高顿网校友情提示，为您精心编制的8月7日立秋季节*7的SOA北美地区2005年5月那年精算师的真题Course6（三）。
　　10.
　　ASSERTION
　　If a risk-free asset is available,
　　only aggressive investors will be
　　affected by a restriction on
　　borrowing.
　　BECAUSE
　　REASON
　　A borrowing restriction drives
　　aggressive investors to portfolios
　　on the efficient frontier of risky
　　assets.
　　Course 6: Spring 2005 - 12 - GO ON TO NEXT PAGE
　　Morning Session
　　11. A fixed-rate bond with a market value of 20 million and a duration of 4 is separated into
　　three bonds. Two of the bonds are floaters and the third is an inverse floater.
　　You are given the following information with respect to the floaters:
　　Floater Market Value Duration
　　A 16 million 1
　　B 2 million 0.5
　　Calculate the duration of the inverse floater.
　　(A) 2.50
　　(B) 3.06
　　(C) 3.15
　　(D) 25.20
　　(E) 31.50
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　　Morning Session
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　　Morning Session
　　12. You are given the following with respect to Stock X:
　　? Stock price today: 10
　　? Stock price one year from today: either 12 or 7
　　? Call option strike price: 11
　　The annual interest is 5%.
　　Calculate the no-arbitrage call option price on Stock X as of today.
　　(A) 0.67
　　(B) 0.74
　　(C) 1.40
　　(D) 1.47
　　(E) 3.33
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　　Morning Session
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　　Morning Session
　　13. For a portfolio of investment-grade fixed-income securities, rank the following factors by
　　their impact on the portfolio return from greatest to least.
　　(A) Duration management, individual bond selection, sector selection
　　(B) Duration management, sector selection, individual bond selection
　　(C) Individual bond selection, duration management, sector selection
　　(D) Individual bond selection, sector selection, duration management
　　(E) Sector selection, individual bond selection, duration management
　　14. You are given the following information with respect to a stock portfolio:
　　Stock Portfolio Proportion β
　　A 75% 1.25
　　B 25% 1.45
　　The market risk premium is 4%.
　　Calculate the risk premium of the portfolio.
　　(A) 5.0%
　　(B) 5.2%
　　(C) 5.4%
　　(D) 5.6%
　　(E) 5.8%
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　　Morning Session
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　　Course 6: Spring 2005 - 18 - GO ON TO NEXT PAGE
　　Morning Session
　　15. You are given the following with respect to a portfolio of zero-coupon bonds:
　　Bond Current Value Maturity Value Time to Maturity
　　A 1000 1081.60 2 years
　　B 1000 1215.51 4 years
　　Calculate the yield-to-maturity for this portfolio.
　　(A) 4.3%
　　(B) 4.5%
　　(C) 4.7%
　　(D) 9.6%
　　(E) 10.0%
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　　Morning Session
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　　Course 6: Spring 2005 - 20 - GO ON TO NEXT PAGE
　　Morning Session
　　16-20. Each of questions 16 through 20 consists of two lists. In the list at the left are two items,
　　lettered X and Y. In the list at the right are three items, numbered I, II and III. ONE of
　　the lettered items is related in some way to EXACTLY TWO of the numbered items.
　　Indicate the related items using the following answer code:
　　Lettered Item
　　Is Related to Numbered Items
　　(A)
　　X
　　I and II only
　　(B)
　　X
　　II and III only
　　(C)
　　Y
　　I and II only
　　(D)
　　Y
　　I and III only
　　(E)
　　The correct answer is not given by (A), (B), (C) or (D).
　　16. X. Bonds I. Residual claim
　　Y. Common stock II. Limited liability
　　III. Maturity date
　　17. X. Combination by formula I. Equivalent to purchasing an option
　　Y. Multiple asset performance II. Assumes that the immunization
　　target return exceeds either the
　　minimum return or the expected
　　worst case active return
　　III. Active management proportion will
　　vary inversely with the minimal
　　acceptable return
　　Course 6: Spring 2005 - 21 - GO ON TO NEXT PAGE
　　Morning Session
　　18. X. Immunization strategy I. Transactions are a function of
　　volatility and time
　　Y. Total-return strategy II. Explicitly considers real-world
　　constraints such as tax effects,
　　regulatory restrictions and GAAP
　　accounting
　　III. Manager may take advantage of a
　　perceived change in value in the
　　market
　　19. X. Rainbow options I. Knockout options
　　Y. Barrier options II. Based on the maximum or minimum
　　of the values of several assets
　　III. Often arise as part of a structured
　　security
　　时间就是生命，无端的空耗别人的时间，其实无异于谋财害命的。——高顿网校名言警句