CFA考试《CFA三级》历年真题精选及详细解析1007-20

CFA考试《CFA三级》历年真题精选及详细

解析1007-20

1、【单选题】

A.exhibit characteristics of multiple investor types. B.retain the same emotional biases as they become older. C.exhibit primarily emotional or cognitive biases, but not both. 正确答案:A

答案解析:A is correct. A limitation of behavioral models is that individual investors do frequently

2、Which of Schumacher\\'s three outcomes is most likely consistent with the ALM approach?【单选题】 A.Outcome 1 B.Outcome 3 C.Outcome 2 正确答案:A

答案解析:Outcome 1 is consistent with the ALM approach. The ALM approach to strategic asset allocation, which involves explicitly modeling liabilities and adopting the optimal asset allocation in relation to funding liabilities, characteristically

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results in a higher allocation to fixed-income instruments than an asset-only (AO) approach. Compared with AO, an ALM approach affords much more precision in controlling risk related to the funding of liabilities. The global market equilibrium portfolio is the default strategic asset allocation for the Black–Litterman AO approach.

3、Are Wilson’s closing remarks consistent with recommended practices and procedures designed to prevent violations of the Asset Manager Code of Professional Conduct?【单选题】 A.Yes

B.No, with regard to disclosure of the firm’s risk management process

C.No, with regard to the business continuity plan 正确答案:C

答案解析:At a minimum, Section D, Risk Management, Compliance, and Support, of the Asset Manager Code recommends that a business continuity plan include plans for contacting and communicating with clients during a period of extended disruption. Wilson’s continuity plan includes no such strategy. Wilson’s recommendation for disclosing the firm’s risk management process to both clients and regulators goes beyond the code recommendation, which is to disclose the risk

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management process only to clients.

4、Schumacher\\'s concern about international investments that Roth might find advantageous most likely pertains to:【单选题】 A.conditional correlation. B.the efficient frontier. C.market integration. 正确答案:C

答案解析:The lack of market integration (or the absence of free cross-border capital flows) can be an advantage if it increases market segmentation and helps prevent correlations with other markets from rising. Increased integration of markets can decrease diversification benefits, whereas returns in segmented markets will be influenced mostly by a specific country’s own macroeconomy and will be less subject to changes in correlations when volatility increases. Global correlations tend to increase in times of increased volatility and even appear to be conditional on global volatility. The efficient frontier and traditional mean–variance analysis using unconditional correlations would not apply because correlations remain low when returns are high but become high when returns are negative.

5、Assuming Silva\\'s advice is followed and Libor rates are 5%

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and 6% on 15 October 2013 and 15 December 2013, respectively, the effective annual interest rate on Short Hills Corporation\\'s loan is closest to:【单选题】 A.3.50%. B.5.42%. C.4.64%. 正确答案:B

答案解析:The effective annual rate is calculated as follows:

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