PRMIA 8007 Mathematical Foundations of Risk Measurement – 2015 Edition Exam Practice Test

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Total 132 questions
Question 1

When a number is written with a fraction as an exponent, such as , which of the following is the correct computation?



Answer : A


Question 2

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



Answer : C


Question 3

The quarterly compounded rate of return is 6% per annum. What is the corresponding effective annual return?



Answer : C


Question 4

What is the angle between the following two three dimensional vectors: a=(1,2,3), b=(-4,2,0)?



Answer : A


Question 5

Find the first-order Taylor approximation p(x) for the function: at the point .



Answer : B


Question 6

A bond has modified duration 6 and convexity 30. Find the duration-convexity approximation to the percentage change in bond price when its yield increases by 5 basis points



Answer : D


Question 7

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?



Answer : B


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Total 132 questions