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<p style="MARGIN: 0cm 0cm 0pt" class="MsoNormal"><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: 'Times New Roman'"><font color="#000000">重庆大学<span lang="EN-US">2008</span>年春季博士投资学入学考试真题<span lang="EN-US"><!--?xml:namespace prefix = o ns = "urn:schemas-microsoft-com:office:office" /--><o:p></o:p></span></font></span></p>
<p style="MARGIN: 0cm 0cm 0pt" class="MsoNormal"><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: 'Times New Roman'"><font color="#000000">一、单选题（<span lang="EN-US">10*2=20</span>分）<span lang="EN-US"><o:p></o:p></span></font></span></p>
<p style="MARGIN: 0cm 0cm 0pt" class="MsoNormal"><font color="#000000"><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: 'Times New Roman'" lang="EN-US">1</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: 'Times New Roman'">、一国货币升值<span lang="EN-US">,</span>资源类股票<span lang="EN-US">( ).</span></span><span style="FONT-FAMILY: 'Arial','sans-serif'; ; mso-bidi-font-family: 'Times New Roman'" lang="EN-US">a</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">上升</span><span style="FONT-FAMILY: 'Arial','sans-serif'; ; mso-bidi-font-family: 'Times New Roman'" lang="EN-US">b</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">下降</span><span style="FONT-FAMILY: 'Arial','sans-serif'; ; mso-bidi-font-family: 'Times New Roman'" lang="EN-US">c</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">不变<span lang="EN-US"><o:p></o:p></span></span></font></p>
<p style="MARGIN: 0cm 0cm 0pt" class="MsoNormal"><font color="#000000"><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial" lang="EN-US">2</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">、当<span lang="EN-US">( )</span>时<span lang="EN-US">,</span>市场时机选择者将选择低贝塔的证券组合<span lang="EN-US">.</span></span><span style="FONT-FAMILY: 'Arial','sans-serif'; ; mso-bidi-font-family: 'Times New Roman'" lang="EN-US">a.</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">预期市场行情上升</span><span style="FONT-FAMILY: 'Arial','sans-serif'; ; mso-bidi-font-family: 'Times New Roman'" lang="EN-US">b.</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">预期市场行情下降<span lang="EN-US">.<o:p></o:p></span></span></font></p>
<p style="MARGIN: 0cm 0cm 0pt" class="MsoNormal"><font color="#000000"><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial" lang="EN-US">3</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">、随着波动率的增加<span lang="EN-US">,</span>看涨期权与看跌期权的价值将都<span lang="EN-US">( ).</span></span><span style="FONT-FAMILY: 'Arial','sans-serif'; ; mso-bidi-font-family: 'Times New Roman'" lang="EN-US">a.</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">上升</span><span style="FONT-FAMILY: 'Arial','sans-serif'; ; mso-bidi-font-family: 'Times New Roman'" lang="EN-US">b.</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">下降<span lang="EN-US"><o:p></o:p></span></span></font></p>
<p style="MARGIN: 0cm 0cm 0pt" class="MsoNormal"><font color="#000000"><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial" lang="EN-US">4</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">、随着期权到期日的临近<span lang="EN-US">,</span>期权的时间价值会<span lang="EN-US">( ).</span></span><span style="FONT-FAMILY: 'Arial','sans-serif'; ; mso-bidi-font-family: 'Times New Roman'" lang="EN-US">a</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">上升</span><span style="FONT-FAMILY: 'Arial','sans-serif'; ; mso-bidi-font-family: 'Times New Roman'" lang="EN-US">b</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">下降</span><span style="FONT-FAMILY: 'Arial','sans-serif'; ; mso-bidi-font-family: 'Times New Roman'" lang="EN-US">c</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">不变<span lang="EN-US"><o:p></o:p></span></span></font></p>
<p style="MARGIN: 0cm 0cm 0pt" class="MsoNormal"><font color="#000000"><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial" lang="EN-US">5</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">、根据债券定价原理<span lang="EN-US">,</span>如果一种附息债券的市场价格等于其面值<span lang="EN-US">,</span>则其到期收益率<span lang="EN-US">( )</span>其票面利率<span lang="EN-US">.</span></span><span style="FONT-FAMILY: 'Arial','sans-serif'; ; mso-bidi-font-family: 'Times New Roman'" lang="EN-US">a.</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">等于</span><span style="FONT-FAMILY: 'Arial','sans-serif'; ; mso-bidi-font-family: 'Times New Roman'" lang="EN-US">b.</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">大于</span><span style="FONT-FAMILY: 'Arial','sans-serif'; ; mso-bidi-font-family: 'Times New Roman'" lang="EN-US"> c.</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">小于<span lang="EN-US"><o:p></o:p></span></span></font></p>
<p style="MARGIN: 0cm 0cm 0pt" class="MsoNormal"><font color="#000000"><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial" lang="EN-US">6</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">、贝塔与标准差对风险的测度<span lang="EN-US">,</span>其不同之处在<span lang="EN-US">( ).</span></span><span style="FONT-FAMILY: 'Arial','sans-serif'; ; mso-bidi-font-family: 'Times New Roman'" lang="EN-US">a.</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">贝塔测度仅是非系统风险<span lang="EN-US">,</span>标准差测度是总风险<span lang="EN-US">.<o:p></o:p></span></span></font></p>
<p style="MARGIN: 0cm 0cm 0pt" class="MsoNormal"><font color="#000000"><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial" lang="EN-US">7</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">、根据流动补偿理论<span lang="EN-US">,</span>收益率曲线应是<span lang="EN-US">( )</span></span><span style="FONT-FAMILY: 'Arial','sans-serif'; ; mso-bidi-font-family: 'Times New Roman'" lang="EN-US">a.</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">向上倾斜 </span><span style="FONT-FAMILY: 'Arial','sans-serif'; ; mso-bidi-font-family: 'Times New Roman'" lang="EN-US">b.</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">向下倾斜<span lang="EN-US"><o:p></o:p></span></span></font></p>
<p style="MARGIN: 0cm 0cm 0pt" class="MsoNormal"><font color="#000000"><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial" lang="EN-US">8</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">、<span lang="EN-US">6</span>个月的国库券的即期利率为<span lang="EN-US">4%, </span>一年的国库券的即期利率为<span lang="EN-US">6%, 6</span>个月后隐含的远期利率为<span lang="EN-US">( ).</span></span><span style="FONT-FAMILY: 'Arial','sans-serif'; ; mso-bidi-font-family: 'Times New Roman'" lang="EN-US">a. 6.5% b. 8%</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial" lang="EN-US"> <o:p></o:p></span></font></p>
<p style="MARGIN: 0cm 0cm 0pt" class="MsoNormal"><font color="#000000"><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial" lang="EN-US">9</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">、利率的期限结构中，流动性补偿理论为<span lang="EN-US">( ).</span></span><span style="FONT-FAMILY: 'Arial','sans-serif'; ; mso-bidi-font-family: 'Times New Roman'" lang="EN-US">a.</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">期限越长<span lang="EN-US">,</span>收益率越高 </span><span style="FONT-FAMILY: 'Arial','sans-serif'; ; mso-bidi-font-family: 'Times New Roman'" lang="EN-US">b.</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">期限越长<span lang="EN-US">,</span>收益率越低<span lang="EN-US"><o:p></o:p></span></span></font></p>
<p style="MARGIN: 0cm 0cm 0pt" class="MsoNormal"><font color="#000000"><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial" lang="EN-US">10</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">、零息票债券的久期<span lang="EN-US">( )</span>它的到期时间<span lang="EN-US">.</span></span><span style="FONT-FAMILY: 'Arial','sans-serif'; ; mso-bidi-font-family: 'Times New Roman'" lang="EN-US">a.</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">等于</span><span style="FONT-FAMILY: 'Arial','sans-serif'; ; mso-bidi-font-family: 'Times New Roman'" lang="EN-US">b.</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">大于</span><span style="FONT-FAMILY: 'Arial','sans-serif'; ; mso-bidi-font-family: 'Times New Roman'" lang="EN-US"> c.</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">小于<span lang="EN-US"><o:p></o:p></span></span></font></p>
<p style="MARGIN: 0cm 0cm 0pt" class="MsoNormal"><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial"><font color="#000000">二、计算题（<span lang="EN-US">20*3=60</span>分）<span lang="EN-US"><o:p></o:p></span></font></span></p>
<p style="MARGIN: 0cm 0cm 0pt" class="MsoNormal"><font color="#000000"><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial" lang="EN-US">1</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">、假定一个风险证券包含<span lang="EN-US">25</span>只股票<span lang="EN-US">,</span>他们有相同的期望收益和标准差<span lang="EN-US">,</span>期望收益</span><span style="FONT-FAMILY: 'Arial','sans-serif'; ; mso-bidi-font-family: 'Times New Roman'" lang="EN-US">E(r)=15%, </span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">标准差为<span lang="EN-US">0.6,</span>相关系数<span lang="EN-US">0.15.</span>试分析<span lang="EN-US">:<o:p></o:p></span></span></font></p>
<p style="MARGIN: 0cm 0cm 0pt" class="MsoNormal"><font color="#000000"><span style="FONT-FAMILY: 'Arial','sans-serif'; ; mso-bidi-font-family: 'Times New Roman'" lang="EN-US">A. </span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">含有<span lang="EN-US">25</span>只股票的等权重组合期望收益率和方差是多少。<span lang="EN-US"><o:p></o:p></span></span></font></p>
<p style="MARGIN: 0cm 0cm 0pt" class="MsoNormal"><font color="#000000"><span style="FONT-FAMILY: 'Arial','sans-serif'; ; mso-bidi-font-family: 'Times New Roman'" lang="EN-US">B. </span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">这一组合的非系统风险是多少。<span lang="EN-US"><o:p></o:p></span></span></font></p>
<p style="MARGIN: 0cm 0cm 0pt" class="MsoNormal"><font color="#000000"><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial" lang="EN-US">2</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">、假设某投资者同时持有上市公司的认股权证和认沽权证各<span lang="EN-US">10000</span>份<span lang="EN-US">.</span>每份对应一股<span lang="EN-US">,</span>到期日一样，该上市公司股价为每股</span><span style="FONT-FAMILY: 'Arial','sans-serif'; ; mso-bidi-font-family: 'Times New Roman'" lang="EN-US">2.5</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">元<span lang="EN-US">.</span>认股权证的行权价格为每股<span lang="EN-US">3</span>元<span lang="EN-US">,</span>认股权证的交易价格为每份<span lang="EN-US">1</span>元<span lang="EN-US">;</span>而认沽权证的行权价格为每股<span lang="EN-US">2</span>元<span lang="EN-US">,</span>认沽权证的交易价格为每份<span lang="EN-US">0.5</span>元<span lang="EN-US">.<o:p></o:p></span></span></font></p>
<p style="MARGIN: 0cm 0cm 0pt" class="MsoNormal"><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial"><font color="#000000">试根据投资者对标的股票的价格判断给出权证的操作策略<span lang="EN-US">.<o:p></o:p></span></font></span></p>
<p style="MARGIN: 0cm 0cm 0pt" class="MsoNormal"><font color="#000000"><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial" lang="EN-US">3</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">、已知风险证券</span><span style="FONT-FAMILY: 'Arial','sans-serif'; ; mso-bidi-font-family: 'Times New Roman'" lang="EN-US">A</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">和</span><span style="FONT-FAMILY: 'Arial','sans-serif'; ; mso-bidi-font-family: 'Times New Roman'" lang="EN-US">B</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">分别有期望收益率为<span lang="EN-US">12%</span>和<span lang="EN-US">8%,</span>方差分别为<span lang="EN-US">10</span>和<span lang="EN-US">4.</span>它们之间的协方差为<span lang="EN-US">2.</span>又设无风险证券的收益率为<span lang="EN-US">6%,</span>求最优风险证券组合<span lang="EN-US">.(</span>即切点证券组合<span lang="EN-US">,</span></span><span style="FONT-FAMILY: 'Arial','sans-serif'; ; mso-bidi-font-family: 'Times New Roman'" lang="EN-US">A</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">和</span><span style="FONT-FAMILY: 'Arial','sans-serif'; ; mso-bidi-font-family: 'Times New Roman'" lang="EN-US">B</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">投资比例<span lang="EN-US">)<o:p></o:p></span></span></font></p>
<p style="MARGIN: 0cm 0cm 0pt" class="MsoNormal"><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial"><font color="#000000">三、简答题（<span lang="EN-US">10*2=20</span>分）<span lang="EN-US"><o:p></o:p></span></font></span></p>
<p style="MARGIN: 0cm 0cm 0pt" class="MsoNormal"><font color="#000000"><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial" lang="EN-US">1</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">、简要分析股指期货的主要功能<span lang="EN-US">.<o:p></o:p></span></span></font></p>
<p style="MARGIN: 0cm 0cm 0pt" class="MsoNormal"><font color="#000000"><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial" lang="EN-US">2</span><span style="FONT-FAMILY: 宋体; ; mso-hansi-font-family: Arial">、阐述证券信用交易中保证金空头交易与证券期货空头交易的区别<span lang="EN-US">.<o:p></o:p></span></span></font></p>
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