1.Please explain each terminology in no more than 30 words.
(a)CD
(b)repo
(c)fourth market
(d)ECN
(e)12b-1 fees
(f)soft dollars
(g)mutual fund theorem
(h)arbitrage
一小題5%
2.Please explain how to determone the efficient frontier and complete
portfolio of an investor (in no more than 250 words,figures and equations
excluded.) (15%)
3.Please compare the CAPM and the APT (in no more than 300 words,figures and
equations excluded.) (15%)
4.Please compare the capital allocation line, the capital market line,
the security market line, and the security characteristic line by plotting
and explaining their figures (in less than 350 words,figures excluded.)(15%)
5.Please explain how to translate the APR of a security to an effective annual
rate. (5%)
6.Assume both portfolio A and B are well-diversified, that E(rA)=14% and
E(rB)=14.8%. If the economy has only risk factor,and (貝他A)=1.0 while
(貝他B)=1.1, what must be the risk-free rate? (10%)
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