Q18)

Which of the following statements about indfference-curves in mean-variance space is true?

O Higher indifference curves correspond to lower levels of utility

O Investor utility is maximised on a given indifference curve where

expected returns are lowest

O The Sharpe ratio can be found by estimating the gradient of an

investor's indifference curve at any point

O An investor's utility is maximised at the point where their

indifference curves intersect

O Steeper indifference curves mean that risk averse investos require

a greater increase in expected retun to compensate for an increase in portiolio risk

Q19)

Which of the following statements is most correct?

O The Treynor-Black model uses security anal is to inform the

construction of a passive portiolio

O The Treynor-Black model uses security analysis to inform the

construction of an index portfolio

O The Treynor-Black model uses security analysis to inform the

construction of an active portfolio

O The Treynor-Black model uses security analysis toinformthe

construction of a low volatility portfolio

O The Treynor-Black model uses security analysis to intom the

construction of a market portfolio

Q20)

The beta of an active portfolio is 1.20 and the non-systematic

variance of the active portfolio is 0.01. The standard deviation

of the returns on the market index is 20% Assuming the Single

Index Model holds, what is the standard deviation of the

returns on the active portfolio?

O 24.0%

O 26.0%

0 10.0%

0 29.8%

0 6.8%

Q21)

Assume that an investment analyst wishes to use the ful-

covariance Markowitz model to identify a mean- variance

efficient portfolio with 125 stocks. How many covariance

estimates will their model require?

0 15625

0 7750

0 125

0 1125

O 250