LOYOLA COLLEGE (AUTONOMOUS), CHENNAI – 600 034

RF 02

M.A. DEGREE EXAMINATION – ECONOMICS

FOURTH SEMESTER – APRIL 2007

EC 4813 – PORTFOLIO THEORY AND INVESTMENT ANALYSIS

 

 

 

Date & Time: 23/04/2007 / 9:00 – 12:00Dept. No.                                              Max. : 100 Marks

 

 

 

Part – A

 

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

1. Define ‘Delphi Technique’.
2. State the investment rule in security analysis.
3. Distinguish between diversified and non-diversified risk.
4. What is a forward contract?
5. Distinguish between ‘operational efficiency’ and ‘allocative efficiency’.
6. What is meant by ‘Clearing’?
7. What is volatility hedging?

Part – B

 

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

8. Elucidate Cootner’s price value interaction model.
9. State the assumptions of capital asset pricing model.
10. Write a note on ‘Short selling’.
11. Explain the advantages and risks of margin trading.
12. Estimate characteristic line from the following data

Month	1	2	3	4	5	7	8
Monthly Stock price change	-7	-8	-4	3	2	1	5
Change in market index	-5	-9	-4	5	2	2	1

13. What are the economic benefits of derivatives?
14. Elucidate return based trading strategies.

 

Part – C

 

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

15. For the following two hypothetical stocks X and Y, draw the security market line

Company X	12	-21	41	7	32	30	14
Company Y	119	-23	4	3	16	-15	31
Market Index	11	1	26	-7	-21	16	11

16. Derive efficiency frontier and explain investor’s equilibrium for risk-loving and risk-averse investors.
17. Distinguish clearly characteristic line, security market line and capital market line.
18. What percentage of your funds would you invest in today’s stock market? Explain the reasons for your decision.

 

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LOYOLA COLLEGE (AUTONOMOUS), CHENNAI – 600 034

BC 51

M.A. DEGREE EXAMINATION – ECONOMICS

FOURTH SEMESTER – APRIL 2008

EC 4813 – PORTFOLIO THEORY AND INVESTMENT ANALYSIS

 

 

 

Date : 23/04/2008            Dept. No.                                        Max. : 100 Marks

Time : 9:00 – 12:00

PART –A                                           (5 x 4 = 20 marks)

 

Answer any FIVE questions in about 75 words each.

1. What is meant by SGL account?
2. Distinguish between systematic and unsystematic risks.
3. Differentiate between Forward and Futures.
4. Write short note on: a) S & P CNX nifty. b)
5. Define Diversification. Give suitable example.
6. Distinguish between “Price risk & Reinvestment risk.”
7. What do you mean by put-call parity?

 

PART –B                                            (4 x 10 = 40 marks)

 

Answer any FOUR questions in about 250 words each.

8. Define money market. What are the instruments of money market?
9. Explain the types of Margin. Also mention the recent trends in it.
10. Discuss the benefits of Mutual funds.
11. Describe the methods of measuring portfolio performance.
12. Explain the market model.
13. Briefly write about: a) M-squared measure. b) Bond immunization.
14. Explain Value-at-Risk theory.

 

PART – C                                                       (2 x 20 = 40 marks)

Answer any TWO questions in about 900 words each.

15. Write an essay on OTCEI. Bring out the functions, scope and limitations of this institution.
16. Elaborate the growth of Mutual fund in India.
17. Critically analyze the Mean –variance criterion.
18. a) From the given data, compute Duration.

 

Year	1	2	3	4	5	6	7	8	9	10
Annualcash flow (in Rs)	150	150	150	150	150	150	150	150	150	1150
PVat 18%	.847	.718	.609	.516	.437	.370	.314	.266	.255	.191

Bond price is Rs 944.

b, Calculate the Standard deviation for the return of ABC ltd. from the following information.

Year	1	2	3	4	5	6	7	8	9	10	11
Price	11.50	11.50	18	28.50	31	23	25	22	38.50	73.50	106.50
dividend	–	1.20	1.50	1.50	1.50	1.50	1.50	2.50	2.50	2.50	4.00

 

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LOYOLA COLLEGE (AUTONOMOUS), CHENNAI – 600 034

M.A. DEGREE EXAMINATION – ECONOMICS

FOURTH SEMESTER – APRIL 2012

EC 4813 – PORTFOLIO THEORY AND INVESTMENT ANALYSIS

 

 

Date : 20-04-2012             Dept. No.                                        Max. : 100 Marks

Time : 1:00 – 4:00

 

Part A

Answer any FIVE questions:                                                                                                     (5×04=20)

 

1. Define Portfolio Management by pointing out its important functions.
2. Define Risk and Return from both Traditional and Modern perspectives.
3. State the various choice of asset mix preferred by investors.
4. State the Constant Growth Model.
5. What are β’s? How do they differ from b_ij’s?
6. Differentiate between Exchange trading and OTC Trading.
7. Write a note on derivative instruments.

 

Part B

 

Answer any FOUR questions:                                                                                                  (4×10=40)

 

1. Briefly explain the Indian Money Market scenario.
2. Comment on the superiority of APT over CAPM.
3. Brief the various Investment alternatives an investor can access in a financial economy.
4. Explain the Put-Call Parity theorem using suitable illustration and diagrams.
5. The following table gives an analyst’s expected return on two stocks  for particular market returns:

Market returns                    Aggressive stock                       Defensive stock

5%                                        -5%                              8%

25%                                         40%                             18%

1. What are the betas of the two stocks?
2. What is the expected return on each stock if the market is equally likely to be 5% and 25%?
3. If the risk free rate is 08%, what is the SML?
4. What are the alphas of the two stocks?

 

1. Examine the contributions made by Eugene  Fama in measuring risk?
2. Calculate the value of the Call option for the given  information:

S = Rs.70                    E = Rs. 72       r = 12%                       σ =  0.3            t = 6months.
 

Part C

Answer any TWO questions:                                                                                                     (2×20=40)

 

1. Derive the CAPM equation by detailing the assumptions of the CAPM. Support your answer with graphical evidence.
2. Critically examine the Market Efficiency Hypothesis.
3. Highlight the differences in calculating the price of an equity using Two Stage Growth model and ‘H’ model.
4. Derive the Two Stage Binomial Option Pricing Model.

 

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