LOYOLA COLLEGE (AUTONOMOUS), CHENNAI – 600 034

B.A. DEGREE EXAMINATION – ECONOMICS

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)

 

1. Distinguish between securitised and non-securitised investments.
2. What is the shape of the total utility curve for a risk lovers?
3. What is the relationship between risk and return in portfolio management?
4. Distinguish between diversifiable risk and non-diversifiable risk.
5. What is price-earnings ratio effect?
6. What is meant by weak end effect in portfolio analysis?
7. Distinguish between LIFO and FIFO.

PART – B

Answer any FOUR questions in about 250 words each.   (4 ´ 10 = 40 Marks)

 

8. What are the advantages of fixed income securities?
9. Explain the main investment attributes.
10. State and explain Samuelson’s continuous equilibrium model.
11. Bring out Markowitz diversification and classification of risk.
12. Distinguish clearly characteristic line from SML and CML.
13. Explain the concept of efficient frontier using risk-return relationship.
14. 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)

15. Examine the research relating to efficient market theory with reference to different efficient market hypotheses.
16. Elucidate the sources of risk in terms of traditional, latest structure and MPT classifications.
17. Discuss the equilibrium of an investor using the efficient frontier.
18. 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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LOYOLA COLLEGE (AUTONOMOUS), CHENNAI – 600 034      B.A. DEGREE EXAMINATION – ECONOMICS

SIXTH SEMESTER – APRIL 2007

         EC 6600 – PORTFOLIO MANAGEMENT

 

 

 

Date & Time : 16.04.2007/9.00-12.00          Dept. No.                                                        Max. : 100 Marks

 

 

 

                                    PART A               (5 X 4 = 20 marks)

 

Answer any FIVE questions in 75 words each. Each question carries FOUR marks.

 

1. Explain the concepts of risk and return employed in portfolio management.
2. What is a mutual fund? Give suitable examples.
3. The current annual interest rate in India is 6% while its UK counterpart is 4%. The price of £1 in the spot market is Rs.85. Price a one-year forward contract for the Rupee-Pound exchange rate.
4. Define the concept of excess return used in efficient market hypothesis.
5. What are the three forms of market efficiency identified by Fama?
6. State Paul Cootner’s price-value interaction model.
7. Calculate expected return and the standard deviation of returns for a stock with the following probability distribution:

 

Condition returns (%)	-34	-18	0	20	24	26	30
Occurrence probability	0.05	0.15	0.20	0.20	0.15	0.15	0.10

 

PART B            (4 X 10 = 40 marks)

 

Answer any FOUR questions in 250 words each. Each question carries TEN marks.

      

1. Differentiate between forward/future contracts and options.
2. What are factor models? How are they relevant for Arbitrage Pricing Theory?
3. Present the various empirical evidences supporting market efficiency.
4. Stocks A and B have yielded the following returns for the past three years:

Returns (%)

Stock	2004	2005	2006
A	26	20	14
B	30	24	16

 

1. a) What is the expected return on a portfolio made up of 60% of A and 40% of B?
2. b) Find out the standard deviation of each stock.
3. c) What is the covariance and coefficient of correlation between A and B?
4. d) What is the portfolio risk of the portfolio made up of A and B?

 

 

1. Using a numerical example show how an interest rate swap can result in a win-win solution for the two parties to the swap contract.

 

 

 

 

 

1. Consider the following single period binomial process for a given stock price.

The current stock price is $18 and with probability 0.5 this price will rise to $23.

With the complementary probability, the price will fall to $11. Assuming that the

risk-free rate is 9% and the exercise price is $15 determine the price of a one-

period European call option and a one-period European put option.

 

1. In the absence of arbitrage, derive the formula employed in the pricing of forward contracts.

 

PART C             (2 X 20 = 40 marks)

 

Answer any TWO questions in 900 words each. Each question carries TWENTY marks.

 

1.   Explain the importance of Arrow-Debreu securities, replicating portfolios and

arbitrage opportunities within the state preference model of asset pricing.

 

1.   What is portfolio management? Discuss the various functions of portfolio

management.

 

1.   a)  Within the context of mean-variance analysis, explain the importance of

correlation, the efficient set, the risk-free asset and the tangency portfolio.

(10 marks)

1. b) The following table presents the expected returns and standard deviations for

three stocks and the market index. The risk-free interest rate is 5% and the stock market is in CAPM equilibrium.                                      (10 marks)

 

Name	Expected Return	Standard Deviation
Brown plc	7%	8%
Cornelius plc	12%	19%
Watkins plc	15%	26%
Market index	11%	15%

 

1. i)   What are the ‘beta’ values for each of the three stocks? Explain which

stock would be the best investment if the market was expected to rise?

1. ii) What are the covariances of the returns of each of these stocks with the

returns on the market?

iii) What is the numerical equation of the capital market line (CML) for this

market? Identify whether the stocks plot on the CML and explain what

you conclude from this.

1.  a)   The Black-Scholes formula for the price of a European call option is derived

in a continuous-time framework. How do Black-Scholes call option prices

depend on i) the exercise price, ii) the risk-free interest rate and iii) the

volatility of the underlying asset price?                                     (10 marks)

72. The current stock price of IOB is Rs.72. Both a call and a put option are

to be written on IOB’s equity with an expiry of 6 months and an exercise

price of Rs.70. Assume that volatility is 20% per annum and risk-free interest

rate is 10% per annum. Determine the price of the call and put options using

the Black-Scholes model.                                                           (10 marks)

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LOYOLA COLLEGE (AUTONOMOUS), CHENNAI – 600 034

B.A. DEGREE EXAMINATION – ECONOMICS

BC 26

SIXTH SEMESTER – APRIL 2008

EC 6600 – PORTFOLIO MANAGEMENT

 

 

 

Date : 16/04/2008             Dept. No.                                        Max. : 100 Marks

Time : 9:00 – 12:00

 

PART-A

Answer any FIVE questions in about 75 words.                                 (5 x 4 = 20 Marks)

 

1. Define the concept portfolio management.
2. Explain the meaning and objectives of Investment.
3. Differentiate Risk and Return.
4. Explain the structure of the Capital Market.
5. Define the arbitrage pricing theory.
6. Explain the technique of moving averages analysis.
7. Define the concept Efficient Market Theory.

 

 

PART-B

Answer any FOUR questions in about 250 words.                         (4 x 10 = 40 Marks)

 

1. What are the factors determining risk?
2. What are the assumptions of Capital Market Theory?
3. What is security market line? Illustrate with an example.
4. Explain the significance of Portfolio Analysis.
5. What are the advantages of Mutual Funds?
6. What is called preference share? If a company has issued 14% preference shares and the investors expect 13% return from the shares, what is its values?
7. Write a short note on Futures and options.

 

PART-C

Answer any TWO questions in about 900 words.                               (2 x 20 = 40 Marks)

 

1. Explain the concepts Capital Market line and Security Market line with a suitable diagram.
2. Suppose there are two securities A and B with beta of 1.2 and 0.8 respectively. The return on the market portfolio is18 percent. The rate of return offered by government securities which are considered to be risk-free is 9 percent. Calculate the expected return on securities A and B.

 

1. Discuss Sharpe’s Single Index Model.
2. What are the macro factors determining economic analysis?

 

 

 

 

 

 

 

 

1. (a) ABC Ltd is considering a new five- year project. Its investment costs and annual profits are

projected as follows;

 

Investment Profits	Year	Rs.
	0	[2,50,000]
	1	40,000
	2	30,000
	3	20,000
	4	10,000
	5	10,000

 

 

 

The residual value at the end of the project is expected to be Rs. 40,000 and depreciation of the original investment is on straight line basis. Using average profits and average capital calculate the ARR for the project and the pay back period.

 

1. Consider the following three securities and calculate the portfolio return and risk

 

	Stock I	Stock II	Stock III
Expected return	10	12	8
Standard deviation	10	15	5

 

Correlation coefficients:

Stocks -> 1, 2 = 0.3

2, 3=0.4

1, 3 =0.5

 

The proportion of investments is;

 

Stock I = 0.2

Stock II = 0.4

Stock III = 0.4

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LOYOLA COLLEGE (AUTONOMOUS), CHENNAI – 600 034

B.A. DEGREE EXAMINATION – ECONOMICS

SIXTH SEMESTER – APRIL 2011

EC 6600 – PORTFOLIO MANAGEMENT

 

 

 

Date : 05-04-2011              Dept. No.                                       Max. : 100 Marks

Time : 9:00 – 12:00

 

PART – A                  

Answer any FIVE questions in about 75 words each.                                                          (5×4=20)

1. What is risk?
2. Define portfolio management.
3. What is risk free asset?
4. Analyse singular optimal risky portfolio.
5. What is swap valuation?
6. Discuss hedging.
7. State the meaning of transaction cost.

PART – B                  

Answer any FOUR questions in about 300 words each.                                                      (4×10=40)

1. Bring out the types of managed portfolios.
2. Distinguish between systematic and unsystematic risks.
3. Explain capital asset pricing model.
4. Discuss Samuelson’s continuous equilibrium model.
5. Analyse the various types of derivative assets.
6. Discuss the put-call parity theorem.
7. Explain the binomial option pricing model.

       PART – C                       

Answer any TWO questions in about 900 words each.                                                        (2×20=40)

1. Analyse Markowitz diversification and classification of risks.
2. Examine the different forms of market efficiency
3. Explain Black-Scholes option pricing model.
4. Discuss the methods of managing foreign exchange risks.

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LOYOLA COLLEGE (AUTONOMOUS), CHENNAI – 600 034

B.A. DEGREE EXAMINATION – ECONOMICS

SIXTH SEMESTER – APRIL 2012

EC 6600 – PORTFOLIO MANAGEMENT

 

 

Date : 16-04-2012              Dept. No.                                        Max. : 100 Marks

Time : 1:00 – 4:00

 

PART –  A

 

Answer any FIVE questions in about 75 words each:                               (5×4=20)

 

1. What are the different types of managed portfolios?
2. Distinguish between risk and return.
3. State the meaning of Portfolio management.
4. Give the structure of the Capital Market.
5. Distinguish between investment and speculation.
6. What is swap valuation?
7. What is hedging?

 

 

PART – B

 

Answer any FOUR questions in about 250 words each:                          (4×10=40)

 

1. Discuss the methods of measuring risk.
2. Analyse the Arbitrage Pricing Theory.

10. Discus Cootner’s model.
11. Bring out the various types of derivative assets.
12. Explain the demerits of forward hedging.
13. Describe the Markowitz diversification and classification of risk.
14. Analyse the currency swaps.

PART – C

 

Answer any TWO questions in about 900 words each:                            (2×20=40)

 

15. Explain the functions of portfolio management.
16. Discuss the capital asset pricing model.
17. Analyse Black-Scholes option pricing model.
18. Bring out the methods of managing foreign exchange risks.

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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)

 

1. Discuss briefly the wide array of investment avenues.
2. What are the key differences between an investor and a speculator?
3. 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?

4. What is Diversification?
5. Explain Put Call Parity relationship.
6. Discuss the strategies of Hedging.
7. Explain the currency swaps.

PART-B

 

Answer any FOUR questions in about 300 words each:                                                      (4×10=40)

 

8. Discuss briefly the key steps involved in the Portfolio management process.
9. Explain the Types of Risk.
10. Briefly explain the APT Model.
11. Bring out the Factors that determine the Option price.
12. Analyse Cootners price value interaction model.
13. 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

 

14. 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)

 

15. Write a note on Single Index market theory.
16. Explain Markowitz Portfolio selection model.
17. Enumerate CAPM model.
18. Analyse the methods of managing foreign exchange risk.

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                  LOYOLA COLLEGE (AUTONOMOUS), CHENNAI – 600 034

B.A. DEGREE EXAMINATION – CORPORATE & SECRETARYSHIP

AV 04

FIFTH SEMESTER – NOV 2006

CR 5400 – PERSONNEL MANAGEMENT

(Also equivalent to COS 400)

 

 

Date & Time : 03-11-2006/9.00-12.00   Dept. No.                                                     Max. : 100 Marks

 

 

PART – A

Explain the following concepts in FIVE lines each                                       (10 x 2 = 20 marks)

1. Paternalism.
2. Scaling method
3. Trade Union
4. Job description
5. Job specification
6. Interview
7. Recruitment
8. Grievances
9. Selection
10. Extrinsic motivation

PART – B

Answer any FIVE questions                                                                          (5 x 8 = 40 marks)

11. Explain the principles of Training
12. What is job analysis? What is the scope of job analysis?
13. Explain the different kinds of selection tests.
14. How would you mange grievances in an organization
15. Explain the steps involved in disciplinary procedures.
16. Explain the evolution and growth of personal management in India.
17. Explain the expectancy theory of motivation.
18. Explain any two methods of performance appraisal.

 

PART – C

Answer any TWO questions                                                                          (2 x 20 = 40 marks)

19. Explain the steps involved in Human Resource Planning.
20. What are the various internal and external sources of recruitment available to you for selecting staff?
21. Explain the problems and challenges faced by personnel mangers in India.

 

________________________

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                LOYOLA COLLEGE (AUTONOMOUS), CHENNAI – 600 034

B.A. DEGREE EXAMINATION – CORPORATE

HO 17

SIXTH SEMESTER – APRIL 2007

CR 6602 – PORTFOLIO MANAGEMENT

 

 

 

Date & Time: 20/04/2007 / 9:00 – 12:00  Dept. No.                                               Max. : 100 Marks

 

 

Section – A

 

Answer all the questions                                                                     (10 X 2 = 20 Marks)

 

1. Define investment

 

1. What is a real return?

 

1. ITC’s today price is Rs 27.60, yesterdays price was Rs 22.60. Calculate today security return.

 

1. What are the two types of risk?

 

1. A bond of Rs.1000at 5% interest. Calculate current yield.

 

1. What is aggressive portfolio?

 

1. If present value is Rs 100, Interest rate 5%, Years to maturity 5 years, Calculate future value.

 

1. State the relationship between growth and market value in industrial analysis.

 

1. What is derivative security?

 

1. If standard deviation of market portfolio is 3%, standard deviation of an asset is 2%, and correlation of market return is .65%, calculate beta.

 

 

Section – B

 

Answer Any Five                                                                                  (5 X 8 = 40 Marks)

 

1. What are the reasons for investment?

 

1. During the past five years the stock return are as under. Compute standard deviation, Variance and mean.

 

Years                           1          2          3          4          5

Stock Return               0.04     0.06     -0.03    0.05     .20

 

1. Explain bond valuation theorem.

 

1. An investor invests Rs 5,000 bond with a 10% Coupon rate. Matures in 8 Years and currently sells at 97%. The required rate of return is 11%. Calculate present value of bond. [PVAF 11% @ 8Y è 5.146, PVF 11%, @8Yè 0.434]

 

1. What are the various factors of economic analysis?

 

1. Calculate SHARPE and TREYNOR Indices for WIPRO. If risk free rate is 8% Rank the securities.

 

Fund Name                 Average Return           Standard Deviation     Beta

A                                 12                                15                                1.12

B                                 16                                14                                1.32

C                                 18                                13                                1.26

D                                 20                                12                                1.50

 

 

1. Reliance Invests in two securities. Compute co efficient of Variance, Covariance, Variance and Standard deviation.

Probability       .2         .3         .1         .4

Security A       6          -3         5          2

Security B       2          1          7          -4

 

1. Calculate the market sensitivity index, Beta, and the expected return on the investment of the following data.

Standard deviation of an asset                                                           2.5%

Market Standard deviation                                                     2.0%

Risk free rate of return                                                            13.0%

Expected return on market portfolio                                      15.0%

Correlation coefficient of portfolio with market                    .8

 

              

  Section – C

Answer Any Two                                                                                (2 X 20 = 40 Marks)

 

1. What are the new innovations in the Debt instrument available to an individual investor?

 

1. Calculate Beta, Alpha and correlation from the following securities index.

 

Date                NSE Index      SATYAM Stock Value

May 1              162                  130

May 2              165                  132

May 3              167                  136

May 4              160                  139

May 5              159                  145

May 6              169                  131

 

1. Calculate Jensen’s performance Index

Period              Return on L&T           Trade bill rate              NSE Sensex Index

2002                5                                  12                                10

2003                -4                                 10                                6

2004                6                                  8                                  -5

2005                11                                6                                  12

2006                12                                9                                  9

2007                10                                5                                  13

 

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