2019 (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
a)
Systematic risk.
b)
Real estate.
c)
Market risk.
d)
Diversification.
e)
Efficient market hypothesis.
f)
Treynor’s index.
g)
Capital market line.
h)
Stock selection.
2. Write short notes on the following (any four): 4x4=16
a)
Portfolio management.
b)
Convertible securities.
c)
Security market line.
d)
Jensen’s model.
e)
Fixed securities.
f)
Valuation of bond.
3. (a) Define the term Investment. Discuss the investment
process involved in a series of activities starting from the policy
formulation. 4+10=14
Or
(b) What do you mean by unsystematic risk? What are its
sources? How can it be managed? Detail out with examples. 3+3+8=14
Also Read:
***
4. (a) Write a detailed note on traditional portfolio
analysis. 14
Or
(b) Simron hold portfolio of two companies P and Q with the
following details:
|
|
P
|
Q
|
|
Security return
Security variance
Investment proportion
|
10
0.0064
0.5
|
5
0.0016
0.5
|
|
Correlation
|
0.5
|
|
Under the Markowitz model, what are the portfolio return and
portfolio risk? 14
5. (a) Explain the arbitrage pricing theory (APT). What are
its limitations? 9+5=14
Or
(b) Discuss the limitations of factor models. In what way
two-factor model is better than one-factor model? Justify your answer. 6+8=14
6. (a) What are the differences between Sharper’s and
Treynor’s measures of portfolio performance? Explain with a suitable example. 14
Or
(b) Compare between Treynor’s index and Sharpe’s index for the
following data and comment: 14
(OLD
COURSE)
Full
Marks: 80
Pass
Marks: 32
Time:
3 hours
1. Write on each of the following in one sentence: 1x8=8
a)
Investment.
b)
Redeemable debenture.
c)
Diversification.
d)
Portfolio analysis.
e)
Combining securities.
f)
Market risk.
g)
Call option.
h)
Efficient market hypothesis.
2. Write short notes on the following (any four): 4x4=16
a)
Fundamental analysis.
b)
Markowitz model.
c)
Risk of buying and selling options.
d)
Future market.
e)
Arbitrage pricing theory.
f)
Effects of combining securities.
3. (a) How would you differentiate Risk from Uncertainty? Do
you think that all risks can be avoided? Justify your answer. 5+6=11
Or
(b) Distinguish between: 51/2+51/2=11
1)
Investment and Gambling.
2)
Investment and Speculation.
4. (a) Discuss the uses of modern portfolio theory in other
disciplines of finance. 12
Or
(b) Stock x and y have yielded the following returns for the
past two years: 12
|
Year
|
Return
|
|
|
|
X
|
Y
|
|
2016 – 17
2017 – 18
|
12%
18%
|
14%
12%
|
1)
What is the expected return on portfolio made up
to 60% of x and 40% of y?
2)
Find out the standard deviation of each stock.
3)
What is the covariance and co-efficient of
correlation between x and y?
4)
What is the portfolio risk of a portfolio made
up to 60% of x and 40% of y?
5. (a) Discuss the assumption of CAPM model. Do you think that
it is acceptable in Indian context? Justify your argument with example. 11
Or
(b) Calculate the equilibrium rate of return for the following
three securities: 11
|
Security
|
Bi1
|
Bi2
|
|
A
B
C
|
1.2
– 0.5
0.75
|
1.0
0.75
1.30
|
6. (a) Explain in brief Sharpe’s and Treynor’s performance
evaluation models? 51/2+51/2=11
Or
(b) Discuss with examples why Jensen’s alpha is better than
other contemporary models of portfolio performance. 11
7. (a) Define ‘option’. Explain the different types of
options. Discuss the uses of options. 2+4+5=11
Or
(b) What is ‘Future Contract’? Distinguish between future and
forward contract. Explain the different types of margin in future contract. 2+4+5=11
***
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