下面高顿网校展示的则是02年5月份那场北美精算师考试SOA真题Course6（二），慢慢累积所有知识点。
　　6. (5 points) You are given the following information about three stocks in a multiple stock
　　universe using the single-index model:
　　Beta Mean Excess Return Standard Deviation
　　Stock I 1.25 12% 40%
　　Stock II 0.75 5% 25%
　　Stock III 1.75 12% 40%
　　Market 1.00 8% 20%
　　The risk-free rate is 6% per year.
　　(a) Explain why the single-index model is an effective tool for portfolio optimization.
　　(b) Determine the value of the items in the input list required for the development of
　　a Markowitz efficient frontier.
　　(c) Calculate the expected return and standard deviation for a portfolio consisting of
　　equal proportions of Stock I, Stock II, and Stock III.
　　Show all work.
 
　　7. (8 points) You are given the following information for company XYZ:
　　? it only sells deferred annuities with rates guaranteed to age 65
　　? its target market is young professionals under the age of 30
　　? policy surrenders are paid at the greater of book value and market value
　　? products are credited with new money interest rates, which are currently at
　　historical lows
　　? currently the liabilities are supported by fixed income securities
　　XYZ is considering investing up to 50% of assets supporting the liabilities in equity
　　investments.
　　XYZ has implemented an annual process to monitor duration mismatch between assets
　　and liabilities.
　　Analyze XYZ’s interest rate risk management practices and, if appropriate, recommend
　　changes to current practices to help minimize this risk.
　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE
　　MORNING SESSION
　　COURSE 6
　　MORNING SESSION
　　SECTION B – MULTIPLE CHOICE
　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE
　　MORNING SESSION
　　1. You are given the following characteristics of a zero-coupon bond:
　　? term to maturity: 5 years
　　? yield: 8% on a semi-annual basis
　　Calculate the original-issue discount.
　　(A) 31.9%
　　(B) 32.4%
　　(C) 46.3%
　　(D) 53.7%
　　(E) 67.6%
　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE
　　MORNING SESSION
　　2. You are given the following information about a trading day on the New York Stock
　　Exchange (NYSE):
　　? advances: 2,000
　　? declines: 1,500
　　? advancing volume: 300,000
　　? declining volume: 600,000
　　Calculate the trin statistic and indicate if the NYSE is considered bearish or bullish for
　　that given day.
　　(A) 0.38, bearish
　　(B) 0.38, bullish
　　(C) 2.00, bullish
　　(D) 2.67, bearish
　　(E) 2.67, bullish
　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE
　　MORNING SESSION
　　3. You are given the following information as of January 1, 2002:
　　? stock price: 67
　　? call option price: 2
　　? call option strike price: 72
　　? call option expiry: January 1, 2003
　　? rate of return on a one-year T-bill: 4% annual effective
　　Stock Price on
　　January 1, 2003
　　Probability
　　76 0.60
　　64 0.40
　　Calculate the risk premium for the call option.
　　(A) 0.05
　　(B) 0.16
　　(C) 0.32
　　(D) 0.40
　　(E) 0.46
　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE
　　MORNING SESSION
　　4. You are given the following information for a portfolio consisting of three stocks:
　　Weight Wi b g Beta bi b g Standard Deviation s i b g
　　Stock I 20% 1.2 11%
　　Stock II 40% 0.9 14%
　　Stock III 40% 1.0 20%
　　The standard deviation of the deviation of the common factor from its expected value
　　s F b g is 15%.
　　Using a single factor arbitrage pricing model, calculate the nonsystematic risk standard
　　deviation for this portfolio.
　　(A) 10.0%
　　(B) 15.0%
　　(C) 15.8%
　　(D) 16.2%
　　(E) 18.0%
　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE
　　MORNING SESSION
　　生活若剥去理想梦想幻想，那生命便只是一堆空架子。——高顿网校精品语录

 

 
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