Tiêu đề SOL_MBA_Sem-3_IFM PYQP_June'24.pdf ✅

7164 1. (a) A portfolio manager is considering the benefits of increasing his diversification by investing overseas. He can purchase shares in individual country funds with the following characteristics : Jal,,an (%) Chin (%) Malaysia (%) Elpected return 12 10 8 Standard lleviation 10 9 6 orreturn / Correlation withJal]an I.0 0.33 0.06 (i) What is the expected return and standard deviation of return of a portfolio with 25 percent invested in the Japan and 75 percent in China? (ii) What is the expected return and standard deviation of return of a portfolio with 25 percent invested in Malaysia and 75 percent in the Japan? (iii) Calculate the expected return and standard deviation of return of a portfolio with 50 percent invested in the Japan and 50 percent in China. With 50 percent invested in the Japan and 50 percent invested in Malaysia. 7164 (b) Briefly explain the methods of managing Economic Exposure. (6) 6. (a) If the US and India are running annual inflation rates of 3% and 7.5%, respectively, • Spot rate EUR/USD = I.01 • Spot rate INR/EUR = 0.0125 The USD/INR in one year should be: (4) (b) During this same 15-year period (2008-2023), India's consumer price index (CPI) rose from 80.75 to 250.835 and the U.S. CPI rose from 56.06 to 87.07. In 2023, the USD/INR exchange rate should be? (4) (c) In Jam 2023, the 1-year interest rate is 12% in India and 7% in the U.S. If the current exchange rate is 1S = 80, what is the expe-cted future exchange rate in one year? If a change in expectations regarding future U.S. inflation causes the expected future spot rate to rise to 1S = 63, what should happen to the U.S. interest rate? (4) P.T.O.
7164 6 Current and Monetary/Non-Monetary Method into the USD after the devaluation of Local currency (the new exch.ange rate now is LC 5/USD1). (8) I.ocal Curreney USD prior to Exchange qc) rate change a.C4rusD 1 ) Current Assets Cash, marketablesecurities 2600 650 Inventory (at marketprice) 3600 900 Prepaid expenses 200 50 Total Current Assets LC6400 $1470 Fixed Assets Fixed Assets lessaccumulateddepreciation 3600 900 Goodwill 1000 250 •Total Assets LC11000 $2750 Liabilities Current Liabilities 3400 850 Long term debt 3000 750 Deferred income tax 6900 1125 Total Liabilities 6900 1725 Capital Stock 1500 375 Retained earnings 2600 650 Total equity 4100 1025 Total Liabilities plusequity LC1|00 $2750 7164 (iv) Calculate the expected return and standard deviation of return of a portfolio with 25 percent invested in the China and 75 percent in the Japan. With 25 percent invested in the Japan and 75 percent invested in Malaysia. (4x2=8) (b) The experience of managed float exchange rate systems have not been entirely satisfactory for developing countries in the past. What lessons, can economists draw from recent economic fal lout? (6) 2. (a) ABc ltdwillhave to payYen2,00,000 in l80days. Which hedging techniques is best out of (1) Forward Market Hedge (2) Money Market hedge (3) Option hedge (4) No hedge? Spot rate of Yen as of today: $1.50 180 days forward rate of Yen as of today Sl.47 Interest rates in the two countries are given as follow : Japan 180 days deposit rate 4.5% 180 days borrowing rate 5.0% US 4.5% 5.5% P.T.O.