[{"data":1,"prerenderedAt":69},["ShallowReactive",2],{"chapter-sitca_invest-c6":3},{"examName":4,"chapter":5,"questions":10},"投信投顧業務員資格測驗——證券投資與財務分析",{"name":6,"sort":7,"count":8,"slug":9},"投資組合理論與資本資產訂價",6,15,"c6",[11,16,20,24,28,32,36,40,44,49,52,55,58,62,65],{"id":12,"qno":13,"question":14,"session":15},"sitca_invest-114-3-009",9,"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？","114-3",{"id":17,"qno":18,"question":19,"session":15},"sitca_invest-114-3-010",10,"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",{"id":21,"qno":22,"question":23,"session":15},"sitca_invest-114-3-011",11,"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？",{"id":25,"qno":26,"question":27,"session":15},"sitca_invest-114-3-012",12,"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：",{"id":29,"qno":30,"question":31,"session":15},"sitca_invest-114-3-013",13,"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？",{"id":33,"qno":34,"question":35,"session":15},"sitca_invest-114-3-020",20,"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？",{"id":37,"qno":38,"question":39,"session":15},"sitca_invest-114-3-021",21,"在資本資產定價模式中，設無風險利率 1%，市場投資組合期望報酬 11%，某公司股票報酬率變異數 0.16，股票報酬率與市場投資組合報酬率的共變異數(Covariance)等於 0.108，市場投資組合報酬率變異數 0.09，則該公司股票期望報酬率為多少？",{"id":41,"qno":42,"question":43,"session":15},"sitca_invest-114-3-035",35,"一公司資產的價值為 500 萬元，負債的價值為 200 萬元，該公司負債的β（Beta）為 0.6，權益之β為 1.3，試問公司整體的β是多少?",{"id":45,"qno":46,"question":47,"session":48},"sitca_invest-115-1-003",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？","115-1",{"id":50,"qno":18,"question":51,"session":48},"sitca_invest-115-1-010","在資本資產模式(CAPM)下，何者正確？甲.股票風險用 β 來衡量；乙.多樣化分散風險不影響投資組合的非系統風險；丙.投資人最終持有之投資組合是落於資本市場線；丁.投資人最終只持有無風險投資組合",{"id":53,"qno":22,"question":54,"session":48},"sitca_invest-115-1-011","已知某公司股票的 β 是 1.2，市場預期報酬率是 8%，銀行一年期定存利率是 3%，試問：該股票的風險貼水(risk premium)是多少？",{"id":56,"qno":26,"question":57,"session":48},"sitca_invest-115-1-012","某投資組合之報酬率為 10%，報酬率標準差為 30%，β 係數為 1.25，若無風險利率為 2%，請問其夏普(Sharpe)指標為何？",{"id":59,"qno":60,"question":61,"session":48},"sitca_invest-115-1-019",19,"貝它(Beta)係數為負的證券最能：",{"id":63,"qno":34,"question":64,"session":48},"sitca_invest-115-1-020","套利定價理論(APT)是根據下列何種觀念？",{"id":66,"qno":67,"question":68,"session":48},"sitca_invest-115-1-023",23,"有關資本市場線（CML）與證券市場線（SML）之敘述何者正確？",1784190277432]