1. John randomly picks four portfolios that are constructed by investing different weights in two stocks. The expected return and STD of these portfolios are given below.

Portfolio Expectation Return Standard Deviation

X 8% 20%

Y 9% 24%

Z 10% 22%

W 11 % 27%

Which of the following portfolios is definitely NOT on the efficient frontier?

1. Portfolio X.
2. Portfolio Y.
3. Portfolio Z.
4. Portfolio W.

1. Suppose there is only one systematic risk factor, and you have the following information on different assets.

Asset	Systematic variance	Firm-specific variance
A	0.22	0.16
B	0.25	0.14
C	0.20	0.12

Which one of the followings is NOT true?

1. Asset A has the largest beta
2. Asset B has the largest beta
3. Asset C has the least beta
4. Asset A has the largest firm-specific risk
5. Asset B has the largest total variance
6. Asset C has the least total variance

1. Joe designed a trading strategy based on the announcements of unemployment rate. He earned abnormal returns using this strategy. Joes strategy is directly against the believes of the _____ of efficient market hypothesis (EMH).

1. Weak form
2. Semi-strong form
3. Strong form
4. Weak and semi-strong form
5. Semi-strong and strong form
6. Weak, semi-strong, and strong form (all three forms)

1. If the semi-strong form of market efficiency holds,

1. There should be correlation between period returns.
2. Technical analysis can result in superior returns.
3. The market price would not represent the true value of an asset.
4. Security analysis would not be beneficial in increasing the return on a portfolio.