LOYOLA COLLEGE (AUTONOMOUS), CHENNAI – 600 034
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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.
- What is meant by SGL account?
- Distinguish between systematic and unsystematic risks.
- Differentiate between Forward and Futures.
- Write short note on: a) S & P CNX nifty. b)
- Define Diversification. Give suitable example.
- Distinguish between “Price risk & Reinvestment risk.”
- What do you mean by put-call parity?
PART –B (4 x 10 = 40 marks)
Answer any FOUR questions in about 250 words each.
- Define money market. What are the instruments of money market?
- Explain the types of Margin. Also mention the recent trends in it.
- Discuss the benefits of Mutual funds.
- Describe the methods of measuring portfolio performance.
- Explain the market model.
- Briefly write about: a) M-squared measure. b) Bond immunization.
- Explain Value-at-Risk theory.
PART – C (2 x 20 = 40 marks)
Answer any TWO questions in about 900 words each.
- Write an essay on OTCEI. Bring out the functions, scope and limitations of this institution.
- Elaborate the growth of Mutual fund in India.
- Critically analyze the Mean –variance criterion.
- 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 |