SEU | BA ASSIGNMENT 2 : FIN301 YEAR : 2024 The notion of an efficient frontier that contains all asset portfolios that maximize expected return for a given level of risk is associated with A. Milton Friedman B. Harry Markowitz C. Steve Ross D. William Sharpe Answer: B Value-at-risk (VaR) answers the question: A. How much can be lost on a portfolio over a given time period? B. How much are actual losses on a portfolio over a given time period? C. What is the minimum loss expected on a portfolio over a given time period? D. What is the maximum loss expected on a portfolio over a given time period? Answer: D ____________curve is one in which the shorter-term yields are higher than the longerterm yields, which can be a sign of an upcoming recession. A. An inverted yield B. A Flat yield C. An upward sloping yield D. Efficient frontier Answer: A The term structure of interest rates refers toA. The relationships between interest rates and term to maturity. B. The idea that any long-term rate is the average of expected future short term rates. C. A general expectation of higher future interest rates. D. The idea that the terms of the bond may change as time to maturity changes. Answer: A Bank regulators use _______to set capital requirements for bank trading accounts because this models can be used to estimate the loss of capital due to market risk. A. VaR B. Benefit method C. Hedging D. None of these Answer: A _____ measures the degree to which an option’s value is affected by a small change in the price of the underlying instrument. A. Delta B. Gamma C. Vega REENOO707 D. Theta Answer: A Value-at-Risk (VaR) is a useful risk measure during _____ market conditions and over _____ horizons. A. normal; short B. abnormal; short C. normal; long D. abnormal; long Answer: A The CAPM is _________ factor model. A. Two factor model B. Three factor model C. Multi factor model D. None of the above Answer: D _____ is the difference between the expected rate of return on the market portfolio and the risk-free rate. A. Beta B. Market risk average C. Market risk premium D. VIX Answer: C Under M