LOYOLA COLLEGE (AUTONOMOUS), CHENNAI – 600 034
B.A. DEGREE EXAMINATION – ECONOMICS
SIXTH SEMESTER – NOVEMBER 2012
EC 6600 – PORTFOLIO MANAGEMENT
Date : 05/11/2012 Dept. No. Max. : 100 Marks
Time : 1:00 – 4:00
PART – A
Answer any FIVE questions in about 75 words each: (5×4=20)
- Discuss briefly the wide array of investment avenues.
- What are the key differences between an investor and a speculator?
- How many inputs are needed for a portfolio analysis involving 75 securities if
covariances are computed using (a) Markowitz approach and (b) the Sharpe index model?
- What is Diversification?
- Explain Put Call Parity relationship.
- Discuss the strategies of Hedging.
- Explain the currency swaps.
PART-B
Answer any FOUR questions in about 300 words each: (4×10=40)
- Discuss briefly the key steps involved in the Portfolio management process.
- Explain the Types of Risk.
- Briefly explain the APT Model.
- Bring out the Factors that determine the Option price.
- Analyse Cootners price value interaction model.
- A portfolio consisting of five securities is listed below. Calculate each stock’s expected
return. Then using these individual security’s expected returns, compute the
portfolios expected returns.
| Stock | Initial investment value | Expected End of period investment value | Proportion of portfolios initial market value |
| A | 5000 | 7000 | 20.0% |
| B | 2500 | 4000 | 10.0 |
| C | 4000 | 5000 | 16.0 |
| D | 10000 | 12000 | 40.0 |
| E | 3500 | 5000 | 12.0 |
- If the risk-free return is 10% and the expected return on BSE index is 18% ( and risk measured by
standard deviation is 5%), how would you construct an efficient portfolio to produce a 16% expected
return and what would be its risk?
PART-C
Answer any TWO questions in about 900 words each: (2×20=40)
- Write a note on Single Index market theory.
- Explain Markowitz Portfolio selection model.
- Enumerate CAPM model.
- Analyse the methods of managing foreign exchange risk.
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