LOYOLA COLLEGE (AUTONOMOUS), CHENNAI – 600 034
B.A. DEGREE EXAMINATION – ECONOMICS
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SIXTH SEMESTER – APRIL 2006
EC 6600 – PORTFOLIO MANAGEMENT
(Also equivalent to ECO600)
Date & Time : 19-04-2006/FORENOON Dept. No. Max. : 100 Marks
PART – A
Answer any FIVE questions in about 75 words each. (5 ´ 4 = 20 Marks)
- Distinguish between securitised and non-securitised investments.
- What is the shape of the total utility curve for a risk lovers?
- What is the relationship between risk and return in portfolio management?
- Distinguish between diversifiable risk and non-diversifiable risk.
- What is price-earnings ratio effect?
- What is meant by weak end effect in portfolio analysis?
- Distinguish between LIFO and FIFO.
PART – B
Answer any FOUR questions in about 250 words each. (4 ´ 10 = 40 Marks)
- What are the advantages of fixed income securities?
- Explain the main investment attributes.
- State and explain Samuelson’s continuous equilibrium model.
- Bring out Markowitz diversification and classification of risk.
- Distinguish clearly characteristic line from SML and CML.
- Explain the concept of efficient frontier using risk-return relationship.
- Distinguish between risk averse and risk loving investors in terms of their total utility functions.
PART – C
Answer any TWO questions in about 900 words each. (2 ´ 20 = 40 Marks)
- Examine the research relating to efficient market theory with reference to different efficient market hypotheses.
- Elucidate the sources of risk in terms of traditional, latest structure and MPT classifications.
- Discuss the equilibrium of an investor using the efficient frontier.
- Estimate total risk and systematic risk for the following data:
| Quarter | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 |
| Company index | 14 | -22 | 47 | 7 | 42 | 30 | 14 | 32 | 30 | 2 |
| Market index | 12 | 1 | -26 | -8 | 22 | 16 | 12 | -10 | 23 | 11 |
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