NMIMS Global Access
School for Continuing Education (NGA‐SCE)
Course: Capital Market and Portfolio Management
Internal Assignment Applicable for September 2016 Examination
Assignment Marks: 30
Instructions:
• All Questions carry equal marks.
• All Questions are compulsory
• All answers to be explained in not more than 1000 words for question 1 and 2 and
for question 3 in not more than 500 words for each subsection. Use relevant
examples, illustrations as far as possible.
• All answers to be written individually. Discussion and group work is not advisable.
• Students are free to refer to any books/reference material/website/internet for
attempting their assignments, but are not allowed to copy the matter as it is from
the source of reference.
• Students should write the assignment in their own words. Copying of assignments
from other students is not allowed
1. The details of the portfolio are:
Portfolio Observed Return Beta
Reliance 15% 0.6
Return on the market portfolio is 9%, while the risk-free return is 7%. Assume
standard Deviation of the market to be8%. Calculate the Treynor and Jensen’s
index. (10 marks)
2. The details of portfolio of Anita is:
Security Expected Return Standard Deviation Weight
A 12% 10% .40
B 15% 12% .60
NMIMS Global Access
School for Continuing Education (NGA‐SCE)
Course: Capital Market and Portfolio Management
Internal Assignment Applicable for September 2016 Examination
Covariance of security A and B is 0.0064. Calculate:
i. Expected return of portfolio
ii. Variance of the portfolio (10 marks)
3. Calculate:
a) If the following information is available for stock A and B, which one is
more profitable to invest and why? (5 marks)
Probability Return on stock A(%) Return on stock B(%)
0.10 10 12
0.15 8 11
0.20 12 9
0.25 15 -4
0.30 14 10
b) Calculate the weighted average return of the securities consisting of the
following portfolio: (5 marks)
Security Proportion of investment in
the portfolio(%)
Return (%)
SBI 10 10
ITC 20 12
DLF 25 15
RNL 30 18
Wipro 15 11
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