8007 試験問題を無料オンラインアクセス

Suppose we perform a principle component analysis of the correlation matrix of the returns of 13 yields along the yield curve. The largest eigenvalue of the correlation matrix is 9.8. What percentage of return volatility is explained by the first component? (You may use the fact that the sum of the diagonal elements of a square matrix is always equal to the sum of its eigenvalues.)

• A.98%
• B.Cannot be determined without estimates of the volatilities of the individual returns
• C.75%
• D.64%

Identify the type and common element (that is, common ratio or common difference) of the following sequence: 6, 12, 24

• A.arithmetic sequence, common ratio 2
• B.geometric sequence, common ratio 3
• C.geometric sequence, common ratio 2
• D.arithmetic sequence, common difference 2

What can be said about observations of random variables that are i.i.d. a normally distributed?

• A.The estimated mean divided by the estimated standard deviation has a t-distribution
• B.The estimated mean divided by the estimated standard deviation has a Chi2-distribution
• C.The estimated mean divided by the estimated variance has a t-distribution
• D.The estimated mean divided by the estimated variance has a Chi2-distribution

A linear regression gives the following output:
Figures in square brackets are estimated standard errors of the coefficient estimates.
What is the value of the test statistic for the hypothesis that the coefficient of is less than 1?

• A.0.96
• B.1.92
• C.0.64
• D.0.32

You work for a brokerage firm that charges its client x per share. The volume of trade of a client of type A depends on the per share commission in the following manner. If the commission is x, the client of type A will trade e-ax shares on average each week. What is the optimal commission x that maximizes the income from client A, noting that a is greater than zero?

• A.1
• B.a
• C.42
• D.a2