"Portfolio Management":risk tolerance

来源: 正保会计网校编辑：小鞠橘桔 2021/03/17 14:33:51　字体：大小

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Questions 1:

A security has a beta of 1.30. If the risk-free rate of interest is 3% and the expected return of the market is 8%, based on the capital asset pricing model (CAPM), the expected return of the security is closest to:

A 、6.5%.

B 、13.4%.

C、 9.5%.

Questions 2:

Two risk managers are discussing how an organization’s risk tolerance should be determined. The first manager says, “The risk tolerance must reflect the losses or shortfalls that will cause the organization to fail to meet critical objectives.” The second manager responds, “The risk tolerance must reflect the external forces that bring uncertainty to the organization.” Which of them is most likely correct?

A 、 The second risk manager

B 、The first risk manager

C、 Both risk managers

View answer resolution

【Answer to question 1】C

【analysis】

C is correct. The formula for the CAPM is expressed as E(Ri ) = Rf + βi [E(Rm) – Rf ] or 3% + [1.3 × (8% – 3%)] = 9.5%.

A is incorrect. It ignores the risk-free rate: 1.3 × (8% – 3%) = 6.5%.

B is incorrect. The market return is incorrectly interpreted as the market risk premium: 3% + 1.3 × 8% = 13.4%.

【Answer to question 2】C

【analysis】

C is correct. The risk tolerance of an organization should reflect both an “inside” view and an “outside” view. The inside view asks what level of loss will leave the organization unable to meet critical objectives. The outside view asks what sources of uncertainty or risk the organization faces.

A is incorrect because both an “inside” and “outside” view must be reflected.

B is incorrect because both an “inside” and “outside” view must be reflected.

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