考北美精算师的的孩儿们，你们身在哪里呢？精算师明年的考试*7资讯由高顿网校[*{7}*]发布——【SOA珍贵真题】May2005ExamC（四）——北美精算师考试
　　12.YouaregiventhefollowingwithrespecttoStockX:
　　?Stockpricetoday:10
　　?Stockpriceoneyearfromtoday:either12or7
　　?Calloptionstrikeprice:11
　　Theannualinterestis5%.
　　Calculatetheno-arbitragecalloptionpriceonStockXasoftoday.
　　(A)0.67
　　(B)0.74
　　(C)1.40
　　(D)1.47
　　(E)3.33
　　Course6:Spring2005-15-GOONTONEXTPAGE
　　MorningSession
　　THISPAGEINTENTIONALLYLEFTBLANK
　　Course6:Spring2005-16-GOONTONEXTPAGE
　　MorningSession
 
　　13.Foraportfolioofinvestment-gradefixed-incomesecurities,rankthefollowingfactorsby
　　theirimpactontheportfolioreturnfromgreatesttoleast.
　　(A)Durationmanagement,individualbondselection,sectorselection
　　(B)Durationmanagement,sectorselection,individualbondselection
　　(C)Individualbondselection,durationmanagement,sectorselection
　　(D)Individualbondselection,sectorselection,durationmanagement
　　(E)Sectorselection,individualbondselection,durationmanagement
 
　　14.Youaregiventhefollowinginformationwithrespecttoastockportfolio:
　　StockPortfolioProportionβ
　　A75%1.25
　　B25%1.45
　　Themarketriskpremiumis4%.
　　Calculatetheriskpremiumoftheportfolio.
　　(A)5.0%
　　(B)5.2%
　　(C)5.4%
　　(D)5.6%
　　(E)5.8%
　　Course6:Spring2005-17-GOONTONEXTPAGE
　　MorningSession
　　THISPAGEINTENTIONALLYLEFTBLANK
　　Course6:Spring2005-18-GOONTONEXTPAGE
　　MorningSession
 
　　15.Youaregiventhefollowingwithrespecttoaportfolioofzero-couponbonds:
　　BondCurrentValueMaturityValueTimetoMaturity
　　A10001081.602years
　　B10001215.514years
　　Calculatetheyield-to-maturityforthisportfolio.
　　(A)4.3%
　　(B)4.5%
　　(C)4.7%
　　(D)9.6%
　　(E)10.0%
　　Course6:Spring2005-19-GOONTONEXTPAGE
　　MorningSession
　　THISPAGEINTENTIONALLYLEFTBLANK
　　Course6:Spring2005-20-GOONTONEXTPAGE
　　MorningSession
 
　　16-20.Eachofquestions16through20consistsoftwolists.Inthelistattheleftaretwoitems,
　　letteredXandY.Inthelistattherightarethreeitems,numberedI,IIandIII.ONEof
　　thelettereditemsisrelatedinsomewaytoEXACTLYTWOofthenumbereditems.
　　Indicatetherelateditemsusingthefollowinganswercode:
　　LetteredItem
　　IsRelatedtoNumberedItems
　　(A)
　　X
　　IandIIonly
　　(B)
　　X
　　IIandIIIonly
　　(C)
　　Y
　　IandIIonly
　　(D)
　　Y
　　IandIIIonly
　　(E)
　　Thecorrectanswerisnotgivenby(A),(B),(C)or(D).
 
　　16.X.BondsI.Residualclaim
　　Y.CommonstockII.Limitedliability
　　III.Maturitydate
 
　　17.X.CombinationbyformulaI.Equivalenttopurchasinganoption
　　Y.MultipleassetperformanceII.Assumesthattheimmunization
　　targetreturnexceedseitherthe
　　minimumreturnortheexpected
　　worstcaseactivereturn
　　III.Activemanagementproportionwill
　　varyinverselywiththeminimal
　　acceptablereturn
　　Course6:Spring2005-21-GOONTONEXTPAGE
　　MorningSession
 
　　18.X.ImmunizationstrategyI.Transactionsareafunctionof
　　volatilityandtime
　　Y.Total-returnstrategyII.Explicitlyconsidersreal-world
　　constraintssuchastaxeffects,
　　regulatoryrestrictionsandGAAP
　　accounting
　　III.Managermaytakeadvantageofa
　　perceivedchangeinvalueinthe
　　market
 
　　19.X.RainbowoptionsI.Knockoutoptions
　　Y.BarrieroptionsII.Basedonthemaximumorminimum
　　ofth*uesofseveralassets
　　III.Oftenariseaspartofastructured
　　security
 
　　20.X.SpreadanalysisI.Comparesthetotalreturnand
　　durationofvariousassets
　　Y.RelativereturnvalueanalysisII.Analyzespricesandyieldsbybond
　　marketsector
　　III.Usesregressiontodetermine
　　portfolioexpectations
　　Course6:Spring2005-22-GOONTONEXTPAGE
　　MorningSession
　　21-26.Questions21through26consistofanassertionintheleft-handcolumnandareasonin
　　theright-handcolumn.Codeyouranswertoeachquestionbyblackeningspace:
　　(A)Ifboththeassertionandthereasonaretruestatements,andthereasonisacorrect
　　explanationoftheassertion.
　　(B)Ifboththeassertionandthereasonaretruestatements,butthereasonisNOTa
　　correctexplanationoftheassertion.
　　(C)Iftheassertionisatruestatement,butthereasonisafalsestatement.
　　(D)Iftheassertionisafalsestatement,butthereasonisatruestatement.
　　(E)Ifboththeassertionandthereasonarefalsestatements.
　　21.
　　ASSERTION
　　Discountingthescheduledstream
　　ofcashflowsbytheforwardrates
　　providesthemarketvalueofa
　　callablebond.
　　BECAUSE
　　REASON
　　Forwardratescanbeusedto
　　determineth*ueofanystream
　　offixedcashflows.
　　高顿网校之短句汇编：上帝绝不会只赋予你使命，而不给你时间去完成。 —— 约·罗斯金