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The correct answer is c and d. In the case of the CAPM model, it assumes that information is freely available and immediately accessible to all investors (c). It also assumes that the investment horizon of all investors is one period, meaning that they all have the same time frame for their investments (d). These assumptions are important for the CAPM model to work effectively in calculating expected returns and determining the risk and return relationship of assets.

J. Tobin introduced risk-free instruments into portfolio analysis.

The correct answer is b. kurs akcji przebija w górę średnią rosnącą. This means that the stock price breaks above the rising moving average, indicating a buy signal. Additionally, the answer c. kurs akcji przebija w górę średnią horyzontalną is also correct as it means that the stock price breaks above the horizontal moving average, also indicating a buy signal. Both scenarios suggest that the stock price is showing upward momentum and it may be a good time to buy.

The correct answer is a and d. Covariance of return rates can take values from minus to plus infinity, indicating the degree of dependence between the return rates of two assets. By analyzing the covariance, we can determine how the return rates of two assets are interrelated.

The correct answer is c. wystawcę opcji. This is because the given statement translates to "The option is a contract obligating the fulfillment of the contract conditions." The term "wystawca opcji" in Polish refers to the option writer or the party who sells or writes the option contract. Therefore, the correct answer is the option writer.

The correct answer is b. czynników makroekonomicznych (macroeconomic factors) and e. czynników mikroekonomicznych (microeconomic factors). In a single-factor model, the variability of stock returns from individual stocks depends on both macroeconomic factors, such as interest rates, GDP growth, and inflation, as well as microeconomic factors, such as company-specific factors, industry trends, and competitive dynamics. These factors can influence the performance and profitability of individual stocks, leading to variations in their returns.

The correct answer is c. ceny aktywów odzwierciedlają wszystkie informacje z określonego ich zbioru. This means that in an informationally efficient market, asset prices reflect all the available information about them. This implies that it is not possible for investors to consistently outperform the market by using this information, as it is already incorporated into the prices.

Futures contracts can be used for hedging positions taken in the cash market and for speculation. Hedging involves using futures contracts to offset potential losses in the cash market, while speculation involves taking positions in futures contracts to profit from anticipated price movements. Therefore, the correct answer is a. zabezpieczenia pozycji przyjmowanej na rynku kasowym,b. spekulacji.

The correct answer suggests that in the theory of arbitrage pricing theory (APT), the returns on securities are generated through a mechanism similar to the single or multi-factor model. Additionally, it states that the relationship between expected returns and beta coefficients must be approximately linear.

The correct answers are b and d. The correlation coefficient measures the strength of the relationship between the returns of stocks A and B. It ranges from -1 to +1, where a positive value indicates a positive relationship and a negative value indicates a negative relationship. A correlation coefficient of 0 indicates no linear relationship between the returns of stocks A and B. Therefore, option b correctly states that the correlation coefficient describes the strength of the relationship between the returns of stocks A and B, and option d correctly states that it takes a value of 0 when there is no linear relationship between the returns of stocks A and B.

The correct answer states that the basic strategies used in passive portfolio management are investing in an index and the "buy and hold" strategy. Investing in an index involves creating a portfolio that replicates the performance of a specific market index, such as the S&P 500. The "buy and hold" strategy refers to the practice of buying securities and holding onto them for a long period of time, regardless of short-term market fluctuations. These strategies are considered passive because they do not involve frequent buying and selling of securities in an attempt to outperform the market.

The use of derivative instruments in portfolio management can provide opportunities for increasing the portfolio's rate of return (option b) and is most commonly used to change the portfolio's risk (option d). Derivative instruments allow investors to take advantage of market movements and potentially generate higher returns. Additionally, derivatives can be used to hedge against potential losses and manage risk in the portfolio. Therefore, options b and d provide a comprehensive explanation of the benefits and objectives of using derivative instruments in portfolio management.

If the spot price is higher than the strike price in a forward contract, it means that the holder of the long position (buyer) will profit because they can buy the underlying asset at a lower price and sell it at a higher spot price. On the other hand, the seller of the contract will incur a loss because they have to sell the asset at a lower price than the current spot price. Therefore, option b is correct as the holder of the long position earns a profit, and option c is correct as the seller of the contract incurs a loss.

The correct answer is b. maximizing the Sharpe ratio for the portfolio. The Sharpe ratio measures the risk-adjusted return of an investment or portfolio. By maximizing the Sharpe ratio, an investor aims to achieve the highest return for a given level of risk. This involves selecting investments with the best risk-return tradeoff and optimizing the portfolio allocation to achieve the highest possible Sharpe ratio.

Arbitraż to działanie na rynkach finansowych polegające na wykorzystywaniu różnic cenowych. Oznacza jednoczesne przeprowadzenie transakcji kupna i sprzedaży waloru na dwóch różnych rynkach. Poprzez wykorzystanie tych różnic, inwestor może osiągnąć zysk bez ryzyka.

The correct answer is c. żadna z podanych odpowiedzi nie jest poprawna (none of the given answers is correct). This means that none of the options accurately describe what the beta coefficient in the CAPM model represents. The beta coefficient in the CAPM model actually measures the degree of a stock's price reaction to changes in the overall market return, not any of the specific factors mentioned in the options.

Optimal portfolios in Markowitz's theory are portfolios that lie on the investor's indifference curves and are tangent to the efficient frontier. This means that they provide the highest level of utility for a given level of risk, maximizing the investor's satisfaction. Therefore, the correct answers are b. and c.

The buyer of a call option earns a profit when the price of the stock increases above the strike price plus the premium. This means that if the stock price rises above the exercise price plus the premium paid for the option, the buyer can exercise the option and buy the stock at a lower price, then sell it at the higher market price, making a profit. Therefore, option d is the correct answer.

The correct answer is a. oczekiwana stopa zwrotu portfela nie zależy od wielkości współczynnika korelacji między akcjami. This means that the expected rate of return of a portfolio does not depend on the correlation coefficient between the stocks. The correlation coefficient measures the degree to which the returns of the stocks move together. However, it does not affect the overall expected return of the portfolio. On the other hand, answer c states that it is possible to reduce the risk of the portfolio to zero if the correlation between the stocks is perfectly negative. This means that when one stock goes up, the other stock goes down, leading to a risk-free portfolio.

The correct answer includes three stages of the investment process: analyzing financial instruments, constructing an investment portfolio, and reviewing the portfolio. These stages are essential in order to make informed investment decisions and manage the portfolio effectively. Estimating the expected risk of the portfolio and choosing a market equilibrium model are not mentioned in the given options and therefore are not part of the investment process according to this question.

If portfolios belonging to the efficient frontier are combined, the resulting portfolio will lie within the set of minimum risk portfolios. This means that the combined portfolio will have the lowest possible level of risk for a given level of return. Therefore, the correct answer is c. portfel leżący w zbiorze minimalnego ryzyka (a portfolio lying in the set of minimum risk).

The correct answer is b. The CAPM model states that the risk premium (price of risk) is equal to the product of the beta coefficient and the market risk premium. This means that the expected return on an investment is determined by the systematic risk (beta) of the investment and the additional return required for taking on that risk (market risk premium). Answer c is also correct, as it states that the expected return on a portfolio is the sum of the risk-free rate of return and the risk premium.

The correct answer states that in technical analysis, a general principle is that volume should increase in the direction of the main trend. It also mentions that formations can be divided into those indicating continuation and those indicating a reversal of the trend.

The Treynor ratio is a measure that evaluates the risk-adjusted performance of an investment. It is calculated by dividing the excess return of an investment over the risk-free rate by the investment's beta, which represents the investment's sensitivity to systematic risk. Therefore, the correct answer is d. Premia za ryzyko /ryzyko systemowe, as it correctly identifies the components used in calculating the Treynor ratio.

The correct answer is b. jest stosowane w zarządzaniu portfelem, c. to zdolność zarządzającego portfelem do formułowania poprawnych prognoz makroekonomicznych.

This means that wyczucie rynku, or timing, is used in portfolio management and refers to the ability of the portfolio manager to formulate accurate macroeconomic forecasts. It suggests that timing the market correctly and making accurate predictions about the overall economic conditions is an important aspect of managing a portfolio effectively.

The correct answer is b) Pozwala określić w jaki sposób stopy zwrotu z dwóch walorów są współzależne. Kowariancja stóp zwrotu jest miarą statystyczną, która informuje o stopniu współzależności między dwoma walorami. Wyższa wartość kowariancji oznacza większą współzależność, podczas gdy wartość ujemna oznacza odwrotną zależność. Natomiast, odpowiedź d) Może przyjmować wartości z przedziału od minus do plus nieskończoności jest również poprawna, ponieważ kowariancja nie ma ograniczeń co do wartości, które może przyjąć.

If the rate of return on stocks changes in the same direction as the rate of return on the stock index, it means that the stock's performance is closely correlated with the overall market. In such a case, the stock's alpha coefficient (a measure of its risk-adjusted performance) may not necessarily be positive or negative. Similarly, the stock's beta coefficient (a measure of its sensitivity to market movements) may not necessarily be greater or less than 1. Therefore, none of the options provided accurately describe the relationship between the stock's return and the market index return in the context of the Capital Asset Pricing Model (CAMP).

The Sharpe ratio is a measure of risk-adjusted return that compares the excess return of an investment to its total risk. It is calculated by dividing the excess return (the difference between the investment's return and the risk-free rate) by the investment's standard deviation (a measure of its total risk). Therefore, the correct answer is d. It is the ratio of the risk premium (excess return) to the total risk of the investment.

The correct answer is c) The coefficient of the characteristic line is the BETA indicator, and d) it presents the relationship between the rate of return on a company's shares and the rate of return on the market portfolio. This means that the characteristic line shows how the returns of a particular stock are related to the overall market returns, as measured by the market portfolio. The BETA indicator, or coefficient, represents the slope of the characteristic line and indicates the stock's sensitivity to market movements.

The basic single-factor model equation includes the return rate of the market portfolio, the residual component variance, and the beta coefficient of the stock or portfolio. However, it does not include the covariance between the return rates of the stocks. Therefore, the correct answer is b) kowariancja między stopami zwrotu z akcji (covariance between the return rates of the stocks) and c) wariancja składnika resztowego (variance of the residual component).

Kontrakty terminowe forward stanowią dwustronne zobowiązanie stron transakcji, ponieważ obie strony umowy mają obowiązek spełnić swoje zobowiązania zgodnie z warunkami umowy. Dodatkowo, kontrakty terminowe forward dotyczą przyszłej dostawy przedmiotu transakcji, czyli instrumentu bazowego, co oznacza, że umowa obejmuje transakcję, która ma być wykonana w przyszłości.

According to Dow's theory, stock market indexes discount everything, meaning that they reflect all available information and factors that may affect stock prices. This implies that the current price of a stock already incorporates all relevant information, such as the company's financials, market conditions, and investor sentiment. Therefore, it suggests that analyzing stock market indexes can provide insights into the overall market trends and help predict future price movements. Additionally, the theory states that the main trend in the market usually unfolds in three phases: accumulation, public participation, and distribution.

The correct answer is a) średnie ruchome and d) oscylatory. This is because średnie ruchome (moving averages) and oscylatory (oscillators) are both fundamental tools used in modern technical analysis. Moving averages help identify trends and provide support and resistance levels, while oscillators help identify overbought and oversold conditions in the market. These tools are commonly used by traders to make informed decisions about buying and selling securities.

The correct answer is a. Portfele efektywne leżą na linii rynku kapitałowego (CML). This means that efficient portfolios lie on the Capital Market Line, which represents the risk-return tradeoff for a portfolio that includes a risk-free asset and a risky portfolio. Efficient portfolios are those that offer the highest expected return for a given level of risk, and they can be constructed by combining the risk-free asset with the market portfolio in different proportions. The CML represents the optimal portfolios that can be achieved by combining these two assets.

The correct answer is a. oczekiwania inwestorów są homogeniczne and c. poszczególne aktywa są nieskończenie podzielne. This is because the Capital Asset Pricing Model (CAPM) assumes that investors have homogeneous expectations, meaning they all have the same beliefs about future returns and risks. Additionally, it assumes that assets can be infinitely divisible, meaning investors can hold any fraction of an asset's shares. These assumptions are important in CAPM as they help in calculating the expected return and risk of a portfolio.

The correct answer is b and d. According to the Sharpe model, total risk is the sum of specific risk and systematic risk. This means that the total risk of an investment includes both the risk that is specific to that particular investment and the risk that is inherent in the overall market. Additionally, the Sharpe model states that the total risk of a portfolio of stocks is not greater than the risk calculated using the Markowitz algorithm.

The correct answer is b. Korelacje stóp zwrotu poszczególnych akcji uzależnione są od jednoczesnego działania dwóch lub większej liczby czynników. This means that the correlations between the returns of individual stocks are influenced by the simultaneous action of two or more factors. In other words, the relationship between the returns of different stocks cannot be explained by a single factor alone. Additionally, the answer also mentions that one of the factors considered in these models can be inflation and the market.

Portfele efektywne są to portfele leżące w górnej połowie pocisku Markowitza, co oznacza, że są to portfele, które mają najwyższą możliwą do osiągnięcia oczekiwaną stopę zwrotu dla danego poziomu ryzyka. Oznacza to, że dla danego poziomu ryzyka, nie ma innych portfeli, które mogłyby osiągnąć wyższą stopę zwrotu.

In portfolio theory, when choosing an optimal portfolio, one considers the indifference curves of different investors and the investors' attitude towards risk. The indifference curves represent the different combinations of risk and return that an investor is indifferent to. By considering these curves, one can determine the optimal portfolio that maximizes returns while minimizing risk, taking into account the preferences of different investors. Additionally, the investors' attitude towards risk, as represented by their risk tolerance, is also considered in the selection of the optimal portfolio. Therefore, options a and d are both relevant factors to be considered when choosing an optimal portfolio.

The correct answer is a) because linie kombinacji show how the expected returns and risk of a two-component portfolio change when the allocations of individual securities in the portfolio change. The correct answer is also d) because linie kombinacji combine stocks with different levels of risk.

In W models, expected return rate can be influenced by both expected inflation and expected unemployment rate. Expected inflation affects the purchasing power of the currency, which in turn affects the return rate. Expected unemployment rate affects the overall economic conditions and can impact the profitability and growth prospects of investments, thus influencing the expected return rate. Therefore, both expected inflation and expected unemployment rate can have an impact on the expected return rate in W models.

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The correct answer is d) oczekiwana stopa zwrotu portfela jest sumą st. zwrotu z inwestycji wolnej od ryzyka i ceny ryzyka. This answer accurately reflects the concept of the Capital Asset Pricing Model (CAPM), which states that the expected return of a portfolio is equal to the risk-free rate plus the risk premium, where the risk premium is determined by the portfolio's beta. The equation in this answer correctly represents the relationship between the expected return, risk-free rate, and risk premium in the CAPM framework.

The correct answer suggests that it is possible to reduce the risk of a portfolio to zero and that it is possible to construct a portfolio with lower risk than the individual stocks it contains. This implies that by diversifying the portfolio and selecting stocks with different risk profiles, it is possible to mitigate the overall risk of the portfolio. Diversification helps to spread the risk across different assets, reducing the impact of any single stock's performance on the overall portfolio.

The correct answer is c because in a single-factor model, the residual components are assumed to be uncorrelated with each other. This means that the movements in one stock's residual component do not affect the movements in another stock's residual component.

The correct answer is d because as the number of stocks in a portfolio increases, the residual variance of the portfolio tends to decrease. This is due to the diversification effect, where the idiosyncratic risk of individual stocks cancels out when combined in a portfolio, leading to a reduction in overall portfolio risk.

The given answer is incorrect. It states that the "obszar wykupienia" (overbought zone) is located above the "poziom wykupienia" (overbought level), which is contradictory. The correct answer should be that the "obszar wyprzedania" (oversold zone) is located above the "poziom wyprzedania" (oversold level).

The correct answer states that in technical analysis, volume increases in the direction of the trend and it also predicts reversals and continuations of the trend. This suggests that volume is an important factor to consider when analyzing trends in the market.

When a portfolio consists of stocks from multiple companies, there are multiple efficient portfolios that can be created. This means that there are multiple combinations of stocks that can provide the highest return for a given level of risk. Additionally, by diversifying the portfolio properly, it is possible to eliminate specific risk, which is the risk associated with individual stocks. This can be achieved by including a variety of stocks from different industries or sectors. Therefore, option a is correct. Option b is also correct because diversification can help in reducing specific risk.

In the case of weak market efficiency, the use of technical analysis should not result in above-average profits. This is because in a weakly efficient market, all relevant information, including past stock prices, is already reflected in the current stock price. Therefore, using technical analysis to predict future price movements based on past price patterns is unlikely to generate exceptional profits.

The beta coefficient of an analyzed stock is most commonly calculated based on historical returns. It is a measure of the stock's sensitivity to changes in the overall market. It is also calculated as the ratio of the stock's covariance with the market portfolio to the variance of the market portfolio.

The basic phases of an investor's life cycle include consolidation, spending, and accumulation. In the consolidation phase, the investor focuses on building a solid financial foundation by paying off debts and saving money. In the spending phase, the investor starts using their accumulated wealth to fund their lifestyle and meet their financial goals. In the accumulation phase, the investor focuses on investing and growing their wealth to achieve long-term financial security.

The correct answer is b. wskaźnik cena do wartości księgowej, c. stopa dywidendy, d. wskaźnik cena do zysku. These are commonly used market value indicators in the capital market. The wskaźnik cena do wartości księgowej (price-to-book ratio) compares the market price of a stock to its book value, providing insight into the stock's valuation. The stopa dywidendy (dividend yield) measures the annual dividend payment relative to the stock's market price, indicating the return on investment through dividends. The wskaźnik cena do zysku (price-to-earnings ratio) compares the market price of a stock to its earnings per share, helping investors assess the stock's valuation and potential profitability.

The Rate of Change (ROC) indicator measures the percentage change in the current price compared to the price before a specified number of sessions. Option b) correctly states that the ROC informs about the percentage by which the current price is higher or lower than the price before a specified number of sessions. Option d) is also correct as the ROC can indicate the degree of market overbought or oversold conditions.

The correct answer is b. It measures the strength of the reaction of the return rate of a given stock to changes in the market return rate. The beta coefficient is used in finance to assess the volatility or risk of a particular stock in relation to the overall market. A beta value greater than 1 indicates that the stock is more volatile than the market, while a beta value less than 1 suggests that the stock is less volatile than the market. Therefore, option b accurately describes the purpose and meaning of the beta coefficient.

Portfele efektywne charakteryzują się maksymalnym poziomem oczekiwanej stopy zwrotu przy danym odchyleniu standardowym oczekiwanej stopy zwrotu oraz minimalnym poziomem ryzyka przy danej oczekiwanej stopie zwrotu. This means that efficient portfolios provide the highest expected return for a given level of standard deviation of expected return and also have the lowest level of risk for a given expected return.

The correct answer states that a. the beta coefficient of a stock can take positive and negative values, c. if the estimated value of a stock is higher than its current market price, according to the principles of fundamental analysis, the stock should be bought, and d. the CZ indicator provides an approximate assessment of the attractiveness of investing in a company's stock. These statements are accurate because beta measures the sensitivity of a stock's returns to market movements, fundamental analysis involves evaluating a stock's intrinsic value compared to its market price, and the CZ indicator is a tool used to assess the investment potential of a stock.

Technical analysis allows investors to determine the optimal times to buy or sell stocks by analyzing market trends and patterns. It also helps in identifying the overall trend of the market, which can be used to predict future price movements. Therefore, options a) and d) are correct. Option b) is incorrect because the analysis does not specifically focus on identifying overvalued or undervalued stocks. Option c) is also incorrect because financial statement analysis is a separate discipline that focuses on comparing the financial performance of companies.

The correct answer is e. żadna z powyższych (none of the above). The question is asking about the factors that determine the variance of returns in Markowitz's model. However, none of the options provided (a, b, c, d) are related to the factors that determine the variance of returns. Therefore, the correct answer is none of the above.

According to the given answer, statement a is true because E Fama states that one of the sufficient conditions for an informationally efficient capital market is the absence of transaction costs in trading stocks. Statement d is also true as optimal portfolios are the points of tangency between the efficient frontier and indifference curves.

The correct answer is a. and d. In a single-index model, the residual components are assumed to be caused solely by microeconomic events and the prices of all stocks react to changes in the market portfolio. This means that any deviations from the expected returns of individual stocks can be attributed to specific events affecting those stocks, and changes in the overall market portfolio will affect the prices of all stocks.

In fundamental analysis, decisions are made based on the macroeconomic situation, as it helps in understanding the overall market conditions and the potential impact on stock prices. Additionally, fundamental analysis involves looking for stocks whose current prices deviate from their intrinsic value, indicating potential opportunities for investment. Furthermore, predicting future profits is a crucial aspect of fundamental analysis as it helps in assessing the potential growth and profitability of a company. Therefore, options b, c, and d align with the principles of fundamental analysis.

In reference to oscillators, the correct answer (c) states that a buying signal is indicated by the intersection from below the selling line. This means that when the oscillator's line crosses above the selling line, it suggests a good time to buy. Additionally, the correct answer (d) states that the selling area is located below the lower range of the oscillator's fluctuations. This means that when the oscillator's values are below the lower range, it suggests that it is a good time to sell.

The correct answer is e. żadna z wymienionych odpowiedzi nie jest prawdziwa. This means that none of the statements mentioned in options a, b, and c are true about the characteristic line of a security paper.

Moving averages are most effective when there is a clear upward or downward trend in the market. They inherently follow the trend and can be used to forecast market behavior. They can also be divided into two types: those that predict a trend change and those that predict trend continuation.

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In the case of CAPM, the risk of individual capital assets is measured using beta coefficients. This means that beta coefficients are used to determine the sensitivity of an asset's returns to the overall market returns. On the other hand, the risk of portfolios is measured using variance (standard deviation). Variance measures the dispersion of returns around the average return of a portfolio, providing an indication of the portfolio's volatility. Therefore, both options a) and b) correctly explain the measurement of risk in CAPM.

In the Markowitz portfolio theory, the risk of a portfolio is calculated by considering the weights of individual stocks in the portfolio (answer c) and the products of the squares of these weights and their variances (answer e). By taking into account the weights of each stock and their variances, the Markowitz model aims to find the optimal portfolio that maximizes returns for a given level of risk. Therefore, both answers c) and e) are correct in explaining the components used to calculate portfolio risk in the Markowitz model.

The correct answer is a. zarządzanie pasywne and b. techniki finansowania dopasowanego. Zarządzanie pasywne odnosi się do strategii inwestycyjnych, które polegają na replikowaniu składu indeksu lub innego benchmarku, bez aktywnego podejmowania decyzji inwestycyjnych. Techniki finansowania dopasowanego natomiast odnoszą się do strategii, w których portfel obligacji jest konstruowany tak, aby dopasować się do przyszłych zobowiązań finansowych. Te strategie mają na celu minimalizację ryzyka i zmaksymalizowanie efektywności inwestycji.

(dodatkowo analiza różnic dochodowości oraz kontakty swapowe na obligacje)

The correct answer for this question is a, b, and e. This means that the residuals of individual stocks are not correlated with each other, there are no guidelines for the factors that must be included in the model, and the prices of securities are generated by a mechanism similar to the mechanism of model 1 or multiple indicators.

The expected return of a two-component portfolio is always included in a range defined by the expected returns of the individual stocks in the portfolio. Additionally, the expected return of the portfolio can be arbitrarily high if short selling is employed.

The correct answer is b, c, and d. The statement in option b is true as both Markowitz model and index models use different formulas to calculate portfolio variance. Option c is also correct as these two models differ in terms of the sources of covariance between individual stocks. Option d is also true as both models are used to determine the minimum risk set.

The correct answer is b. jest zbiór portfeli o najniższej stopie zwrotu przy danej wariancji.

This means that the minimal risk set is a collection of portfolios that have the lowest possible rate of return for a given level of variance. In other words, within this set, investors can achieve the lowest risk (variance) possible while still obtaining a desired level of return.

The Sharpe ratio is a measure of risk-adjusted return that helps investors evaluate the return of an investment compared to its risk. It simplifies the portfolio theory developed by Harry Markowitz by providing a single number that represents the excess return per unit of risk. Additionally, it allows investors to estimate the unsystematic risk of a portfolio, which is the risk that can be diversified away. Finally, the Sharpe ratio also represents the relationship between the return of a stock and the return of the market index, providing insights into the stock's performance relative to the overall market.