距離11月FRM考試越來越近，考生除了看網(wǎng)課外，做大量的真題練習也是十分重要的。下文是小編列舉的相關真題練習，希望對備考的你有所幫助！

Based upon 60 monthly returns, you estimate an actively managed portfolio alpha of 1.28% and a standard error of alpha of 0.1365%. The portfolio manager wants to get due credit for producing positive alpha and believes that the probability of observing such a large alpha by chance is only 1%. Calculate the t-statistic, and state whether you would accept or reject the claim made by the portfolio manager based on the estimated t-value.

A) t-statistic: 9.377; Conclusion:Accept

B) t-statistic: 9.377; Conclusion: Reject

C) t-statistic: 10.66; Conclusion: Reject

D) t-statistic: 10.66; Conclusion:Accept

答案：A

解析：t-statistic = alpha/standard error of alpha = 1.28%/0.1365% = 9.377 With a large sample of 60 and a high t-statistic, we reject the null hypothesis and conclude that the manager should receive credit for the statistically significant alpha.

Which of the following is correct with respect to adjusting the optimal

portfolio for portfolio constraints?

A) No reliable method exists.

B) By refining the alphas and then optimizing, it is possible to include constraints of both the investor and the manger.

C) By refining the alphas and then optimizing, it is possible to include constraints of the investor, but not the manager.

D) By optimizing and then refining the alphas, it is possible to include constraints of both the investor and the manger.

答案：B

解析：The approach of first refining alphas and then optimizing can replace even the most sophisticated portfolio construction process. With this technique both the investor and manager constraints are considered.