Solution-1 a portfolio manager in charge of a portfolio

1 a portfolio manager in charge of a portfolio worth 10

Assignment Help Finance Basics

Reference no: EM13482767

1. A portfolio manager in charge of a portfolio worth $10 million is concerned that the market might decline rapidly during the next six months and would like to use options on the S&P 100 to provide protection against the portfolio falling below$9.5 million. The S&P 100 index is currently standing at 500 and each contract is on 100 times the index.

(i) If the portfolio has a beta of 1, how many put option contracts should be purchased? _ _ _ _ _ _

(ii) If the portfolio has a beta of 1, what should the strike price of the put options be? _ _ _ _ _ _

(iii)If the portfolio has a beta of 0.5, how many put options should be purchased?_ _ _ _ _ _

(iv)If the portfolio has a beta of 0.5, what should the strike prices of the put options be? Assume that the risk-free rate is 10% and the dividend yield on both the portfolio and the index is 2%. _ _ _ _ _ _

Reference no: EM13482767

Questions Cloud

Gilman company purchased 100000 of the 250000 shares of : gilman company purchased 100000 of the 250000 shares of common stock of burke corporation on january 1 2009 at 40 per

Rhinos landscaping sells a quality brand of hoes shovels : rhinos landscaping sells a quality brand of hoes shovels and rakes in a sales mix of 242 25 50 25.nbspnbspthe companys

Current dividends have been paid no preferred stock issued : roseau company is preparing its annual earnings per share amounts to be disclosed on its 2013 income statement. it has

Determine the overhead from both production departments : 1 - blue ridge marketing inc. manufactures two products a and b. presently the company uses a single plantwide factory

1 a portfolio manager in charge of a portfolio worth 10 : 1. a portfolio manager in charge of a portfolio worth 10 million is concerned that the market might decline rapidly

A portfolio contains 10000 shares of ibm stock the : a portfolio contains 10000 shares of ibm stock the portfolio manager writes ten ibm call contracts.one contract is

What is the payback period for this project if the cash : you are considering a project with an initial cost of 7500. what is the payback period for this project if the cash

In mid- march 2007 the us dollar equivalent of a euro was : in mid- march 2007 the u.s. dollar equivalent of a euro was 1.3310. in mid- july 2009 the u.s. dollar equivalent of a

The management of california corporation is considering the : 1 - a company is contemplating investing in a new piece of manufacturing machinery. the amount to be invested is

User Account

All Pages

1 a portfolio manager in charge of a portfolio worth 10

Reference no: EM13482767

Reference no: EM13482767

Questions Cloud

Reviews

Write a Review

Finance Basics Questions & Answers

Financial reporting and analysis

A report on financial accounting

Describe the types of financial ratios

Differences between sole proprietorship and corporation

Prepare a cash budget statement

What are the implied interest rates

State pricing theory and no-arbitrage pricing theory

Small business administration

Effect of financial leverage

Evaluate the basis for the payment to the lender

Importance of opps, ipps, mpfs and dmepos

Time value of money

Assured A++ Grade

Academics

Major Subjects

Majors

Get In Touch

TERMS & POLICIES

HELP & SUPPORT