Security Analysis and Portfolio Management Question Paper June 2024
Dibrugarh University B.Com 6th Sem Hons CBCS Pattern
COMMERCE (Discipline Specific Elective)(For Honours and Non-Honours)
Paper: DSE-601 (Gr-I)
(Security Analysis and Portfolio Management Question Paper 2023)
Full Marks: 80
Pass Marks: 32
Time: 3 hours
The figures in the margin indicate full marks for the questions
The figures in the margin indicate full marks for the
questions.
1. (a) Write whether the
following statements are True or False: (1x4=4)
(i) The government securities
have a maturity period between 3 and 20 years.
(ii) The basic principles of
technical analysis originate from Dow theory.
(iii) APM is a single-factor
model.
(iv) Formula plans do not help in
deciding the timing of investment.
(b) Fill in the blanks with
appropriate word(s): (1x4=4)
(i) Capital index bonds are
linked with __________. (BSE-100 / Consumer Price Index / BSE-Sensex)
(ii) The __________ of the stock
is called the resistance area. (market price / low price / peak price)
(iii) The stock above the
security market line is a(n) __________ security. (of high risk / overpriced / under-priced)
(iv) The beta coefficient is
treated as a measure of __________. (systematic risk / unsystematic risk /
average return)
2. Write short notes on (any
four): (4x4=16)
(a) Money market security
(b) Charting analysis
(c) Portfolio analysis
(d) Empirical test of the CAPM
(e) Components of market
efficiency
3. (a) Define security. What are
the investor's objectives in investing their funds in the stock market? 4+10=14
Or
(b) Explain in detail the Dow
theory and how it is used to determine the direction of the stock market. 14
4. (a) Explain the nature of
portfolio risk if two securities: 14
(i) are perfectly positively
correlated,
(ii) are perfectly negatively
correlated, and
(iii) have zero correlation.
Illustrate with diagrams.
Or
(b) Discuss in detail Markowitz
efficient frontier. Differentiate between efficient portfolio and feasible
portfolio. 14
5. (a) Discuss the basic Arbitrage
Pricing Model of single and multiple factors. Mention the assumptions of
Arbitrage Pricing Model. 10+4=14
Or
(b) Discuss in detail the Capital
Asset Pricing Model. Distinguish between Capital Market Line (CML) and Security
Market Line (SML). 10+4=14
6. (a) (i) What do you understand
by portfolio revision? What are its constraints? 3+4=7
(ii) Explain the Treynor's
performance index model. 7
Or
(b) (i) Write a note on Sharpe's Reward
to Volatility Model. 7
(ii) Astha firm gives the
following information:
Fund |
Average Return (%) |
Standard Deviation |
A |
17 |
19 |
B |
18 |
20 |
C |
16 |
13 |
D |
14 |
12 |
The current risk-free rate of
return is 9 percent. Astha firm is trying to decide on two out of the four
investment funds. You are required to choose the best two alternatives using
the Sharpe index. 7
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