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Penetration testers simulate 8007 exam PDF
NEW QUESTION 52
I have $5m to invest in two stocks: 75% of my capital is invested in stock 1 which has price 100 and the rest is invested in stock 2, which has price 125. If the price of stock 1 falls to 90 and the price of stock 2 rises to 150, what is the return on my portfolio?
- A. -5%
- B. -2.50%
- C. 5%
- D. 2.50%
Answer: B
NEW QUESTION 53
Let N(.) denote the cumulative distribution function of the standard normal probability distribution, and N' its derivative. Which of the following is false?
- A. N'(0) 0
- B. N(0) = 0.5
- C. N'(x) 0 as x
- D. N(x) 0 as x
Answer: D
NEW QUESTION 54
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 55
If a time series has to be differenced twice in order to be transformed into a stationary series, the original series is said to be:
- A. differential
- B. non-linear
- C. integrated of order 2
- D. non-functional
Answer: C
NEW QUESTION 56
Which of the following statements are true about Maximum Likelihood Estimation?
(i) MLE can be applied even if the error terms are not i.i.d. normal.
(ii) MLE involves integrating a likelihood function or a log-likelihood function.
(iii) MLE yields parameter estimates that are consistent.
- A. (i), (ii), and (iii)
- B. (i) only
- C. (i) and (ii)
- D. (i) and (iii)
Answer: D
NEW QUESTION 57
A simple linear regression is based on 100 data points. The total sum of squares is 1.5 and the correlation between the dependent and explanatory variables is 0.5. What is the explained sum of squares?
- A. 0.375
- B. 1.125
- C. 0.3333
- D. 0.75
Answer: A
NEW QUESTION 58
You are investigating the relationship between weather and stock market performance. To do this, you pick
100 stock market locations all over the world. For each location, you collect yesterday's mean temperature and humidity and yesterday's local index return. Performing a regression analysis on this data is an example of...
- A. Multiple time-series regression
- B. Simple time-series regression
- C. Simple cross-section regression
- D. Multiple cross-section regression
Answer: D
NEW QUESTION 59
Let A be a square matrix and denote its determinant by x. Then the determinant of A transposed is:
- A. -x
- B. x
- C. x -1
- D. ln(x)
Answer: B
NEW QUESTION 60
Consider the linear regression model for the returns of stock A and the returns of stock B. Stock A is 50% more volatile than stock B. Which of the following statements is TRUE?
- A. The stocks must be positively correlated ( )
- B. Beta must be positive ( )
- C. Alpha must be positive ( )
- D. Beta must be greater in absolute value than the correlation of the stocks ( )
Answer: D
NEW QUESTION 61
The Lagrangian of a constrained optimisation problem is given by L(x,y,) = 16x+8x2+4y-(4x+y-20), where is the Lagrange multiplier. What is the solution for x and y?
- A. x = -1, y = 0
- B. None of the above
- C. x = 0, y = 20
- D. x = 5, y = 0
Answer: C
NEW QUESTION 62
In a multiple linear regression, the significance of R2 can be tested using which distribution?
- A. Binomial distribution
- B. Student's t distribution
- C. Normal distribution
- D. F-distribution
Answer: D
NEW QUESTION 63
A 2-year bond has a yield of 5% and an annual coupon of 5%. What is the Modified Duration of the bond?
- A. 1.86
- B. 0
- C. 1.75
- D. 1.95
Answer: A
NEW QUESTION 64
You intend to invest $100 000 for five years. Four different interest payment options are available. Choose the interest option that yields the highest return over the five year period.
- A. a continuously-compounded rate of 4%
- B. a lump-sum payment of $22 500 on maturity (in five years)
- C. a quarterly-compounded rate of 4.1%
- D. an annually compounded rate of 4.15%
Answer: C
NEW QUESTION 65
An underlying asset price is at 100, its annual volatility is 25% and the risk free interest rate is 5%. A European put option has a strike of 105 and a maturity of 90 days. Its Black-Scholes price is 7.11. The options sensitivities are: delta = -0.59; gamma = 0.03; vega = 19.29. Find the delta-gamma approximation to the new option price when the underlying asset price changes to 105
- A. 6.49
- B. 5.03
- C. 4.59
- D. 4.54
Answer: D
NEW QUESTION 66
Over four consecutive years fund X returns 1%, 5%, -3%, 8%. What is the average growth rate of fund X over this period?
- A. 2.75%
- B. None of the above
- C. 2.67%
- D. 2.49%
Answer: C
NEW QUESTION 67
Solve the simultaneous linear equations: x + 2y - 2 = 0 and y - 3x = 8
- A. x = 1, y = 0.5
- B. x = -2, y = 2
- C. x = 2, y = 0
- D. None of the above
Answer: B
NEW QUESTION 68
What is the probability of tossing a coin and getting exactly 2 heads out of 5 throws?
- A. 8/15
- B. None of these
- C. 9/23
- D. 10/32
Answer: D
NEW QUESTION 69
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 zero against the alternative that is less than zero?
- A. 2.5
- B. -1.25
- C. -2.5
- D. 0.125
Answer: C
NEW QUESTION 70
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 100%. The volatility of my portfolio is
- A. 4%
- B. 24%
- C. 20%
- D. 14.4%
Answer: C
NEW QUESTION 71
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