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.

**Latest Govt Job & Exam Updates:**