ICIAL

OILOLJQNANAGIAJENI "REJN LA
DR. SANTOSH RAI INSTITUTE
PORTFOLIO MANAGEMENT PROBILEM
P'nblenn 1 Slhares of A Lid. lhas the followlng assochalesselurns witl1 probability.
Return ( Probabillty
20
005
10
0.10
10
0.20
0.25
20
0.20
25
0.15
30 0.0S
Calculate standard devistiou
Problem 2 A secuity analyst sludio 100 conpanies and obtained the
year 2004. followlng return on investment data for 1ho
Return in %
0-10% Number of companies
19
10-20%
32
20-30 % 41
30 40 %
8
Calcwlate the standard deviation.
Problem 3: A Ltd. has the
following dividend per share and market price share for the
Year period 2002 to 2007. (hrn
2002 Divlded/share (Rs.) LD M.P./ Share (Rs.)Clocig,
1.53
2003
1.53
31.25
20.75
mBkitPad
2004
1.53
2005 30.88
2
2006 67.0
2
2007 100
Calculate the standard deviation of return. 154
Problem 4 From the following data calculate expected retun and standard deviation of
market price = Rs. 261.25 mean shares of A Ld. The current

Economiccondition Probability Share Price Rs.

High growth 0.25 Dlvidend
305.50 4
Expansion 0.25
5table 285.5 3.25
0.25 261.2 2.50
Decline 0.25
243.50

P'roblem 5: Following information is avalable in respect of

respect of dividend, market price and market condition
after one year.
Market
condition Probability Market Price Rs. Dividend per share
Good 0.25 115 9

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 I INAL
0.50 107
Normmal
0.25
t 16 (I.V. R 1) wlhic h
ls cum TO% ionu ldutn
Theexiting market prleç »d an cqully thd buy back vt tdeleenturs at ae
hatd odnroel t
RSG Cac Der share. M/s x Fhunue omnay Ltd.
value, ind oit lhe cxpetted ietun nnd varlablly ul utuns nt hu rquily /11re
mea
SD
'oblem Cvaatr two seru itles

Cxected Retun 12% 20%

1C%
Standard Drvlation
Calrulate cocliclent of Vnlatlon. Also alvise the stock to ne purehased?
return
erpertre)
2, 00, (K9 have hven lnvestod In assots X whith ha
an
'blem 7: na porlfolio of the comany Rs.

otsS,Rs. 2, 80, D0 m assrts Y, whleh has an eapweled return ol 10 2K. and Rs 3, 20, 000 1rn a95*
whirh has an expected retwn ol 12% wlhat is xprttrd rrturn lor the portlolo
Vou are considerlng purelasing the rulty stock of a td. The current price per sharrs i, R 10
'oblem N
cxpect a dividend year hene to be Re. 1/. You expect the pricepershare ofA Ltd. a year hence tn na

the lollowing probabilty distulbution.

Price avear hence (Rs.) Probablty
*
10
11 0.4
0.2
12
What is the cxpectcd price per share a year hence?
ii. What is the probability distribution ol one year rala c return?
ii. Calculate the Standard dividend of the rate ofreturn on the stock of ALId.
P'roblem 9: Calculate expected return and standard deviation of the following two investments 'A' and B
exclusively and also it total investment is dividend one half in each.
Fconomic Climate Probablity ol Economic Returns from A% Returns from 8%
L Cllmate
Recession 0.2 10
Stable 0.5 14 1S
11
Expansion 0.3 20
1.00

Problem 10: Using the data from the prevlous calculate covariance and correlation and then compute return and risk
of all the following portfolios based on correlation covariance.
Investment
Proportlon 0.2 0.8
2 Proportion 0.7 0.3
3 Proportion 0.5 0.S

Problem 11: rind out 1he covariance of the lollowing data

Market Condition Probability Return on Security
X
Bullish 0.30 40% 30%
Stable 0.50 20% 25%
Bearish 0.20 15% 18%

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 ICNAL **
LoNTrOLIO MANAGEMCNT PROBI LAM

Problem 12: Reluns on shares of P Ltcd. Q Ltd. fur the past two years are as unler:
2006 2007
PLtd. 11% 17%
Q Ltd 20%
Calculate the lollowlng:
a. Expected return of
portfollo made up of 50% of P 50% ol a.
6. Capected return ol portfollo made up of 60% of P and 40% of a.
C.Find out standard
d. What is the
deviation of cach stock.
covarlance and coelficlent of correlatlon between P and a.
C.
MP&Q stock is invested in the ratlo of 2/3: 1/3 what Is portfollo risk.
n e ratio of investment in P & Qis 1:1 then what is the overall portiolia risk and why it has gone

Problem 13: A inherited the following securities on her uncle's deatl:

Type of security Nos. Annual Maturity Yield %

Bond A (Rs.1, 000)

Coupon % Years
10 3 12
Bond B
(Rs.1, 000) 10 10 5 12
Preference Shares C (Rs.100) 100 13
11
Preference Shares D(Rs.100) 100 12 13
likelihood of belng called at premium over par.
Compute the current value of the
Problc 14 A 1S
portfolio.
presently concerned with the investment of Rs. 1,
00, 000. She has two securities. Sj and Sj 0 r tnE
purpose. The relevant information in respect ol these two securities is as lollows:
Expected return 12% 20%
o of return
Coefficient of correlation, r, between 10% 18%
She has decided to consider
S and S2 fo.15
=

only five portfolio of S, and S2 as follows:

1. all fund invested in
2.
S
S0% of funds in each of S, and
S2
3. 75% of funds in S and 25% in
S2
4. 25% of funds in S and 75% in
S2
S. All funds invested in S2

Find out

1. Expected return under different portfollos

2. Risk factors associated with these portfollos.
3. which portfolios is hest for her from the point risk, and
4. Which portfolio is best for her from the point of view of return.
Problem 15: The following are the different stale of economy, the probability of occurrence of that state
and the
expected rate of return from security Aand S in these different states.
State Probability Rate of return
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 IC fINAL I'ORNO,1(0,NL1NAl.LN
Security5
SecurityA 20
Recession .200 15 30
Normal 50 0

Boom .30 G0 securitles. Stuppo, n

hese two
Fid out the expectcd returns antl the slandared dhevlations, for
batan.e in turilv
S, wltal
will br

In sermly A ant
Qvestor lins Rs.20, 00 lo ovest, le ivest %. 15,000
the expected return and the standavddevlatton af the sorttalen
Problem 16 LLtd. and MLUd. have he lollowln risk amd return ostbmates.
20% 22%
h15%
= -1
(Corelatin Cnefflclent) =
r,m

Calculate the proportlon of investment in t Ltd, and MLd, to minimize the risk ol follo
P'roblem 17 Pld. and Q Ltd. have low posltlivecorrelatlon coelficlont ol 40.5. their respective r**
is as under
Rp = 10% Ng = 15%

o 20% ay 25%
Compute the portfolio ofP&Qtominimize risk.
A Ltd. has been specially formed to undertake two investment opportunitie s. The risk and retu
Problenm 18:
characterstics of the two projects are shown below:
A
|Expected return 12% 20%
Risk 3% 79%
A Ltd. plans to invest B0% of its avallable funds in ProjectA and 20% in B.the directors believe that the

correlation.coelficient between the returns of the projects is 1.0

Required:
a. Calculate the returns from proposed portíolio of projects A and B;
b. Calculate the risk of the portfolio.
C. Suppose the correlation coeficient between A and 8 was-1. How should the company invest its
funds in order to obtain zero risk portfolo (minimi ze kaTnt k baat karra)
Problem 19: An investor holds two equity shares a andy in equal pronortion with the following risk and return
characteristics:
E(R,)= 249% E(R,)= 19%
O 28% oy 23%
The returns of these securities have a positive correlation of 0.6. You are required to calculate the
portfolio returns and risk, Further, suppose that the investor wants to reduce the portfolio risk (a,) to = SD pP
15 percent. How much should the correlation coefficient be bring the portfolio risk to the desired leve1? Por e
Problem 20: Risk free Rate of inlerest (Rr = 10%. Portfolio Beta are (i) 0.2, (fi) 0.5, and the expected return of market
portfolio l.e., R 15%
Find out the expected return of portfolio.
Problem 21: Find out beta from
following data relating to securityJ.
Probability Return on Market Return
0.10 20 10
0.10 50 30
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 ICEINAL
. 10
50
LOBITQIO AMANAGEMCNT PRUNIEA
10
10
30
0.110 10
0
0.110 50
20
0.110 10
10
0.110 10
20
0.10 10
20
10 10
50 30
Irublem22 The rates of return orn the
securily of A Ltd. and
market portfolio for
ProbabHty eriod Return onJ
10 periods are given below
20 Market Return
22 22
25 20
21 18
18 16
20
7
9 19
10 7
what is the beta of 20
Problem 23:
security A? 11
a. calculate the
market sensijivity
data. Bela indexand the expected return on the investment from the
tollowing
Standard deviation of an
assets
Market standard deviation 2.5%
Risk- free rate of return 2.0%
Expected return on narket portlolio 13.0%
Correlation coefficient of portlolio with 15.0%
b. What will be the market 0.8
expected return on the portfolio if
10%. portfolio beta is 0.5 and the risk free return is
Problem 24 A and S have been paying a divided of Rs.
these two 132 each
year. To
their shareholders.
Beta coefficients of
companies 1.25 and 1.4 respectively. If the
are
what is the prediction about share risk free return is 6% and market return is
price of these two entities? 10%
Problem 25: The beta coelficient of Asha Ltd. is 14. Tlhe
tompany has been maintaining
dividends and earnings. The last 8% rate of
growth in
dividend paid was Rs.Aper share.
Return
market portfollo is 15%. The current market price of one share ofGovernment securities is
on
10%. Return on
Asia Itd. is
What will be the equitlibrium
price per share of Asha Itd.? Rs. 36
ii.Would you advise purchasing the share?
Problem 26: An investor is seeking the
price to pay for a security, whose standard
correlation coefficient for the security with the market is deviation is 3.00 per cent. The
per cent. The return from
Q.8 and the market
standard deviation is
2.2
government securities is,5.2 per cent and from the market porfalia is
cent. The investor knows that by calculating the required return, he can then 98 per
for the security. What is the determine the price to pay
requlred return on the security?
Problem 27 Risk Free Return 8%
Required Return on market portfolio = 12%

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 R11,t2.AIANAGLsIE

INAL
thc diviclenid of
lor llmA- 6%
Expected rate of gruwth
The last dividend paid on the lrm A was Rs, 1/
1 4
The /f of tlhe firm of
nf firm n
irni A
stock stork
What is the cquillbrln porice per share of the equity share
nf requlty

. What is ihe comlinoil rllect of followlnp thanges on prlce

pe
a) Inflation premium decrease by 7%. ihe
What is
b) Expected giowlh rale ncreases by 2%. is 1.3.
m security to
ol the wete

The rish ree tate ht, is the narket risk premin is 8.6% Jrntd ft return
i the f
'rublem 28 expected
xpected return of the7. security under CAMP? What would be the
4
double 7f
=

P'rnblem 29: You have invested in foursecurities (A, n, C and D) the lollowing sums:
25%
A:Rs 10, 000; B Rs.20, 000; C: Rs.16, 000;D: Hs.14, 000. return is 4
If the risk iree
The vahues of the securities are 0 80, 1.20, 1.40 artd 1,75 respectively. encash your
is 11%, what is the on the portfolio? If you
and the market
investerl teturn0 and reinvest the lunds in RBI bands vielding a return ol 4.25% what h
in security
Cxpeeled rrturn

valurs ol the portlolio and Its expected retura? novt ponds

-
The rcqured ietun on market portlolio = 12%
' b l e m 30):

f stock =2.0
the 1equired return on stvek is 10%%
the expectrd divnlend priwth on stnck vis 5%
P'rice per slhare vl stock x is Rs 30.
What is the eapected divldend per sharr of storek x next year?
What will be combined effet of the following on price per share of stock x.
1. The inflation prerniumi increase by 2%.
2. Decrease in the degree of risk aversion reduces the different hetween the return on markot
portfolio and the riskfree return by 1/3"
3. expected frowli rate of dividernd on stock x decreases to 4%
The
. The beta of stock a falls to
1.8.
Prablem 31 An investor is holding 1, 000 shares of Fatlass Company. Presently the rate of dividend being paid by the
company is Rs.2 per share and the share is being sold at Rs.25 per share in the market. However, several
factors are likely to change during he course of the year as indicated below;
EXISTING Reviscd
Risk free rate 12% 10%
Market risk premium km 6% 4%
Betavalue 1.4 1.25
Expected growth rate G 5%
In view of the above whether the investor should
buy, hold or sell the shares? And why?
Problem 32 Finance manager of A Ltd. has the
fallowing informatiun and seeks your advice in
value of the company's stock. The determining the 3
company expects that considering 1he current market
equity share hnleders should get a return of at least L5509% wlile tlhe prices, lhe
vurrent
latest auction for lNs.2500 crores of 182 day bills forreturn
on the market
is 12%. RHI hasclosed the
tlhe lowest bil of 4.3
although there were bidders at ahigher rate of 4 also, for
Problem 33: Informatian about market index and 6% lots of less than Rs,10 crores.
price movement of shares In A given below, covers a three years
perioda

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 Market
TtoLIoMANdGAENTPnom
End of year 0
1275 76
End of year 3 end
1698 04
Averagetividend yicld
Required: it the risk free rate is 5%
conpute the Hota ot ihe stock.
The risk lee return is
Ihllem 4
10%% aned the rlsk premlun is wlih heta of a
copany is 16. the cmnpty a
decared the latest divldend Rs. 3
(2002) whereas it had declared a dividend of Rs.2.115 in the year
1996. The conipany's
eanngs and the dividend experiencod constant
vahe of the shaves. Take
into actount the
growtlh. Find out the intrinsi
tollowing factor table value useful.
('V if
Percentage of cost of tapital PV values at the end of 6 years

6%
0.7
709
7% 0.666
P'roblen 35 AS
an ihvestment nanager you are glven the following
ork
Bok Investment in equityv intormation,
Initial prlee Rs.. Dividends Rs. Market prlca at Beta risk factor
shares of
the end of the
1 PD
61 o year Rs.
ACement Ltd 25 50 08
Steel ltd. 35 60 0.7
Liquor Ltd 15 135 0.5
B. Government of
India Bonds 1000
Risk free rcturn may be taken at 14%
140
1005 099
You are required to calculate
1. Expected rate of returns ot portfolio in each using Capital Assets Pricing Model (CAPM)
2. Average return of portfalio.
Problenm 36: A Ltd. stock has an expected return of 16.14%. the risk free rate is 4.95% while tlhe risk premium on the
market porntolio is 8.88%
1. What is the beta of A LId. stock?
2. What is the risk prenuum for the stok?
3. What is the expected'return for the marketpacifolio?
4. The actual return for the market portfolio at the end of the year turns out to be 8%. What
performance would you now expect.from A Lid's stock?
Problem 37 The following data relate to two securities A and S
A
Expected return 22% 17%
Beta lactor (S) 1.5% 0.7%
Assume: IRF 10% and RM =
18%
Find out whether the securities A and S are correctly priced? Also show the graphic presentation of the

above situation.
Calculate the beta factor of the following investment. Is acceptance of the investment worth while,
Problem 36:
basedupon its level ofrisk? the Risk free rate IRE may be taken at 6%.
PortabilitY Returns on
Market (M) Investments(S)
9% 6%
1/3
12% 30%
1/3
Poge 7
INSTITUTE
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 ItTIN.L 18%
1/3 18%
returns on the shares ofA Lrd td. ar,
Problem 39: You are presented with the lollo- informalion concerning the
the market porllolio, according to the vanous conmlitlons ol the et oonny.
Return on A Ltd. Neturn on the marke
Condition of economy Probablity of cunditlon

orcurring
0.2 15%
16%
2 14%
0.4 20% 24%
The current
risk free interest rate is2 percent.
Required:
3. Calculate the coelficient of torrelitlon between the returns on A Ltd. and the market porttolo
6. Calculate the total'risk (l.e. standard
devlation) of A Ltd. and discuss why this is not t he nios
appropriate measure of risk to be useed in making Investment decisions.
C.Calculate the beta faclor for A Ltd. and
brielly dliscuss its signilicance IsA Ltd. efficiency price0
according to the CaPM and the nformation given above?
P'roblem 40:
(A LtdDhas an expected return of 22% and
Standarl deviation of
24% and standard deviation of 38% Altd has a heta of 0.86 and40%.Ltd.Ltd)has expected return o
an

5 a
beta of 1.24 the
correlaton
coetflcient between the return olA LId and S LId. is 0.72. the standard of the
20% Suggest deviation market return s
1. Isinvesting in S Ltd better than
2. f you invest 30% in S Ltd.
investing
in A Lid.
and 70% in A Ltd what
Standard devlation?
s you expected rate ol return and portlolio
3. What is the market
portfolio
expected rate of return and how much is the risk iree rate?
4. What is the heta of Portfolio if
A Lid's
weight Is 70% and 5 Ltd's weight is 30%.
P'roblem 1 A Ltd. has been
enjoining a substantial net cash inllow, and until the
tax and dividend surplus funds are needed to meet
payments, and to linance further capilal
been invested in a small portfolio of short expenditure in several months time,
they have
term equity investments.
Detalls of the portfolio which consists of shares
in four UK listed
companies, are as follows
Company Number of Beta equity
shares held Market price Latest
Expected
coefficlent per share dividend ield return on
% equity in the
D Ltd 60000 next year %
1.16 .29 6.1
Ltd 80000 2.28 Rs.2.92
19.50
FLtd. 3.40 24.00
100000 0.90 Rs.2.17 5..70
GLtd. 125000 1.50 17.50
The current market Rs.3.14 30 23.00
return is 19% a year and the Risk free rate
Required: Rm is 11% a year.
On the basis of the data
given, caleulate the risk of A
relative to that of the Ld's short term investment portfolio
market.
Recommend, with reasons whelher A Ltd. should
Problem 42 Return on LKG LId.s change the composilion of its portlolio.
shares has a standard deviaion
of 22%. As against the standard deviation of the
market at 12%. The correlatlon
between market and
riskand unsystematic risk of LKG Ltd's shares. stock is0,7. compute the Beta va{ue,
systernatic
Problem 43 The following are the returns
of share S and the market
(M) for the last six years
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 res
.

aGINMIN
Year Return )
M
the markei 2002 15

2003
2004 16
20
2005 13
10
2006 5
2007 12
Caktulate the covariance and correlation coefficient of returns.
2. Delermine the beta coelficient for S.
3. Whal Is S's total risk? how nuch is systematie ris?
Problem44: Tie folloving inlormation available is respect ol securlty Aand Expected Return
Security B 22.00%
A 1.8 20.40%
S 1.6 nas o
risk free rate
priced? What would the
S Tree rateis 7% are thesesecuritiescorrectly
are correctly priced?

Poblem 45 Following is the data regarding six securities: 2

V W 10
11
Return (95) 10 10
Risk (%) 5 6
(Standard
deviation)
Which of three secyrities will be selected in securty
U and
to invest 80%
whether it is preferable
il ASSuming perfect correlation, analyse
security W or to invest 100% in
Y.
20% in
securities.
Problem 46: Follawing is the data regarding six E
D

Return (%) 12 6
12
Risk (%)
(Standard
Deviation) selected?
Which of the securities will be
75% in security A and
correlation, analyse whether it is preferable to invest
ii. Assuming perfect
25% in security C.
securities P, Q and R with the following parameters
Problem 47 A portfolio consists of three Correlation
P
coefficient
25 22 20
Expected return (% 30 24
Standard deviation (%)_ 26
Correlation coeficient )
0.5
PQ
0.4
QR
PR +06
if the securitles are equally weighted how much is the risk and relurn of the these three securities?

Problem 48: return from market is 20% with a Standard deviation of 25%. The risk free return is 8%.
Expected
1. Find market risk return trade off (Slope)
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 CFINAI 2RILOLIU MANAGLAEN
2. ind expected return of the following ellicient portfolios whose slandard deviations are,
. 15%
b. 25%
C. 30%
d. 40%
E S0
P'roblem 49 The market portfollo has a historically based expecterl retunn of Q.085 and a standard deviation of 0.035

r n g a period when risk free assrts ylclded 0.025. the 0.06 risk premiun is ssumed to be conslant

througls tinme.
Riskless investmenls may now be purchased to yicld 0.08.
A SCCurty has a standard deviation of ó07 and a 0.75 correlation with the markrt portlolio. The marker

is now expected to have a standard

deviatlon of 0.0350
Find the market's return rlsk trade off slope
2.
1 CML
Find the security beta
3. Find the equilibrium
required expected return of the security.
P'roblem 5t0 Consider the following information, and compute the expected return on the stock. Ad0png e
principles underlying
1. Capital Market Line and
2. Security Market Line
Risk free rate 6%
Expected returns from market 16%
Standard deviotion of security k 2.15
Standard deviation of market
1.75
| Correlation between Security and market 0.72
I'roblem51: The total market value of the equity share of A Ltd is
Rs,60, 00, 000 and the total value of the debt is
Rs.40, 00, 000. The treasurer estimate that the beta of the stock js currently 1.5 and that the
ShaYe pxpected
rIskpremium on the market is 10 E7u
-

The percent. treasury bill raté is 8 per Cent.

Required: Rf
1. What is the beta of the company's existing portfolio of assets?
. Estimate the Company's Cost of capital and the discount rate for an expansion of the companyys
present business. ameg
Problem 52 A Project had an
equlty beta of 1.2 and was going to be financed by a combination of 30% debt and 70%
equity.
Assuming debt beta to be zero. Calculate the Project Return taking risk free rate of return to be 10% and
returnon markt portfolio at 18%.
Problem 53: Two companies identical in all respects except capital structure. One company
are
AB Ltd. has a debt 0-E diya
equiy ratio of 1:4and its has a ß (beta) value of 1.1. the other company XY LId. has adebt equity ratio
of 3:4. Income tax is 30%.
Estimate B(beta) value of XY Ltd. given the above. Lever
Aa tD
Problem 54: XYZ is at
present engaged production of sport shoes and has a debt
in
equity ratio of 0.80. its present Led hn
costof debt funds is 149% and it has a marginal tax rate of 60%. The conmpany is proposing to diversily to
field of adhesives which is considerably dilferent from the
a new
present line of operations. XYZ Ltd. is
not well conversant with the new field. The company is not aware of risk involved in area ol adhesives
but there exists another company PQR which is a representative company in adhesives. PQR is also a
public limited company whose shares are traded in the market. PaR has a debt to equity ratio of 25, a
beta of 1.15 and a effective tax rate of 40%.

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 J1ons ar

SO
of0 35 ,obl

Stan

rAI
1.
COBTEOLIQ MAVAGEMENT, PROBI
uncSiVes. You
Systematic risk is involved lor
XYZ LId. if the company enters into he Du
may assume CAPM holds and XYZ
2.
CSe employees same amount of leverage.
risk Iree rate present is 10% and expected return on markel portfolio
at
AT Ltd. should require for the new business if it uses a CAPM approach is "
oblem 55
LOmpanyA Ltd. has a ßol
1.32. on an average market has been given a return ot
ds emained
at8%. Return on the stocks of the company for the last three 1470 d
years is B
Return on
Year 1 Year 2 Year 3
company shares % 20.00 21.00 17.50
roblem 56: Compute its Alpha value
uppose the
riskless return is 5 percent and the market portfolio's expected return
()Speree
5ume furher that beta coefficient for security j are = 13 (in relation to market portfolio)
#2 =0.3lin relation to growth rate of GDP) and
rate in
B 0.2 =
(in relation to inllation The expected growt
GbP is 8 percent and inflation is 3 percent. Determine the expected return of security

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 Stud Material
PDF 314 noley ntes /2(3i3)
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