Security Analysis and Portfolio Management Question Paper June 2023, Dibrugarh University B.Com 6th Sem Hons CBCS Pattern

The figures in the margin indicate full marks for the questions

1. (a) State whether the following statements are True or False:                1x4=4

(1) Treasury bill is a money market security.

(2) Unsystematic risks arise due to inflation.

(3) Personal income tax is assumed to be nil in Capital Asset Pricing Model.

(4) Jensen’s model is based on Capital Asset Pricing Model.

(b) Fill in the blanks with appropriate word(s):                    1x4=4

(1) ______ is a combination of securities.

(2) Opportunistic building model is also known as ______.

(3) Systematic risk can be managed by the use of ______ of different companies.

(4) A benchmark portfolio represents the ______ evaluation standard.

2. Write short notes on (any four):            4x4=16

(a) Investment philosophy.

(b) Intrinsic value.

(c) Portfolio Management Scheme.

(d) Practical application of Arbitrage.

(e) Risk and return measurement.

3. (a) State the economic and financial meaning of investment. Discuss the factors that differentiate the investor from speculator and gambler.                7+7=14

Or

(b) What do you understand by company analysis? Explain the tools available for company analysis.          4+10=14

4. (a) Do you think that the effect of combining securities can bring about a balanced portfolio? Discuss.                  14

Or

(b) Define Markowitz diversification theory. Explain the statistical method used by Markowitz to reduce risk.     4+10=14

5. (a) What are the basic assumptions of Capital Asset Pricing Model? How would you evaluate a security with the help of Capital Asset Pricing Model?                  7+7=14

Or

(b) What are the basic assumptions behind the Arbitrage Pricing Theory (APT)? Distinguish between Capital Asset Pricing Model and Arbitrage Pricing Theory.                        7+7=14

6. (a) Define portfolio performance evaluation. Discuss Jensen’s Differential Return Model in detail.           4+10=14

Or

(b) (1) Discuss the components of performance as provided by E. Fama.                  7

(2) X gives the following information:

Portfolio	RP	Beta	Rf
A	15	1.2	5%
B	12	0.8	5%
C	15	1.5	5%
D	12	1.0	5%

Calculate the return on portfolio A, B, C and D according to the Jensen’s Performance Index.       7

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