University of Delhi 2011 M.A Economics winter semester 503- financial rkets - Question Paper
This question paper contains 1 printed page. Your Roll No............
2248 A
M.A. Winter Semester
ECONOMICS
Course 503 - Financial Markets
Time : 2-1/2 hours Maximum Marks : 70
(Write your Roll No. on the top of immediately on receipt of this question paper). Attempt any four questions.
1. Assuming inter-temporal utility maximization, derive the Consumption CAPM. What are its distinct implications? 17 'A
2. Given a Markowitz feasible set, a risk free rate and a Capital Market Une, derive the Security Market Line. 17 %
3. Distinguish between "market risk" and "unique risk. Under the framework of Capital Asset Pricing model, how are investors compensated for bearing only the market risk? 17 'A
4. Explain the BlackScholes model of option pricing. What kind of investment strategy does it
suggest if the portfolios can comprise of risk free bonds, options and the underlying stock.
17 V,
5. (a) How are futures priced?
(b) As models of asset pricing can Arbitrage Pricing Theory and CAPM be synthesized ?
; 9,8%
200
|
Attachment: |
| Earning: Approval pending. |
