2012
COMMERCE (Speciality)
Course: 404 (Security Analysis and Portfolio Management)
The figures in the margin indicate full marks for the questions
(NEW COURSE)
Full Marks: 70
Pass Marks: 28
Time: 3 hours
1. (a) Define the term
“Investment.” Discuss the different avenues available to an investor for making
investments. 4+10=14
Or
(b) A company is expected to pay
a dividend of Rs. 4 per equity share now. Its dividends are expected to grow at
15% for the next 5 years and then at the rate of 10% indefinitely. Find out the
present value of its equity share, if the capitalisation rate is 12%. Following
are the present value factors at 12% per annum.
|
Year
|
1
|
2
|
3
|
4
|
5
|
6
|
|
PV Factor at 12%
|
0.893
|
0.797
|
0.712
|
0.636
|
0.567
|
0.507
|
2. (a) What is risk? How can risk
on an asset be calculated? Distinguish between systematic and unsystematic
risks. 4+4+6=14
Or
(b) “Diversification helps in the
reduction of unsystematic risk and promotes the optimisation of returns for a
given level of risks in portfolio management.” Discuss the effects of combining
the securities. 14
3. (a) Discuss in detail the
Capital Asset Pricing Model. 14
Or
(b) What are the basic
assumptions behind Arbitrage Pricing Theory (APT)? Describe some of the
problems associated with the empirical testing of APT. 6+8=14
4. (a) Discuss in detail Sharpe’s
and Treynor’s measures of portfolio performance. 14
Or
(b) What is the essential
difference between Sharpe’s and Treynor’s indexes of portfolio performance? 14
5. (a) What is an option trading?
How can an option transaction be liquidated? 6+8=14
Or
(b) Differentiate between an
option and a future. What are the essential specifications of a future
contract? 8+6=14
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