期C 资本主义原始积累时期D 资本主义自由竞争时期该题您未回答:х该问题分值: 1答案:D3.根据《服务贸易总协定》，境外消费是指（）SSS_SINGLE_SELA 从一参加方境内向任何其他参加方境内提供服务B 在一参加方境内向任何其他参加方的服务消费者提供服务C 一参加方的服务提供者在任何其他参加方境内通过商业存在提供服务D 一参加方的服务提供者在任何其他参加方境内通过自然人存在提供服务该题您未回答:х该问题分值: 1答案:B4.在计算贸易条件时，同时考虑进出口商品劳动生产率变化的贸易条件称为（）SSS_SINGLE_SELA 净贸易条件B 收入贸易条件C 单项因素贸易条件D 双项因素贸易条件该题您未回答:х该问题分值: 1答案:D5.被马克思称为重商主义“圣经”的著作是（）SSS_SINGLE_SELA 《政治经济学及赋税原理》B 《国富论》C 《英国得自对外贸易的财富》D 《地域和国际贸易》该题您未回答:х该问题分值: 1答案:C6.属于垂直性产业内贸易理论模型的是（）SSS_SINGLE_SELA 新张伯伦垄断竞争模型B 寡头垄断模型C 新霍特林垄断竞争模型D 莎科特－萨顿模型该题您未回答:х该问题分值: 1答案:D7.现行的国际贸易条约和协定大多采用（）SSS_SINGLE_SELA 普遍优惠制条款B 无条件最惠国待遇条款C 美洲式最惠国待遇条款D 有条件最惠国待遇条款该题您未回答:х该问题分值: 1答案:B8.下列属于滑动关税的是（）SSS_SINGLE_SELA 反倾销税B 过境税C 反补贴税D 差价税该题您未回答:х该问题分值: 1答案:D9.政府机构在采购货物时，优先购买本国产品的政策称为（）SSS_SINGLE_SELA 进出口国家垄断B 进口押金制C 歧视性政府采购政策D 进口许可证制该题您未回答:х该问题分值: 1答案:C10.对外贸易乘数理论属于（）SSS_SINGLE_SELA 自由贸易理论B 管理贸易理论C 保护贸易理论D 战略贸易理论该题您未回答:х该问题分值: 1答案:C11.我国出口产品应退税种为（）SSS_SINGLE_SELA 销售税与盈利税B 增值税与消费税C 销售税与增值税D 盈利税与消费税该题您未回答:х该问题分值: 1答案:B12.按商标的构成要素分类，商标可分为（）SSS_SINGLE_SELA 制造商标、商业商标和服务商标B 营业商标、等级商标和证明商标C 制造商标、营业商标和证明商标D 文字商标、图形商标和组合商标该题您未回答:х该问题分值: 1答案:D13.设Px为出口价格指数，Pm为进口价格指数，Qx为出口数量指数，则收入贸易条件I等于（）SSS_SINGLE_SELA (Pm/Px)×QxB (Px/Pm)×QxC (Px/Qx)×PmD (Pm/Qx)×Px该题您未回答:х该问题分值: 1答案:B14.对外贸易经营者经依法登记后可以从事技术进出口贸易，这项规定来自于（）SSS_SINGLE_SELA 《中华人民共和国对外贸易法》B 《中华人民共和国进出口管理条例》C 《中华人民共和国技术引进合同管理条例》D 《中华人民共和国进出口合同登记管理办法》该题您未回答:х该问题分值: 1答案:A15.GATS的核心部分是（）SSS_SINGLE_SELA 范围与定义B 制度性条款C 逐步自由化D 一般责任与纪律该题您未回答:х该问题分值: 1答案:D16.《服务贸易总协定》正式生效于（）SSS_SINGLE_SELA 1991年B 1992年C 1995年D 1996年该题您未回答:х该问题分值: 1答案:C17.我国有关服务贸易的基本指导法律是（）SSS_SINGLE_SELA 《商业银行法》B 《外资金融机构管理条例》C 《国家海运条例》D 《中华人民共和国对外贸易法》该题您未回答:х该问题分值: 1答案:D18.当一国出现季节性国际收支逆差时，最宜采用的国际收支调节政策是（）SSS_SINGLE_SELA 外汇缓冲政策B 财政政策C 货币政策D 汇率政策该题您未回答:х该问题分值: 1答案:A19.典型的金本位制是（）SSS_SINGLE_SELA 金块本位制B 金币本位制C 虚金本位制D 金汇兑本位制该题您未回答:х该问题分值: 1答案:B20.国际资本市场中，银行中长期贷款的典型方式是（）SSS_SINGLE_SELA 双边贷款B 多边贷款C 银团贷款D 混合贷款该题您未回答:х该问题分值: 1答案:C21.我国单纯依靠指令性计划和行政办法保持外汇收支平衡的历史阶段是（）SSS_SINGLE_SELA 1978年改革开放前B 1996年至今C 1994年至1996年D 1978年-1994年该题您未回答:х该问题分值: 1答案:A22.中国现行外汇制度的特征是（）SSS_SINGLE_SELA 人民币经常项目可兑换B 企业对外直接投资不受限制C 中国居民对外进行证券投资不受限制D 外国居民对中国进行证券投资不受限制该题您未回答:х该问题分值: 1答案:A23.中外合作经营企业的主要特征是双方权利义务由（）SSS_SINGLE_SELA 投资比例决定B 合同约定C 投资数额决定D 股权比例决定该题您未回答:х该问题分值: 1答案:B24.非关税贸易壁垒是指除关税以外的（）SSS_SINGLE_SELA 鼓励贸易措施B 限制贸易措施C 贸易自由化措施D 促进贸易措施该题您未回答:х该问题分值: 1答案:B25.债务率是衡量一国负债能力和风险的指标，国际公认的警戒线为（）SSS_SINGLE_SELA 20%B 30%C 50%D 100%该题您未回答:х该问题分值: 126.我国企业进行境外股权投资的主要方式有（）SSS_SINGLE_SELA 独资企业、管理合约B 合资企业、销售协议C 独资企业、合资企业D 许可证合同、管理合约该题您未回答:х该问题分值: 1答案:C27.“走出去”战略大体上可以分为三个层次，第三个层次是（）SSS_SINGLE_SELA 商品输出B 资本输出C 品牌输出D 劳务输出该题您未回答:х该问题分值: 1答案:C28.规定承包商在将工程项目建成后继续经营该项目一段时间，然后再转让给业主的国际工程承包合同是（）SSS_SINGLE_SELA 施工合同B BOT合同C 交产品合同D 交钥匙合同该题您未回答:х该问题分值: 1答案:B29.在招标中业主分别与各候选人谈判并落实合同的条款与细节，决定中标人的过程叫（）SSS_SINGLE_SELA 开标B 评标C 议标D 定标该题您未回答:х该问题分值: 1答案:D联合国发展系统的最大筹资机构是联合国（）SSS_SINGLE_SELA 开发计划署B 人口活动基金会C 儿童基金会D 经济与社会理事会该题您未回答:х该问题分值: 1答案:A二、多项选择题（本大题共10小题，每小题2分，共20分）在每小题列出的五个备选项中至少有两个是符合题目要求的，请将其代码填写在题后的括号内。
7投资组合理论
无差异曲线的特征：
1、无差异曲线的斜率为正； 2、无差异曲线是向下凸的； 3、同一投资者有无限多条无差异曲线； 4、同一投资者在同一时间、同一时点的任何两 条无差异曲线都不能相交。
注意：无差异曲线的斜率越大，投资者越厌恶风 险。
投资者的投资效用函数
投资效用函数(U)：
U U ( R, )
决定了两者的相切点只有一个，也就是说最优投 资组合是唯一的。
有效集是客观存在的，无差异曲线是主观的，因
此最优投资组合的位置依投资者的风险厌恶程度 不同而不同。
第六节 无风险借贷对有效集的影响
无风险贷款（无风险资产）？
1、收益率确定；
2、收益率的标准差为零，其与风险资产收益率 之间的协方差也为零。
投资组合理论的发展（三）
• Richard Roll（1976）对CAPM提出了批评，认 为这一模型永远无法实证检验；
• Stephen Ross（1976）突破了CAPM，提出了套 利定价模型（arbitrage pricing model , APT)；
• Fama（1970）提出了有效市场假说。 • 资本市场的混沌（Chaos）(分形）假说。
现实生活中，无风险资产的界定： 1、没有任何违约可能； 2、没有市场风险。
无风险借贷
投资于无风险资产相当于以无风险利率贷出一定 数量的资金，又称作“无风险贷出”（risk-free lending）。 卖空无风险资产相当于以无风险利率借入一定数 量的资金，又称为“无风险借入”（risk-free borrowing）。 无风险资产的买卖只不过是手段，实质是存在无 风险的借贷市场。
现代投资组合理论的框架体系
E—σ 模型