2013 (May)
COMMERCE (Speciality)
Course: 404 (Security Analysis and Portfolio Management)
The figures in the margin indicate full marks for the questions
(NEW COURSE)
Full Marks: 80
Pass Marks: 24
Time: 3 hours
1.
State the difference between the followings:
(a)
Investment and expenditure
(b)
Risk and uncertainty
(c)
Concentration of securities and diversification
of securities
(d)
Markowitz model and CAP model
(e)
Investor and speculator
(f)
Systematic risk and unsystematic risk
(g)
Treynor’s index and Sharp’s index
(h)
Call option and Put option
2.
Write short notes on the following (any four)
(a)
Convertible securities
(b)
Assumptions of Markowitz model
(c)
Security market line
(d)
Jensen’s measures
(e)
Risk of buying and selling options
3.
(a)
Discuss the various fundamental analyses required for any investment
with examples.
Or
(b) Why the technical
analysis important in portfolio development? Explain with examples.
4.
(a)Discuss the effect of combining securities in
portfolio. Why is diversification of securities preferred in portfolio
construction?
Or
(b) Simron holds
portfolio of two companies A and B with the following details:
Company A
|
Company B
|
|
Security
Return
Security
Variance
Investment
Proportion
Correlation
|
10
0.0065
0.5
0.5
|
5
0.0016
05
0.5
|
Under the Markowitz model, what are the portfolio return
and portfolio risk?
Also Read:
5.
(a)
Explain the arbitrage pricing theory (APT) and its limitation.
Or
(b) Calculate the equilibrium rate of return for the
following three securities:
Securities
|
Bi1
|
Bi2
|
A
B
C
|
1.2
-0.5
0.75
|
1
0.75
1.30
|
6.
(a) Rank the following portfolios on the basis
of Sharpe’s index and Treynor’s index:
Portfolio
|
Return
|
Standard
deviation
|
Risk-free
rate
|
Beta
|
A
|
6.00
|
15.24
|
3.0
|
1.0
|
B
|
3.30
|
4.92
|
3.0
|
2.85
|
(b) Explain the different methods of
measurement of portfolio performance.
7. (a) What do you mean by option? what are the silent
features of option? Explain.
Or
(b) What do you mean by futures?
Discuss the unique characteristics of future trading.
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