Seat No.: Enrolment No.
GUJARAT TECHNOLOGICAL UNIVERSITY
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MBA - SEMESTER 3 - EXAMINATION - SUMMER 2019
Subject Code: 2830203 Date:10/05/2019
Subject Name: Security Analysis And Portfolio Management
Time: 02:30 PM To 05:30 PM Total Marks: 70
Instructions:
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- Attempt all questions.
- Make suitable assumptions wherever necessary.
- Figures to the right indicate full marks.
Q.1 Answer the following multiple questions. 6
- The net asset value of a mutual fund investing in stock rises with
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A. higher stock prices B. lower equity values
C. an increased number of D. increased liabilities
shares - While bond prices fluctuate
A. yields are constant B. coupons are constant--- Content provided by FirstRanker.com ---
C. the spread between D short-term bond prices fluctuate
yields is constant even more - If a portfolio manager consistently obtains a high Sharpe measure, the
manager's forecasting ability
A. is above average B. is average--- Content provided by FirstRanker.com ---
C. is below average D. does not exist. - Which of the following is on the horizontal axis of the Security Market
Line
A. Standard deviation B. Beta
C. Expected return D. Required return - As the debt ratio increases
A. fewer assets are debt- B. fewer assets are debt-financed,
financed, and the ratio of and the ratio of debt-to-equity
debt-to-equity increases decreases
C. more assets are debt- D. more assets are debt-financed, and--- Content provided by FirstRanker.com ---
financed and the ratio of the ratio of debt-to-equity
debt-to-equity increases decrease - What does the market price of a bond depend on?
A. The coupon rate and B. The coupon rate and maturity date
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C. The terms of the D. The coupon rate, terms of the
indenture, and maturity indenture, and maturity date
date
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Q.1 (b) Short/ Definition Questions 04
- Margin Trading
- Short sell
- Beta
- Stop loss order
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Q.1 (c) Discuss T+2 Trading settlement system. 04
Q.2 (a) What is Efficient Market Hypothesis? Discuss their form of Hypothesis. 07
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OR
Q.2 (b) Being a Financial Advisor of Mr. Ramesh suggest Portfolio Process to invest his funds. 07
Q.3 (a) Give detail on CAPM Model? Discuss Role of Beta. 07
Q.3 (b) During last five years the returns of the stock were as follows 07
Year Return
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1 3
2 -9
3 6
4 5
5 10
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Compute Cumulative wealth index, arithmetic mean, geometric mean, variance and standard deviation.
OR
Q.3 (b) Give details on Assumptions of CAPM Model 07
Q.4 (a) 1000 rs. Par value bond currently selling at 992 matures after 6 years with coupon rate of 12%. If discount rate is 8% should Mr. Mahesh buy this bond? 07
Q.4 (b) Explain Different Indicators of technical Analysis 07
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OR
Q.4 (b) Elaborate Duration and Convexity for bond portfolio. 07
Q.5 (a) What is mutual fund? State how mutual-fund played vital role in financial Market? 07
Q.5 (b) Financial Analyst has two different alternative Stock X and Y. Probability of return are given below 14
P X Y
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0.30 15 25
0.50 13 10
0.20 8 -6
Find out expected return and standard deviation for both the stocks and suggest best alternative to invest.
OR
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The rates of return on Stock A and market are given below
period 1 2 3 4 5 6 7 8 9 10
Return on 24 13 15 14 12 6 -8 15 -9 25
A
Return on 12 14 13 10 9 7 1 12 -11 7
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Market
What is beta of Stock A and draw Characteristic line?
OR
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Firgisanker sydioiffe invested i sifansrePeGHios namafyuRy FirstRankerEom 14
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mean, standard deviation and beta of them with market are given.
Portfolio Mean Return S.D. Beta
(%)
P 17.1 28.1 1.20
Q 14.5 19.7 0.92
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R 13.0 22.8 1.04
Market 11 20.5 1.00
If risk free return is 8.6, calculate portfolio performance of P, Q, and R by Sharpe, Treynor and Jensen method and rank them by their performance.
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