1.

_____ is an appropriate objective for investors who want their porfolio to grow in
real terms, i.e., exceed the rate of inflation.
a. Porfolio growth
b. Capital preservation
c. Capital appreciation
d. Value additivity
2. An asset is liquid if it can be ___ converted to cash at a price close to ___ market
value
a. Quickly, lower
b. Quickly, fair
c. Slowly, lower
d. Slowly, fair
3. A 20-year-old investor tends to:
a. Invest in treasure bill
b. Invest in treasure bond
c. Use high leverage
d. Invest in derivatives contracts
4. The most of customers using personal wealth management services belong to:
a. Individual stock investors
b. High-income class
c. Low-income class
d. Middle-income class
5. Undiversifiable risk is:
a. Systematic risk
b. Default risk
c. Unsystematic risk
d. Specific risk
6. Your person opinion is that s stock has an expected rate of return of 0.11. It has a
beta of 1.5. The risk-free rate is 0.05 and the market expected rate of return is
0.09. Accoring to the Capital Asset Pricing Model, this security is:
a. Underpriced
b. Overpriced
c. Fairly priced
d. Cannot be determined from data provided
7. The risk-free rate is 5%. The expected market rate of return is 15%. If you expect
a stock with a beta of 1.2 to offer a rate of return of 20% you should:
a. Sell the stock because it is underpriced
b. Buy the stock because it is overpriced
c. Sell the stock because it is overpriced
d. Buy the stock because it is underpriced
8. If you believe in the ____ form of the efficient market hypotheses, you believe
that stock prices reflect all relevent information, including historical stock prices
 and current public information about the firm, but not information that is available
only to insiders.
a. Very weak
b. Semistrong
c. Strong weak
9. The evidence of random walk in stock prices is the evidence
a. Of all forms of the Efficient Market Hypothesis
b. Of the strong-form efficiency of the Efficient Market Hypothesis
c. Against the weak-form efficiency of the Efficient Market Hypothesis
d. Against the semistrong efficiency of the Efficient Market Hypothesis
10. A substitution swap is an exchange of bonds undertaken to:
a. Profit from apparen mispricing between two bonds
b. Change the credit risk of a portfolio
c. Reduce the duration of a portfolio
d. Extend the duration of a portfolio
11. Assume that company X has an ROE of 15% and the plow back ratio of 40%.
What should be the constant growth rate of the compane?
a. 6%
b. 16%
c. 9%
d. 15%
12. The capital allocation line can be described as the:
a. Investment opportunity set formed with two risky assets
b. Line on which lie all portfolios that offer the same utility to a particular
investor
c. Investment opportunity set formed with a risky asset and a risk-free asset
d. Line on which lie all portfolios with the same expected rate of return and
different standard deviations
13. Which of the following statements is true about risk
a. Risks are deviations from expectations. The larger the price fluction range, the
greater the risk
b. Risks are deviations from expectations
c. The larger the price fluctuation range, the greater the risk
d. The large the price fluctuation range, the smaller the risk
14. At the beginning of 2019, investor A bought FPT shares at the price of 50,000
VND/share. At the beginning of 2022, investor A sells for 75,000 VND/share.
What is the compound annual rate of return?
a. 15.19%
b. 15.67%
c. 14.47%
d. 13.12%
15. At the beginning of 2019, investor A buys a 8% coupon bond at the price of VND
80,000. The interest payments are paid at the end of each year. At the beginning of
 2022, investor A sells at the price of VND 110,000. The par value of the bond is
VND 100,000. What is the compound annual rate of return (YTM) if the interest
payments are reinvested at the rate of 8%?
a. 19.65%
b. 18.76%
c. 20.28%
d. 22.31%
16. Asset 1 has E(r1) = 0.12 and E(standard deviation) = 0.04. Asset 1 has E(r2) =
0.16 and E(standard deviation) =0.06. Calculate the expected return and expected
standard deviation of a twostock portfolio when r1,2 = -0.6 and w1 = 0.75 0.13
0.0242
a. 0.13 and 0.0455
b. 0.13 and 0.0024
c. 0.12 and 0.5585
d. 0.12 and 0.0585
17. Which of the following statements is false about the Fama-French 3 factor model?
a. Fama-French 3 factor model adds 2 more factors, namely company size and
book value to market value into the CAPM model
b. The Fama-French 3 factor model assumes that the return of an investment
portfolio depends on the market factor, firm size factor, and book-to-market
factor
c. The Fama-French 3 factor model still holds that a high rate of return is a
reward for high risk taking
d. Fama-French 3 factor model adds 2 more factors, namely liquidity ratio and
book value to market value into the CAPM model
18. The weak form of the efficient market hypothesis assets that:
a. Stock prices do not rapidly adjust to new information contained in past prices
or past data, and future changes in stock prices cannot be predicted from past
prices
b. Future changes in stock prices cannot be predicted from past prices, and
technicians cannot expert to outperform the market
c. Stock prices do not rapidly adjust to new information contained in past prices
or past data
d. Future changes in stock prices cannot be predicted from past prices
19. Suppose an investor has inside information about the sudden profit of a business,
he believes that he can make profit by buying shares at the present time to wait
until the company announces the news to sell shares. As his expectation, when
announcing the news the stock price increase. This market is:
a. Strong form of efficient market
b. Weak form and semi strong form of efficient market
c. Semi strong form of efficient market
d. Weak form of efficient market
20. If the economy is growing, firms with high operating leverage will experience:
 a. Smaller increases in profits than firm with low operating leverage
b. No change in profits
c. Higher increases in profits than firms with low operating leverage
d. Similar increases in profits as firms with low operating leverage
21. Suppose the risk-free return is 6%. The beta of a managed porfolio is 1.5, the
alpha is 3%, and the average return is 18%. Based on Jensen’s measure of
portfolio performance, you would calculate the return on the market portfolio as:
a. 14%
b. 12%
c. 15%
d. 16%
22. ____ focus more on past price movements of a firm’s stock than on the underlying
determinants of future profitability.
a. Technical analysts
b. Systems analysts
c. Credit analysts
d. Fundamental analysts
23. According to the mean-variance criterion, which one of the following investments
dominates all other?
a. E(r) = 0.15, 𝜎 = 0.25
b. E(r) = 0.10, 𝜎 = 0.20
c. E(r) = 0.10, 𝜎 = 0.25
d. E(r) = 0.15, 𝜎 = 0.20
1. Cùng một mức lợi nhuận (lớn nhất) chọn danh mục có rủi ro nhỏ nhất (xích ma)
24. If stock X has beta = 1.50, the level of ___ risk of X is 50 percent ___ than the
average fo the entire market
a. Nonsystematic, greater
b. Systematic, greater
c. Systematic, lower
d. Nonsystematic, lower
25. Which of the following statements is false about “Duration”?
a. “Duration” is the average maturity time of the bond
b. If the cash flow is received annuallyis low, and the payback period from the
cash flow will be longer, leading to an increase in “Duration”
c. “Modified Duration” is used to measure the risk of interest rates on bond prices
d. “Duration” is the second deviative of the formula which calculates the bond
price using the discount rate
26. Which of the following statements about duration would be FALSE?
I. Duration is a revised maturity taking into consider lifetime of a debt
security’s stream of payments.
II. Duration of 3-year zero-coupon is less than 3 years
III. Duration of a portfolio of securities is the geometric average of the duration
of the individual securities.
 IV. A 30-year 5% coupon bond has a longer duration than a 30-year 5%
mortgage
a. II and III
b. II, III and IV
c. I, II and III
d. I and IV
27. Company B paid a dividend of 100 VND/stock last year, and it expects to spend
40% of its income to pay dividen next years. Assume that expected ROE is 10%,
the required rate of return is 12%, what should be the fair value of the stock of
company B?
a. 12,500 VND
b. 17,670 VND
c. 13,000 VND
d. 16,670 VND
http://eldata3.neu.topica.vn/FIN301/Giao%20trinh/03_NEU_FIN301_Bai2_v1.00141022
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28. There are four following investments: A has E(r) = 10%, standard diviation (𝜎) =
5%; B has E(r) = 21%, 𝜎 = 11%; C has E(r) = 18%, 𝜎 = 23%; D has E(r) = 24%, 𝜎
= 16%. According to the meanvariance criterion, which of the statements below is
correct?
a. Investment D dominates all of the other investments
b. Investment D dominates only investment B
c. Investment B dominates investment A
d. Investment B dominates investment C
29. Investor A buys 100 VNM shares at the price of 80,000 VND/share. After that,
VNM pays a dividend of 30% in cash and 20% in shares. At the end of the year,
investors sell all shares at the price of 100,000 VND/share. The rate of return is:
a. 50.32%
b. 35.54%
c. 40.21%
d. 53.75%
30. In a two-stock portfolio, if the correlation coefficient between two stocks were to
decrease over time, everything else remaining constant, the portfolio’s risk would:
a. Increase
b. Remain constant
c. Fluctuate positively and negatively
d. Decrease
31. Given investments A (Expected return = 12.2%, standard deviation = 7%) and B
(Expected return = 8.8%, standard deviation = 5%), which one would you prefer
and why?
a. investment B because it has lowest absolute risk
b. investment A because it has the lowest relative risk
 c. investment B because it has the lowest coefficient of variation
d. investment A because it has the highest expected return
32. With respect to the formation of portfolios, which of the following statements is
most accurate?
a. Portfolio affect risk more than returns
b. All of the options are wrong
c. Portfolios affect risk less then return
d. Portfolios affect risk and returns equally
33. Consider two securities, A and B. security A and B have a correlation coefficient
of 0.65. Security A has standard deviation of 12, and security B has standard
deviation of 25. Calculate the covariance between these two securities:
a. 261.54
b. 461.54
c. 195
d. 300
34. Assume that you decide invest in a portfolio of equity index XXX and equity
index YYY. The expected return and standard deviation of the equity index XXX
are 8% and 16.21%, respectively. Those for the equity index YYY are 18% and
33.11%, respectively. Given the covariance of returns between the two equity
indices is 0.5%, what should be the weight of the equity index XXX to get 12% of
the expected return of the portfolio?
a. 30%
b. 50%
c. 60%
d. 40%
35. Which of the following is considered a passive management strategy?
a. Sector rotation
b. Sampling
c. Use of factor models
d. Quantiative screens
36. Measures of risk for an investment include:
a. Variance of returns and business risk
b. Coefficient of variation of returns and financial risk
c. Variance of returns and coefficient of variation of returns
d. Business risk and financial risk
37. Ceteris paribus, the duration of a bond is positively correlated with the bond’s:
a. All of the options are correct
b. Coupon rate
c. Time to maturity
d. Yield to maturity
38. The intercept of the best fit line formed by plotting the excess returns of a
manager’s portfolio on the excess returns of the market is the best described as
Jensen’s
 a. Sigma
b. Beta
c. Alpha
d. All of the above are wrong
39. Which of the following is NOT considered to be an investment objective?
a. Capital appreciation
b. Total nominal preservation
c. Current income
d. Capital preservation
40. A security market index represents the:
a. Risk of a security market
b. All of the options are correct
c. Security market, market segment, or asset class
d. Security market as a whole
41. Important reasons for constructing an IPS:
a. It helps the investor decide on realistic investment goals after learning about
the financial markets and the risks of investing
b. All of the above are correct
c. Protects the client against a portgolio manager’s inappropriate investments on
the unethical behavior
d. It creates a standard by which to judge the performance of the portfolio
manager
42. With respect to the efficient market hypothesis, if security prices reflect only past
prices then the market is:
a. Strong-form efficient
b. Semistrong-form efficient
c. All of the above are wrong
d. Weak-form efficient
43. We have following bonds: A (coupon rate = 15%, maturity = 20 years, YTM =
10%), B (coupon rate = 15%, maturity = 15 year, YTM = 10%), C (coupon rate =
0%, maturity = 20 year, YTM = 10%), D (coupon rate = 8%, maturity = 20 year,
YTM = 10%) and E (coupon rate = 15%, maturity = 15 year, YTM = 15%). Sort
in descending “Duration” order:
a. There is no correct answer
b. D > C > A > B > E
c. C > D > A > B > E
d. A > C > D > B > E
44. Which of the following portfolio performance measures does not require
comparisons with other values?
a. Sharpe ratio
b. Treynor
c. Alpha Jensen
d. All of the above are false
45. Which of the following is the best reason for an investor to be concerned with the
composition of a portfolio?
a. Hazard elimination
b. Risk elimination
c. Avoidance of financial crises
d. Risk reduction
46. As the number of securities in a portfolio increases, the amount of systematic risk:
a. Decrease
b. Changes
c. Remains constant
d. Increases
47. Firm CTD has a beta = 0.75, which of the following statements is true?
a. If the market portfolio is down 1%, the stock is up 0.75%
b. If the market portfolio is up 1%, the stock is up 0.75%
c. If the market portfolio is up 1%, the stock is down 0.75%
d. CTD stock has higher volatility than VNIndex
48. The line depicting the risk and return of portfolio conbinations of a risk-free asset
and any risky asset is the:
a. Security market line
b. Captital allocation line (CAL)
c. Security characteristic line
49. The portfolio of a risk-free asset and a risky asset has a better risk-return tradeoff
than investing in only one asset type because the correlation between the risk-free
asset and the risky asset is equal to
a. -1.0
b. 0.0
c. 1.0
50. With respect to capital market theory, an investor’s optimal portfolio is the
combination of risk free asset and risky asset with the highest:
a. Expected return
b. Indifference curve
c. Capital allocation line slope
51. Highly risk-averse investor (nhà đầu tư ngại rủi ro) will most likely invest the
majority of their wealth in:
a. Risky assets
b. Risk-free assets
52. An investor compares the market price to the intrinsic value (giá trị nội tại) of a
stock to decide whether he should buy the stock or not. Which of the following
analysis best describes his method?
a. Fundamental analysis
b. Technical analysis
c. Strategic analysis
d. Economic analysis
53. Active portfolio managers just try to capture the expected return consistent with
the risk level of their portfolios.
a. True
b. False
54. A basic assumption of the Markowitz model is that investors base decisions solely
on expected return and risk.
a. True
b. False
55. Which of the following statements best describes the covariance of returns
between the two assets?
a. Never equal to 0
b. Measure the level of interdependence (mức độ phụ thuộc) between the two
assets
c. Always be positive
d. Always between -1 and 1
56. One of the assumptions of capital market theory is that investors can borrow or
lend at the risk-free rate.
a. True
b. False
57. Which of the following is NOT considered to be an investment objective?
a. capital preservation
b. capital appreciation
c. current income
d. total nominal preservation
58. Investors with shorter time horizons generally favor … liquid and … risky
investments because losses are harder to overcome in a short time frame.
a. more, less
b. less, more
c. less, less
d. more, more
59. Which of the following is NOT a technique for constructing a passive portfolio?
a. full replication
b. sampling
c. quadratic programming
d. linear programming
60. Passive portfolio managers attempt to “beat the market” by forming portfolio
capable of producing actual returns that exceed risk-adjusted expected returns.
a. True
b. False
61. Passive (indexed) portfolio management:
a. Seeks to replicate the broader market
b. Keep costs and fees to a minimum
c. Has a lower level of risk than that of the active benchmark
 d. All of the options are true
62. BioTech Company has an expected return on equity (ROE) of 10%. The dividend
growth rate will be … if the firm follows a policy of paying 40% of earnings in the
form of dividends ( a dividend-payout ratio = 40%).
a. 6.0% (g = 1 – 0.4)
b. 4.0%
c. 7.2%
d. 3.0%
63. Which of the following statements is FALSE about portfolio diversification?
a. Portfolio diversification depends on the financial ability of each investor
b. No matter how diversified a portfolio is, there is never zero risk
c. The more diversified the portfolio, the easier it is to beat the market
d. Portfolio diversification reduces unsystematic risk
64. Which of the following statements is TRUE about risk?
a. The larger the price fluctuation (biến động), the greater the risk
b. Risks are deviation from expectations
c. The larger the price fluctuation range, the smaller the risk
d. Risks are deviations from expectations. The larger the price fluctuation, the
greater the risk
65. The … phase is the stage when investors in their early-to-middle earning years
attempt to accumulate asets to satisfy fairly immediate needs (for example, a down
payment for a house) or longer-ter, goals (children’s college education, retirement)
a. accumulation
b. spending
c. gifting
d. consolidation (35 – 60)
66. The active portfolio management:
a. Try to beat the market
b. Try to earn a portfolio return that exceeds the return of a passive benchmark
portfolio (net of transaction costs) on a risk-adjusted basis
c. Has a higher level of risk than that of the passive benchmark
d. All of the options are true
67. Elias is a risk-averse investor. David is a less risk-averse investor than Elias.
Therefore,
a. for the same risk, David requires a higher rate of return than Elias
b. for the same return, Elias tolerates higher risk than David
c. for the same risk, Elias requires a lower rate of return than David
d. for the same return, David tolerates higher risk than Elias
68. Diversifiable risk is also referred to as:
a. systematic risk or unique risk
b. systematic risk or market risk
c. unique risk or market risk
d. unique risk or firm-specific risk
69. ……… focus more on past price movements of a firm's stock than on the
underlying determinants of future profitability.
a. Technical analysts
b. Systems analysts
c. Credit analysts
d. Fundamental analysts
70. In Vietnam, securities investment portfolio management is an operation of:
a. Banks
b. Financial companies
c. Fund management companies
d. Securities companies
71. As an investor enters retirement time, he will tend to:
a. Willingness to invest in T-bond
b. Willingness to invest in real estate
c. Willingness to take higher risks for higher returns
d. Willingness to invest in derivatives
72. Assume a 25-year-old investor holds a steady job, is a valued employee, has
adequate insurance coverage, and has enough money in the bank to provide a cash
reserve. His current long-term, high-priority investment goal is to build a
retirement fund. The most appropriate strategies for his goal are:
a. Total return and/or capital appreciation
b. Capital preservation and/or current income
c. Total return and/or current income
d. Capital preservation and/or total return
73. Comparing to the measure of risk for an individual asset, investors should
understand two more basic concepts in statistics to compute the standard deviation
of returns for a portfolio of assets – the measure of risk for a portfolio. The two
concepts are ……… and ………
a. Correlation and beta
b. Covariance and correlation coefficient
c. Coefficient of variation and Standard deviation
d. Covariance and coefficient of variation
74. Which of the following statements regarding risk-averse investors is true?
a. They only accept risky investments that offer risk premiums over the risk-free
rate.
b. They are willing to accept lower returns and high risk.
c. They only care about the rate of return.
d. They accept investments that are fair games.
75. Given a portfolio of stocks, the envelope curve containing the set of best possible
combinations is known as the
a. efficient frontier.
b. utility curve.
c. last frontier.
 d. efficient portfolio.
76. You purchased a share of stock for $68. One year later you received $3.00 as a
dividend and sold the share for $74.50. What was your holding-period return?
a. 14.0%
b. 11.8%
c. 13.6%
d. 12.5%
77. Suppose a particular investment earns an arithmetic return of 10% in year 1, 20%
in year 2, and 30% in year 3. The geometric average return for the period will be:
a. less than the arithmetic average return
b. equal to the arithmetic average return
c. It cannot be determined from the information given
d. greater than the arithmetic average return
GM always smaller than AM, unless return in all periods are equal
78. At the beginning of 2019, investor A buys a 8% coupon bond at the price of VND
80,000. The interest payments are paid at the end of each year. At the beginning of
2022, investor A sells at the price of VND 110,000. The par value of the bond is
VND 100,000. What is the compound annual rate of return (YTM) if the interest
payments are reinvested at the rate of 8%?
a. 20,28%
b. 22,31%
c. 18.76%
d. 19,65%
79. According to the CAPM, the beta measures:
a. Systematic risk
b. Unsystematic risk
c. Inflation risk
d. Standard deviation of the mean
80. If stock X has beta = 1.50, the level of ...... risk of X is 50 percent ...... than the
average for the entire market
a. nonsystematic, greater
b. systematic, greater
c. systematic, lower
d. nonsystematic, lower
81. The capital market line (CML) uses ____ as a risk measurement, whereas the
capital asset pricing model (CAPM) uses ____.
a. beta; total risk
b. standard deviation; systematic risk
c. standard deviation; total risk
d. unsystematic risk; total risk
82. According to the single index model, inflation risk is:
a. Unsystematic risk
b. Diversifiable risk
 c. Systematic risk
d. Total risk
83. The risk-free rate is 7%. The expected market rate of return is 15%. If you expect
a stock with a beta of 1.3 to offer a rate of return of 12%, you should:
a. sell the stock because it is overpriced.
b. buy the stock because it is underpriced.
c. buy the stock because it is overpriced.
d. sell the stock because it is underpriced.
84. Calculate the expected return for B Services which has a beta of 0.83 when the
risk-free rate is 0.05 and you expect the market return to be 0.12.
a. 14.96 percent
b. 10.81 percent
c. 17.00 percent
d. 16.15 percent
85. In an efficient financial market, when positive news appears, which of the
following is considered an investor overreacting to new information?
a. The price dropped sharply on the day the news appeared, then fell on the
following days
b. The price increased sharply on the day the news appeared, then decreased the
following days
c. The price rose sharply on the day of the news and then sideways the following
days
d. The price increased sharply on the day the news appeared, then continued to
increase the following days
86. Which of the following is the implication of the efficient market hypothesis?
a. Stock price moves for no reason
b. Price reflects all available information
c. Can predict accurately the future events
d. Stock price does not volatile
87. Which of the following statements is false about efficient markets?
a. Stock prices will not change when random positive news occurs in a strongly
efficient market
b. Investors can easily make profits in the highly efficient market if they own
inside information
c. Stock prices will increase sharply when random positive news appears in a
strongly efficient market
d. A and C
88. The weak form of the efficient-market hypothesis asserts that:
a. stock prices do not rapidly adjust to new information contained in past prices or
past data, and future changes in stock prices cannot be predicted from past
prices
b. future changes in stock prices cannot be predicted from past prices, and
technicians cannot expect to outperform the market
 c. future changes in stock prices cannot be predicted from past prices
d. stock prices do not rapidly adjust to new information contained in past prices or
past data
89. Proponents of the efficient market hypothesis (EMH) think technical analysts:
a. should focus on support levels
b. should focus on financial statements
c. are wasting their time
d. should focus on the relative strength
90. Holding other factors constant, the interest-rate risk of a coupon bond is lower
when the bond's:
a. yield to maturity is lower
b. term to maturity is lower
c. coupon rate is lower
d. current yield is lower
91. Which bond has the shortest duration?
a. Bond of 30 years maturity, coupon rate 11%
b. Bond of 20 years maturity, coupon rate 13%
c. Bond of 28 years maturity, coupon rate 0%
d. Bond of 30 years maturity, coupon rate 6%
92. The goal of the passive portfolio manager is to minimize:
a. beta
b. alpha
c. tracking error
d. standard error
93. Which of the following statements about the ascending (tăng dần) level of risk of
return objectives are true?
a. Current income > Capital preservation > Capital appreciation
b. Capital appreciation > Capital preservation > Current income
c. Capital appreciation > Current income > Capital preservation
d. Capital preservation > Current income > Capital appreciation
94. Comparing to the measure of risk for an individual asset, investors should
understand two more basic concepts in statistics to compute the standard deviation
of returns for a portfolio of assets – the measure of risk for a portfolio. The two
concepts are ……… and ………
a. Correlation and beta
b. Covariance and coefficient of variation
c. Covariance and correlation coefficient
d. Coefficient of variation and Standard deviation
95. A reward-to-volatility ratio is useful in
a. measuring the standard deviation of returns.
b. None of the options are correct
c. assessing the effects of inflation.
d. analyzing returns on variable-rate bonds.
 e. understanding how returns increase relative to risk increases.
96. If markets are efficient, the difference between the intrinsic value and market
value of a company’s security is:
a. Positive and very large
b. Positive
c. Negative
d. Equal to zero
97. You purchased a share of stock for $68. One year later you received $3.00 as a
dividend and sold the share for $74.50. What was your holding-period return?
a. 11.8%
b. 14.0%
c. 12.5%
d. 13.6%
98. Assume that you decide to invest in a portfolio of 80% equity index XXX and
20% equity index YYY. The expected return and standard deviation of the equity
index XXX are 8% and 16.21%, respectively. Those for the equity index YYY are
18% and 33.11%, respectively. What is the expected return of the above portfolio,
given the covariance of returns between the two equity indices is 0.5%?
a. 13%
b. 5%
c. 10%
d. 16%
99. An investor invests 40% of his wealth in a risky asset with an expected rate of
return of 0.17 and a variance of 0.08 and 60% in a T-bill that pays 4.5%. His
portfolio's expected return and standard deviation are and , respectively.
a. 0.087; 0.068
b. 0.095; 0.113
c. 0.087; 0.124
d. 0.114; 0.126
100. MSN stock has beta = 1.35, which of the following statements is true?
Select
one:
a. If the market portfolio is up 1%, the stock is up 1.35%
b. If the market portfolio is up 1%, the stock is down 1.35%
c. The price volatility of MSN is lower than VN Index
d. A and B
101. The risk-free rate is 6%. The expected market rate of return is 15%. If you
expect a stock with a beta of 0.8 to offer a rate of return of 11.40%, you should:
a. sell the stock because it is overpriced.
b. buy the stock because it is underpriced.
c. buy the stock because it is overpriced.
d. sell the stock because it is underpriced.
102. Tests of the semi-strong efficient market hypothesis (EMH) include:
 a. Regression analysis
b. Testing stock price adjustment speed for company announcements
c. Testing the queuing line theory
d. Correlation test comparing stock returns with market returns
103. Proponents of the efficient market hypothesis (EMH) typically advocate:
a. an active trading strategy
b. investing in an index fund and a passive investment strategy
c. a passive investment strategy
d. investing in an index fund
104. In an efficient financial market, when negative news occurs, which of the
following is considered an investor overreacting to new information?
a. The price dropped sharply on the day the news appeared, then fell on the
following days
b. The price dropped sharply on the day the news appeared, then increased the
following days
c. The price increased sharply on the day the news appeared, then fell on the
following days
d. The price increased sharply on the day the news appeared, then increased the
following days
105. Consider the following statements: (I) Can not make profit in a strong-form
efficient market, (II) Market price is equal to fair price in a strong-form efficient
market. Which choice is correct?
a. Only I is correct
b. Both I and II are wrong
c. Only II is correct
d. Both I and II are correct
106. Studies of stock price reactions to specific significant economic events are
called:
a. reaction studies and drift studies
b. event studies
c. reaction studies
d. drift studies
107. Which bond has the longest duration?
a. Bond of 30 years maturity, coupon rate 11%
b. Bond of 30 years maturity, coupon rate 6%
c. Bond of 28 years maturity, coupon rate 0%
d. Bond of 20 years maturity, coupon rate 13%
108. Ceteris paribus, the duration of a bond is negatively correlated with the
bond's:
a. yield to maturity
b. coupon rate and yield to maturity
c. time to maturity
d. coupon rate
 109. Which of the following is most accurate about a bond with positive
convexity?
a. Price increases when interest rates drop are greater than price decreases when
interest rates rise by the same amount.
b. The direction of change in interest rates is directly related to the change in
bond’s price.
c. The speed of increasing and decreasing in bond price is faster than that in
YTM.
d. Bond’s price declines when interest rates increase is more than its price
appreciation when interest rates decrease
30. The duration of a zero-coupon bond is:
a. Longer than the maturity of the bond.
b. Equal to the ratio between the maturity and yield to maturity of the bond.
c. Equal to the maturity of the bond
d. Equal to half of the maturity of the bond
31. Company X has announced the next dividend for its stock is 500 VND/stock. The
required rate of return is 12%, the growth rate of dividend is 8%/year. Assume that
company X follows a constant growth path forever. What is the fair price of the stock
of company X?
a. 14,250 VND
b. 12,500 VND
c. 11,000 VND
d. 16,670 VND
32. Which of the following investment funds simulates an index? Select one:
a. Growth investment fund
b. Venture capital fund
c. ETF
d. Value investment fund
33. When an exchange-traded fund that simulates the VN 30 index sees VNM's share
price continuously decreasing and HPG's price continuously increasing, what should this
investment fund do in its next portfolio restructuring period?
a. Increase the proportion of VNM and HPG
b. Increase the proportion of VNM and decrease HPG
c. Increase the proportion of HPG and decrease VNM
d. Decrease the proportion of VNM and HPG
35. WACC is the most appropriate discount rate to use when applying a … valuation
model?
a. P/E
b. FCFE
c. P/B
d. FCFF
36. Suppose two portfolios have the same average return and the same standard deviation
of returns, but portfolio A has a higher beta than portfolio B. According to the Treynor
measure, the performance of portfolio A:
a. cannot be measured as there are no data on the alpha of the portfolio
b. is poorer than the performance of portfolio B
c. is the same as the performance of portfolio B
d. is better than the performance of portfolio B
37. Which of the following portfolio performance measures is compatible with the
CAPM?
a. Alpha Jensen
b. Sharpe ratio
c. M-squared
d. All of the options are correct
38. Suppose two portfolios have the same average return and the same standard deviation
of returns, but portfolio A has a higher beta than portfolio B. According to the Sharpe
measure, the performance of portfolio A:
a. is poorer than the performance of portfolio B
b. is better than the performance of portfolio B
c. is the same as the performance of portfolio B
d. cannot be measured as there are no data on the alpha of the portfolio
39. Which of the following statements is false about the “Sharpe ratio”:
a. “Sharpe ratio” is one of the popular portfolio management metrics today
b. “Sharpe ratio” is intended to measure the risk-adjusted rate of return of an investment
c. “Sharpe ratio” is used to compare portfolio return with target return
d. A higher “Sharpe ratio” indicates a better risk-adjusted rate of return
40. Which of the following portfolio management performance measures is used to
compare portfolio returns with target returns?
a. Roy’s Safety-First
b. Treynor ratio
c. Sharpe ratio
d. Sortino
44. Other things equal, the utility score an investor assigns to a particular portfolio:
a. will decrease as the standard deviation decreases
b. will decrease as the rate of return increases
c. will increase as the variance increases
d. will increase as the rate of return increases
45. An investor invests 30% of his wealth in a risky asset with an expected rate of return
of 0.15 and a variance of 0.04 and 70% in a T-bill that pays 6%. His portfolio's expected
return and standard deviation are ……… and ………, respectively.
a. 0.142; 0.15
b. 0.087; 0.06
c. 0.124; 0.22
d. 0.114; 0.12
46. Consider a T-bill with a rate of return of 5% and the following risky securities:
Security A has E(r) = 0.15, Variance = 0.04. Security B has E(r) = 0.10, Variance =
0.0225. Security C has E(r) = 0.12, Variance = 0.01. Security D has E(r) = 0.13; Variance
= 0.0625. From which set of portfolios, formed with the T-bill and any one of the four
risky securities, would a risk-averse investor always choose his portfolio?
a. The set of portfolios formed with the T-bill and security C.
b. The set of portfolios formed with the T-bill and security B.
c. The set of portfolios formed with the T-bill and security A.
d. The set of portfolios formed with the T-bill and security D.
47. Suppose a particular investment earns an arithmetic return of 10% in year 1, 20% in
year 2, and 30% in year 3. The geometric average return for the period will be:
a. less than the arithmetic average return
b. It cannot be determined from the information given
c. greater than the arithmetic average return
d. equal to the arithmetic average return
49. The beta of the market portfolio is:
a. 1
b. 0
c. 0.5
d. 2
50. The risk-free rate is 7%. The expected market rate of return is 15%. If you expect a
stock with a beta of 1.3 to offer a rate of return of 12%, you should:
a. sell the stock because it is underpriced.
b. buy the stock because it is overpriced.
c. buy the stock because it is underpriced.
d. sell the stock because it is overpriced.
51. A stock has an expected rate of return of 0.10 and a beta of 1.1. The market expected
rate of return is 0.08, and the risk- free rate is 0.05. The alpha of the stock is:
a. 3.3%
b. 2.7%
c. 5.7%
d. 1.7%
54. The efficient market assumption does not include:
a. Requires a large number of competitors to enter the market with the goal of
maximizing profits
b. New information about securities is published on the market randomly and
automatically
c. Investors always have flexible investment policies that are suitable for all available
information on the market
d. Investors have access to information at the same time.
55. The basic purpose of immunization is to:
a. produce a zero net-interest-rate risk and offset price and reinvestment risk.
b. eliminate default risk.
c. produce a zero net-interest-rate risk.
d. eliminate default risk and produce a zero net-interest-rate risk.
57. Assume that interest rates increase, what is a duration of a 20-year zero-coupon
bond?
a. Decreases
b. Increases
c. Remains unchanged
d. Increases then decreases
58. The disadvantages of passive investing strategies include:
a. Lack of flexibility
b. This investment strategy is often easier to implement than an active one, which
requires constant research and adjustment.
c. Suffering market risk and Lack of flexibility
d. Passive investment suffers market risk
59. The most appropriate discount rate to use when applying a FCFE valuation model is
the:
a. required rate of return on equity
b. risk-free rate
c. WACC
d. YTM
62. The market price of AT stock is 55,000 VND/stock. The company has just paid a
dividend of 1,320 VND /stock. Assume that the dividend has a constant growth rate of
7%/year. What should be the required rate of return of the AT stock given that the market
price is fair?
a. 8.69%
b. 9.57%
c. 9.4%
d. 9.24%
63. Ceteris paribus, the duration of a bond is positively correlated with the bond's:
a. yield to maturity
b. time to maturity
c. coupon rate
d. None of the options are correct
64. Which of the following portfolio performance measures uses the standard deviation
of active return as a measure of risk rather than the standard deviation of the portfolio?
a. Sharpe ratio
b. Roy’s Safety-First
c. Sortino
d. Information ratio
66. The letter M in the SMART rule for building a portfolio is:
a. Money
b. Motivational
c. Measurable
d. Model
67. Which of the following market regulations will most likely impede market
efficiency?
a. All of the options are correct
b. Penalizing investors who trade with insider information
c. Allowing foreign investors trading
d. Restricting short sell
68. Which of the following statement is true regarding portfolio management?
a. The only purpose of portfolio management is to maximizing profits and does not focus
on risk
b. Portfolio management is an asset management service for clients
c. Portfolio management excludes life insurance contract management
d. Portfolio management is a service provided by a industrial company
69. Which of the following institutions will on average have the greatest need for
liquidity?
a. Financial leasing companies
b. Life insurance companies.
c. Investment companies
d. Banks
70. Which of the following variable is not used to measure the variance of a
portfolio? Select one:
a. Variance of each asset
b. Allocation weight of the two assets
c. Expected return of each asset
d. Covariance of returns between the two assets
71. Which of the following statements regarding risk-averse investors is true?
a. They are willing to accept lower returns and high risk.
b. They only care about the rate of return.
c. They accept investments that are fair games.
d. They only accept risky investments that offer risk premiums over the risk-free rate.
72. A year ago, you invested $1,000 in a savings account that pays an annual interest rate
of 9%. What is your approximate annual real rate of return if the rate of inflation was 4%
over the year?
a. 5%
b. 3%
c. 10%
d. 7%
73. If the annual real rate of interest is 2.5% and the expected inflation rate is 3.7%, the
nominal rate of interest would be approximately
a. 3.7%.
b. -1.2%.
c. 6.2%.
d. 2.5%.
74. There are three scenarios of the economy (Boom, Normal and Recession). The
probability of Boom is 30% and the HPR of KMP stock in this scenario is 18%. The
probability of Normal is 50% and the HPR in this scenario is 12%. The probability of
Recession is 20% and the HPR in this scenario is -5%. What is the expected standard
deviation for KMP stock?
a. 6.91%
b. 7.79%
c. 8.13%
d. 7.25%
76. A completely diversified portfolio would have a correlation with the market portfolio
that is:
a. equal to one because it has only systematic risk.
b. equal to zero because it has only unsystematic risk.
c. less than one because it has only unsystematic risk.
d. less than zero because it has only systematic risk.
78. Recently you have received a tip that the stock of Bubbly Incorporated is going to rise
from $57 to $61 per share over the next year. You know that the annual return on the
S&P 500 has been 9.25 percent and the 90-day T-bill rate has been yielding 3.75 percent
per year over the past 10 years. If beta for Bubbly is 0.85, will you purchase the stock?
a. No, because it is overvalued.
b. Yes, because it is undervalued.
c. No, because it is undervalued.
d. Yes, because it is overvalued.
79. Portfolio X has 2 stocks: stock A (beta = 0.8, weight of 40% of assets), stock B (beta
= 1.5, weight of 60% of assets), then beta of portfolio X is:
a. 1.35
b. 1.22
c. 1.50
d. 1.45
81. Holding other factors constant, the interest-rate risk of a coupon bond is higher when
the bond's: Select one:
a. coupon rate is higher
b. term to maturity is lower
c. current yield is higher
d. yield to maturity is lower
83. Which of the following is not an active bond management strategy?
a. Rate anticipation swap
b. Intermarket spread swap
c. Substitution swap
d. Bond laddering
84. At a discount rate of 7%, the bond's market price is $107.87, Modified Duration =
2.5661. If the market interest rate increases to 7.1%, ask the new price will be:
a. 108 USD
b. 107.00 USD
c. 107.59 USD
d. 107.32 USD
85. Which of the following statements is false about passive investing strategy?
a. Passive investment strategy offers better rate of return than active investment strategy
b. Passive investing is an investment strategy to maximize returns by minimizing buying
and selling.
c. Passive investors do not seek to profit from short-term price movements or market
timing
d. Passive investment strategy helps traders to minimize the fees and limit the risks that
can occur with frequent trading
86. A firm has a return on equity (ROE) of 20% and follows a policy of paying 30% of
earnings in the form of dividends (a dividend-payout ratio = 30%). The firm's
anticipated growth rate of dividend is:
a. 20%
b. 14%
c. 10%
d. 6%
87. Which of the following statements is true? Select one:
a. Active investment funds have a chance to beat the market
b. Passive funds are limited to a specific index or predefined set of investments with little
or no change.
c. All of the options are correct
d. Passive funds will never beat the market, even in turbulent times because that
investment is so closely tied to the market.
88. Which of the following performance measures is most appropriate for an investor
who is not fully diversified?
a. Sharpe ratio
b. Jensen’s Alpha
c. All of the above are correct
d. M-squared
89. A portfolio is a basket of assets that can include:
a. All of the options are true
b. Stocks, bonds
c. Real estate, art
d. Commodities, currencies
90. Investors should use a portfolio approach to:
a. Reduce risk
b. Remove risk
c. Eliminate risk
d. Increase risk
92. Which of the following statements about the correlation coefficient is FALSE?
a. The values range between -1 to +1.
b. A value of zero means that the returns are independent.
c. A value of -1 implies that the returns move in a completely opposite direction.
d. A value of +1 implies that the returns for the two stocks move together in a
completely linear manner
93. Assume that you decide to invest in a portfolio of 80% equity index XXX and 20%
equity index YYY. The expected return and standard deviation of the equity index XXX
are 8% and 16.21%, respectively. Those for the equity index YYY are 18% and 33.11%,
respectively. Given the covariance of returns between the two equity indices is 0.5%,
what is the expected standard deviation of the above portfolio?
a. 42.6%
b. 26.7%
c. 15.1%
d. 14.6%
94. Following the CAPM, we should ...... any security with an estimated return that
plots…. the SML because it is
a. buy, above, overpriced
b. sell, below, underpriced
c. buy, above, underpriced
d. sell, above, underpriced
95. Which of the following is the implication of the efficient market hypothesis?
a. Stock price moves for no reason
b. Price reflects all available information
c. Stock price does not volatile
d. Can predict accurately the future events
96. The benefits of passive investing do not include:
a. Transparency: It's always clear which assets are in an index fund
b. This investment strategy is often more difficult to implement than an active strategy
that requires constant research and adjustment
c. Low fee
d. Tax efficiency
97. In Vietnam, securities investment portfolio management is an operation of:
a. Financial companies
b. Banks
c. Fund management companies
d. Securities companies
98. Investors with shorter time horizons generally favor ...... liquid and ...... risky
investments because losses are harder to overcome in a short time frame
a. more, less
b. less, less
c. less, more
d. more, more
99. A 20-year-old investor tends to:
a. Use high leverage
b. Invest in derivatives contracts
c. Invest in treasury bond
d. Invest in treasury bill
101. The risk-free rate is 8%. The expected market rate of return is 15%. According to
the Capital Asset Pricing Model (CAPM), if you expect stock X with a beta of 1.2, this
stock offers a rate of return of ………
a. 17.50%
b. 15.20%
c. 14.90%
d. 16.40%
101. Theoretically, the correlation coefficient between a completely diversified portfolio
and the market portfolio should be:
a. -1.0
b. +1.0
c. 0.0
d. +0.5
102. the correlation coefficient between market return and a risk-free asset would:
d. be zero
103. Holding other factors constant, which one of the following bonds has the smallest
price volatility?
C. 5 year, 14% coupon bond
106. In an efficient financial market, when positive news appears, which of the following
is considered an investor overreacting to new information?
a. The price rose sharply on the day of the news and then sideways the following days
b. The price increased sharply on the day the news appeared, then decreased the
following days
c. The price increased sharply on the day the news appeared, then continued to increase
the following days
d. The price dropped sharply on the day the news appeared, then fell on the following
days
107. Company U has the required rate of return of 15%, the constant growth rate of 10%,
the payout ratio of 45%. What should be the expected P/E ratio for the stock of company
U?
a. 4.5 times
b. 10 times
c. 8.8 times
d. 9 times
108. Which of the following strategies seeks to increase the portfolio value by reinvesting
current income in addition to capital gains?
a. return preservation
b. capital preservation
c. capital appreciation
d. total return
109. Which of the following is the best reason for an investor to be concerned with the
composition of a portfolio?
a. Avoidance of financial crises
b. Risk reduction
c. Risk elimination
d. Hazard elimination
110. Comparing to the measure of risk for an individual asset, investors should
understand two more basic concepts in statistics to compute the standard deviation
of returns for a portfolio of assets – the measure of risk for a portfolio. The two
concepts are ……… and ………
Select one:
a. Covariance and coefficient of variation
b. Coefficient of variation and Standard deviation
c. Correlation and beta
d. Covariance and correlation coefficient
111. You are given a two-asset portfolio with a fixed correlation coefficient. If the
weights of the two assets are varied, the expected portfolio return would be ____
and the expected portfolio standard deviation would be ____.
Select one:
a. linear, circular
b. nonlinear, circular
c. linear, elliptical
d. nonlinear, elliptical
112. In a two-stock portfolio, if the correlation coefficient between two stocks were to
decrease over time, everything else remaining constant, the portfolio's risk would:
Select one:
a. fluctuate positively and negatively.
b. decrease.
c. remain constant.
d. increase.
113. Assume an investor with the following utility function: U = E(r) - (3/2)σ^2. To
maximize her expected utility, she would choose the asset with an expected rate of
return of ……… and a standard deviation of ………, respectively.
Select one:
a. 10%, 10%
b. 12%, 20%
c. 8%, 10%
d. 10%, 15%
114. Asset 1 has E(R1) = 0.12 and E(Standard Deviation) = 0.04. Asset 2 has E(R2)
= 0.16 and E(Standard Deviation) = 0.06. Calculate the expected return and
expected standard deviation of a two-stock portfolio when r1,2 = -0.60 and w1 =
0.75.
Select one:
a. 0.12 and 0.5585
b. 0.12 and 0.0585
c. 0.13 and 0.0455
d. 0.13 and 0.0024
115. The intercept of the best fit line formed by plotting the excess returns of a
manager’s portfolio on the excess returns of the market is best described as
Jensen’s
Select one:
a. Alpha
b. Sigma
c. Beta
d. All of the above are wrong
116. The risk-free rate is 5%. The expected market rate of return is 15%. If you
expect a stock with a beta of 1.2 to offer a rate of return of 20%, you should:
Select one:
a. sell the stock because it is underpriced.
b. sell the stock because it is overpriced.
c. buy the stock because it is underpriced.
d. buy the stock because it is overpriced.
117. Proponents of the efficient market hypotheses (EMH) typically advocate:
Select one:
a. an active trading strategy
b. a passive investment strategy
c. investing in an index fund
d. investing in an index fund and a passive investment strategy
118. With respect to the efficient market hypothesis, if security prices reflect only past
prices then the market is:
Select one:
a. Semistrong-form efficient
b. Strong-form efficient
c. All of the above are wrong
d. Weak-form efficient
119. If you believe in the ……… form of the efficient market hypothesis, you believe
that stock prices reflect all relevant information, including historical stock prices and
current public information about the firm, but not information that is available only to
insiders.
Select one:
a. strong
b. weak
c. semistrong
d. very weak
121. Important reasons for constructing an IPS:
Select one:
a. All of the above are correct
b. Protects the client against a portfolio manager’s inappropriate investments or
unethical behavior
c. It helps the investor decide on realistic investment goals after learning about the
financial markets and the risks of investing
d. It creates a standard by which to judge the performance of the portfolio manager
122. Comparing to the measure of risk for an individual asset, investors should
understand two more basic concepts in statistics to compute the standard deviation
of returns for a portfolio of assets – the measure of risk for a portfolio. The two
concepts are ……… and ………
Select one:
a. Correlation and beta
b. Covariance and coefficient of variation
c. Coefficient of variation and Standard deviation
d. Covariance and correlation coefficient
123. Over the past year you earned a nominal rate of interest of 10% on your money.
The inflation rate was 5% over the same period. The real interest rate (based on the
approximation rule) was:
Select one:
a. 5.0%.
b. 2.8%.
c. 15.5%.
d. 10.0%.
124. There are three scenarios of the economy (Boom, Normal and Recession). The
probability of Boom is 30% and the HPR of KMP stock in this scenario is 18%. The
probability of Normal is 50% and the HPR in this scenario is 12%. The probability of
Recession is 20% and the HPR in this scenario is -5%. What is the expected
holding-period return for KMP stock?
Select one:
a. 11.54%
b. 9.32%
c. 10.40%
d. 11.63%
125. Firm CTD has a beta = 0.75, which of the following statements is true?
Select one:
a. CTD stock has higher volatility than VNIndex
b. If the market portfolio is up 1%, the stock is down 0.75%.
c. If the market portfolio is up 1%, the stock is up 0.75%.
d. If the market portfolio is down 1%, the stock is up 0.75%.
126. Which of the following statements is false about the Fama-French 3 factor
model?
Select one:
a. Fama-French 3 factor model adds 2 more factors, namely company size and book
value to market value into the CAPM model.
b. The Fama-French 3 factor model assumes that the return of an investment
portfolio depends on the market factor, firm size factor, and book-to-market factor.
c. The Fama-French 3 factor model still holds that a high rate of return is a reward
for high risk taking
d. Fama-French 3 factor model adds 2 more factors, namely liquidity ratio and book
value to market value into the CAPM model.
127. Your personal opinion is that a stock has an expected rate of return of 0.11. It
has a beta of 1.5. The risk-free rate is 0.05 and the market expected rate of return is
0.09. According to the Capital Asset Pricing Model, this security is:
Select one:
a. underpriced
b. Cannot be determined from data provided
c. overpriced
d. fairly priced
128. A substitution swap is an exchange of bonds undertaken to
Select one:
a. reduce the duration of a portfolio.
b. profit from apparent mispricing between two bonds.
c. extend the duration of a portfolio.
d. change the credit risk of a portfolio.
129. Which of the following is considered a passive management strategy?
Select one:
a. use of factor models
b. quantitative screens
c. sampling
d. sector rotation
130. Which of the following portfolio performance measures does not require
comparisons with other values?
Select one:
a. Alpha Jensen
b. Treynor
c. All of the above are false
d. Sharpe ratio
131. ......... is an appropriate objective for investors who want their portfolio to grow in
real terms, i.e., exceed the rate of inflation.
Select one:
a. Portfolio growth
b. Capital appreciation
c. Value additivity
d. Capital preservation
132. An asset is liquid if it can be ...... converted to cash at a price close to ......
market value.
Select one:
a. slowly, lower
b. quickly, lower
c. slowly, fair
d. quickly, fair
133. Which of the following statement about the ascending level of risk of return
objectives are true?
Select one:
a. Capital appreciation > Current income > Capital preservation
b. Capital appreciation > Capital preservation > Current income
c. Current income > Capital preservation > Capital appreciation
d. Capital preservation > Current income > Capital appreciation
134. There are four following investments: A has E(r) = 10%, standard deviation (σ)
= 5%; B has E(r) = 21%, σ = 11%; C has E(r) = 18%, σ = 23%; D has E(r) = 24%, σ =
16%. According to the mean-variance criterion, which of the statements below is
correct?
Select one:
a. Investment B dominates investment A.
b. Investment B dominates investment C.
c. Investment D dominates only investment B.
d. Investment D dominates all of the other investments.
135. Assume that you decide to invest in a portfolio of equity index XXX and equity
index YYY. The expected return and standard deviation of the equity index XXX are
8% and 16.21%, respectively. Those for the equity index YYY are 18% and 33.11%,
respectively. Given the covariance of returns between the two equity indices is 0.5%,
what should be the weight of the equity index XXX to get 12% of the expected return
of the portfolio?
Select one:
a. 60%
b. 50%
c. 40%
d. 30%
136. Following the CAPM, we should ...... any security with an estimated return that
plots ...... the SML because it is ......
Select one:
a. buy, above, overpriced
b. sell, above, underpriced
c. sell, below, underpriced
d. buy, above, underpriced
137. Assume that you have 20 different stocks and want to draw the efficient frontier,
how many covariances do you need to calculate?
Select one:
a. 20
b. 200
c. 90
d. 190