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NEW QUESTION 65
I have a portfolio of two stocks. The weights are 60% and 40% respectively, the volatilities are both 20%, while the correlation of returns is 50%. The volatility of my portfolio is
- A. 20%
- B. 16%
- C. 17.4%
- D. 24.4%
Answer: C
NEW QUESTION 66
The gradient of a smooth function is
- A. a vector that shows the direction of fastest change of a function
- B. matrix of second partial derivatives of a function
- C. a matrix containing the function's second partial derivatives
- D. infinite at a maximum point
Answer: A
NEW QUESTION 67
Which of the following is not a sequence?
- A. , , , , ...
- B. , , , ... , , ...
- C. , , , , , , ...
- D. 0
Answer: D
NEW QUESTION 68
You invest $2m in a bank savings account with a constant interest rate of 5% p.a. What is the value of the investment in 2 years time if interest is compounded quarterly?
- A. $2,208,972
- B. None of them
- C. $2.205,000
- D. $2,210,342
Answer: A
NEW QUESTION 69
The sum of the infinite series 1+1/2+1/3+1/4+1/5+.... equals:
- A. Infinity
- B. 0
- C. 1
- D. 2
Answer: A
NEW QUESTION 70
Concerning a standard normal distribution and a Student's t distribution (with more than four degrees of freedom), which of the following is true?
- A. Which has the higher kurtosis depends on the degrees of freedom of the t distribution.
- B. The normal distribution has lower kurtosis than the t distribution.
- C. The distributions have the same kurtosis.
- D. The normal distribution has higher kurtosis than the t distribution.
Answer: B
NEW QUESTION 71
An underlying asset price is at 100, its annual volatility is 25% and the risk free interest rate is 5%. A European call option has a strike of 85 and a maturity of 40 days. Its Black-Scholes price is 15.52. The options sensitivities are: delta = 0.98; gamma = 0.006 and vega = 1.55. What is the delta-gamma-vega approximation to the new option price when the underlying asset price changes to 105 and the volatility changes to 28%?
- A. 19.23
- B. 20.54
- C. 17.33
- D. 18.75
Answer: B
NEW QUESTION 72
I have a portfolio of two stocks. The weights are equal. The one volatility is 30% while the other is 40%. The minimum and maximum possible values of the volatility of my portfolio are:
- A. 5% and 35%
- B. 10% and 70%
- C. 30% and 40%
- D. 10% and 40%
Answer: A
NEW QUESTION 73
What is the simplest form of this expression: log2(165/2)
- A. 0
- B. log2 (5/2) + log2(16)
- C. 1
- D. 5/2 + log2(16)
Answer: C
NEW QUESTION 74
Calculate the determinant of the following matrix:
- A. -4.25
- B. 0
- C. 1
- D. 4.25
Answer: C
NEW QUESTION 75
You want to test the hypothesis that a population parameter of a regression model is zero. Your alternative hypothesis is that 0. Denote by SD() the estimated standard deviation of , and by MEAN() the estimated mean of . Which test statistic is appropriate, and what is its distribution?
- A. test statistic = SD()/MEAN(), normal distribution
- B. test statistic = MEAN()/SD(), normal distribution
- C. test statistic = SD()/MEAN(), t distribution
- D. test statistic = MEAN()/SD(), t distribution
Answer: D
NEW QUESTION 76
In a portfolio there are 7 bonds: 2 AAA Corporate bonds, 2 AAA Agency bonds, 1 AA Corporate and 2 AA Agency bonds. By an unexplained characteristic the probability of any specific AAA bond outperforming the others is twice the probability of any specific AA bond outperforming the others. What is the probability that an AA bond or a Corporate bond outperforms all of the others?
- A. 5/7
- B. 6/11
- C. 8/11
- D. None of these
Answer: D
NEW QUESTION 77
Identify the type and common element (that is, common ratio or common difference) of the following sequence: 6, 12, 24
- A. geometric sequence, common ratio 3
- B. arithmetic sequence, common ratio 2
- C. geometric sequence, common ratio 2
- D. arithmetic sequence, common difference 2
Answer: C
NEW QUESTION 78
Stress testing portfolios requires changing the asset volatilities and correlations to extreme values. Which of the following would lead to a non positive definite covariance matrix?
- A. Changing all the correlations to be zero
- B. All of the above
- C. Changing the volatilities to be greater than 100%
- D. Changing all the correlations to be unity
Answer: D
NEW QUESTION 79
Evaluate the derivative of ln(1+ x2) at the point x = 1
- A. 0
- B. 0.5
- C. 1
- D. 2
Answer: C
NEW QUESTION 80
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