PRMIA Exam I: Finance Theory Financial Instruments Financial Markets - 2015 Edition - 8006 Exam Practice Test
A portfolio manager desires a position of $10m in physical gold, but chooses to get the exposure using gold futures to conserve cash. The volatility of gold is 6% a month, while that of gold futures is 7% a month. The covariance of gold and gold futures is 0.00378 a month. How many gold contracts should he hold if each contract is worth $100k in gold?
Correct Answer: A
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Caps, floors and collars are instruments designed to:
Correct Answer: A
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If r be the yield of a bond, which of the following relationships is true:
Correct Answer: B
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What kind of a risk attitude does a utility function with an upward sloping curvature indicate?
Correct Answer: A
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The gamma in a commodity futures contract is:
Correct Answer: D
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Which of the following does not explain the shape of an yield curve?
Correct Answer: D
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The dates on which the interest rate applicable to the floating rate leg of an interest rate swap is determined are called
Correct Answer: C
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Which of the following is NOT a historical event which serves as an example of a short squeeze that happened in the markets?
Correct Answer: C
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Which of the following statements are true:
Correct Answer: C
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