请问有来报考今年10月底的北美精算师的学子么？赶紧鼠标点击进来学习——北美精算师历届SOA真题收藏：2003年5月Course6（第三部分课程）。　　3. X. Multiple asset performance I. Allocates a portion of the initial
　　portfolio to active management with the
　　balance being immunized.
　　Y. Contingent immunization II. Option valuation-based approach to
　　fixed-income asset allocation.
　　III. Objective is to achieve a portfolio
　　return equal to the return of the best
　　performing of the various fixed income
　　asset classes held in the portfolio, less a
　　predetermined strategy cost.
　　Course 6: Spring 2003 - 14 - GO ON TO NEXT PAGE
 
　　4. X. Arbitrage Pricing Theory I. Assumes an unobservable market
　　portfolio.
　　Y. Capital Asset Pricing Model II. Provides an unequivocal statement on
　　the expected return-beta relationship
　　for all assets.
　　III. Highlights the crucial distinction
　　between diversifiable and
　　nondiversifiable risk.
 
　　5. X. Putable Bond I. Positive convexity
　　Y. Callable Bond II. As interest rates decrease, the bond
　　duration decreases
　　III. Negative convexity
 
　　6. X. Markowitz Portfolio Selection Model I. Separates risk into macro and micro
　　components.
　　Y. Index Model II. Requires a large number of estimates.
　　III. Allows for specialization of effort in
　　security analysis.
　　Course 6: Spring 2003 - 15 - GO ON TO NEXT PAGE
　　3-8. Each of questions 3 through 8 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).
 
　　7. X. Insured asset allocation I. Assumes the investor’s risk tolerance is
　　unaffected by changes in the investor’s
　　circumstance.
　　Y. Tactical asset allocation II. Assumes expected returns, variances
　　and correlations remain the same over
　　time.
　　III. Goal is to take advantage of perceived
　　inefficiencies in capital markets.
 
　　8. X. Limit-buy order I. Buy stock when the price falls below a
　　given price limit.
　　Y. Stop-buy order II. Often accompanies short sales.
　　III. Buy stock when the price rises above a
　　given price limit.
　　Course 6: Spring 2003 - 16 - GO ON TO NEXT PAGE
　　USE THIS PAGE FOR YOUR SCRATCH WORK
　　Course 6: Spring 2003 - 17 - GO ON TO NEXT PAGE
 
　　9. You are given the following with respect to two portfolios:
　　Portfolio A Portfolio B
　　Expected Return 10% 8%
　　Variance 2% 3%
　　An investor has all his funds in Portfolio A. His expected utility is the same as for a certain
　　return of 6%.
　　Calculate the equivalent certain return for Portfolio B for this investor.
　　(A) –0.50%
　　(B) 2.00%
　　(C) 3.00%
　　(D) 3.67%
　　(E) 6.50%
　　Course 6: Spring 2003 - 18 - GO ON TO NEXT PAGE
　　USE THIS PAGE FOR YOUR SCRATCH WORK
　　Course 6: Spring 2003 - 19 - GO ON TO NEXT PAGE
 
　　10. You are given the following with respect to a treasury bill:
　　?  price on June 30, 2003: 9,800
　　?  par value: 10,000
　　?  maturity date: December 31, 2003
　　Calculate the difference between the effective annual rate and the bank discount yield as of June
　　30, 2003.
　　(A) 0.12%
　　(B) 0.13%
　　(C) 0.16%
　　(D) 0.17%
　　(E) 0.21%
　　Course 6: Spring 2003 - 20 - GO ON TO NEXT PAGE
　　USE THIS PAGE FOR YOUR SCRATCH WORK
　　Course 6: Spring 2003 - 21 - GO ON TO NEXT PAGE
 
　　11-15. Questions 11 through 15 consist of an assertion in the left-hand column and a reason in the
　　right-hand column. Code your answer to each question by blackening space:
　　(A) If both the assertion and the reason are true statements, and the reason is a correct
　　explanation of the assertion.
　　(B) If both the assertion and the reason are true statements, but the reason is NOT a
　　correct explanation of the assertion.
　　(C) If the assertion is a true statement, but the reason is a false statement.
　　(D) If the assertion is a false statement, but the reason is a true statement.
　　(E) If both the assertion and the reason are false statements.
　　加紧学习，抓住中心，宁精勿杂，宁专勿多。——高顿网校名人心语

 

 
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