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Monday, February 17, 2014

Dibrugarh University - Security Analysis and Portfolio Management (May' 2013)

2013 (May)
Commerce (Speciality)
Course: 404
Full Marks: 80
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?

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.