SVKM’s NMIMS MUKESH PATEL SCHOOL OF TECHNOLOGY MANAGEMENT & ENG Programme: MBA Tech ( All Streams )- Year: V Semester: X - Batch: 2017-18 * Academic Year: 2017-2018 Subject: Financial Planning and Portfolio Management. Marks: 60 Date: 28 June 2018 Time: 10.00 am to 12 noon “ Durations: 2. Hrs. No. of Pages : _O2= Re-Examination Instructions: Candidates should read carefully the instructions pri of the Answer Book, which is provided for their use. {ed om the question paper and on the cover 1) Question No, lis compulsory. 2) Out of remaining questions, attempt any 4 questions. 3) Im all 5 questions to be attempted, 4) All questions carry equal marks. 5) Answer to each new question to be started on a frésh page. 6) Figures in brackets on the right hand side indicate full marks, 7) Assume suitable data if necessary. Qla) A.K. Kapoor is evaluating a security. One year treasury bills are currently paying 9.1%, Calculate the below investment’s expected return and its standard deviation, Should Kapoor invest in this security? (4x3=12marks) Probability 135% 30% AW% 15% Retum 15% 1% 10% 5% b) Find the portfolio variance of a portfolio consisting of equities, bonds and real estate, ifthe portfolio weights are 25%,50% and 25%. The standard deviations are 0.1689, 0.0716 and 0.0345 respectively. The correlations are 0.45 per equity and bonds, 0.35 for equities and real estate and 0.20 for bonds and real estate. ©) Anand Auto has a beta of 0.865. If the expected market return is 17.50 and the risk free rate of return is 8.50%, ‘what isthe appropriate required return of Anand Auto (using CAPM)? 2) Consider the following data for a particular sample period: (12marks) Particulars Portfolio P | _ MarketK Average return 0.35 0.28 Beta 12, - 1.0 Standard deviation 0.42 0.30 ‘Nonsystematic risk 0.18 I 0 Calculate the following performance measures for portfolio P and the market: Sharpe, Jensen, Treynor, Appraisal ratio. The risk free rate during the period was 0.06. 3) What is Arbitrage Pricing model? State its assumptions (12marks) Page 1 of 2Q4) Ifthe risk free rate is 10% and the expected return on BSE index is 18%( and risk measurement by standard deviation is 5%), how would you construct an efficient portfolio to produce a 16% expected return and what would be its risk? If you have personal funds of Rs 100000 to invest, how would you construct a portfolio giving an expected return of 20%? Q5) Suppose we have the following information (12marks) ‘Amount invested Expected return Stock A Rs 1000 8% 80 Stock B Rs 2000 12% 95 Stock C Rs 3000 15% Lio Stock D Rs 4000 18% 1.40, ‘What is the expected retum on this portfolio? What is the beta of this portfolio? Does the portfolio have more ot less systematic risk than an average asset? (12marks) 6a) You have invested Rs 50000, 30% of which is invested in Company A, which has an expected rate of return of 15%, and 70% of which is invested in Company B, with an expected return of 12%, What is the return on your portfolio? What is the expected percentage rate of return? (marks) b) Define financial planning, State its importance. (5 marks) Q7) Write short notes on both (6x2 marks) a) Security market line bb). Factors influencing option pricing, ee Page 2 of 2