27-1Copyright©2017McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducationChapter27TestBank-StaticStudent:___________________________________________________________________________MultipleChoiceQuestions1.IntheTreynor-Blackmodel,A.portfolioweightsaresensitivetolargealphavalues,whichcanleadtoinfeasiblelongorshortpositionsformanyportfoliomanagers.B.portfolioweightsarenotsensitivetolargealphavalues,whichcanleadtoinfeasiblelongorshortpositionsformanyportfoliomanagers.C.portfolioweightsaresensitivetolargealphavalues,whichcanleadtotheoptimalportfolioformostportfoliomanagers.D.portfolioweightsarenotsensitivetolargealphavalues,whichcanleadtotheoptimalportfolioformostportfoliomanagers.2.Absentresearch,youshouldassumethealphaofastockisA.zero.B.positive.C.negative.D.notzero.E.zeroorpositive.3.Ifyoubeginwitha______andobtainadditionaldatafromanexperiment,youcanforma______.A.posteriordistribution;priordistributionB.priordistribution;posteriordistributionC.tightposterior;BayesiananalysisD.tightprior;BayesiananalysisE.Noneoftheoptionsarecorrect.4.BenchmarkriskisdefinedasA.thereturndifferencebetweentheportfolioandthebenchmark.B.thestandarddeviationofthereturnofthebenchmarkportfolio.C.thestandarddeviationofthereturndifferencebetweentheportfolioandthebenchmark.D.thestandarddeviationofthereturnoftheactively-managedportfolio.5.BenchmarkriskA.isinevitableandisneverasignificantissueinpractice.B.isinevitableandisalwaysasignificantissueinpractice.C.cannotbeconstrainedtokeepaTreynor-Blackportfoliowithinreasonableweights.D.canbeconstrainedtokeepaTreynor-Blackportfoliowithinreasonableweights.6.____________canbeusedtomeasureforecastqualityandguideintheproperadjustmentofforecasts.A.RegressionanalysisB.ExponentialsmoothingC.ARIMAD.MovingaveragemodelsE.GAUSS7.Evenlow-qualityforecastshaveproventobevaluablebecauseR-squaresofonly____________inregressionsof27-2Copyright©2017McGraw-HillEducation.Allrightsreserved.Noreproductionordistri...
