[{"data":1,"prerenderedAt":47},["ShallowReactive",2],{"q-sitca_invest-115-1-003":3},{"exam":4,"examName":5,"chapterSlug":6,"question":7,"related":22},"sitca_invest","投信投顧業務員資格測驗——證券投資與財務分析","c6",{"id":8,"exam":4,"session":9,"qno":10,"question":11,"options":12,"answer":17,"chapter":18,"freq":19,"explanation":20,"difficulty":21},"sitca_invest-115-1-003","115-1",3,"有一投資組合過去 10 年的平均年報酬率為 12%，變異數為 25%，無風險利率為 4%，貝他係數為1.2，請試算其崔納指數為多少？",[13,14,15,16],"8%","16%","6.67%","12.5%",2,"投資組合理論與資本資產訂價",1,"(C) 正確。崔納指數=(投資組合報酬率−無風險利率)÷β=(12%−4%)÷1.2=6.67%。變異數 25% 是干擾資訊,崔納用系統風險 β 而非總風險。(A) 8% 是未除以 β 的超額報酬;(D) 12.5% 是誤用標準差概念;(B) 為誤乘結果。","medium",[23,27,31,35,39,43],{"id":24,"question":25,"qno":26},"sitca_invest-114-3-009","假設兩股票報酬率之相關係數為－1，甲股票預期報酬率為 0.10，報酬率標準差為 0.20，乙股票之預期報酬率為 0.06，報酬率標準差為 0.10，若想利用甲、乙兩股票組成一無風險投資組合時，則其比重分配應為何？",9,{"id":28,"question":29,"qno":30},"sitca_invest-114-3-010","所謂效率投資組合(Efficient Portfolio)是指：甲.在固定風險水準下，期望報酬率最高之投資組合；乙.在固定期望報酬率水準下，風險最高之投資組合；丙.在固定風險水準下，期望報酬率最低之投資組合；丁.在固定期望報酬率水準下，風險最低之投資組合",10,{"id":32,"question":33,"qno":34},"sitca_invest-114-3-011","在市場投資組合右上方之投資組合，其市場投資組合與無風險資產權重可能為多少？",11,{"id":36,"question":37,"qno":38},"sitca_invest-114-3-012","依 CAPM，若投資標的物之預期報酬率「大於」市場投資組合之預期報酬率，則此投資標的物之β(Beta)係數為：",12,{"id":40,"question":41,"qno":42},"sitca_invest-114-3-013","請問當投資組合尚未完全分散仍存有非系統風險時，則較適合使用下列何種投資績效評估指標？",13,{"id":44,"question":45,"qno":46},"sitca_invest-114-3-020","若無風險利率為 4%，市場組合之期望報酬率為 10%。根據分析，甲股票報酬率 11%，β係數為 0.8，乙股票報酬率為 12%，β係數為 1.5。依照 CAPM，下列何者為適當的買賣策略？",20,1784190278164]