What is the insured value of the portfolio

Assignment Help Financial Management

Reference no: EM131323279

On July 5 a market index is at 492.54. You hold a portfolio that duplicates the index and is worth 20,500 times the index. You wish to insure the portfolio at a particular value over the period until September 20. You can buy risk-free debt maturing on September 20 with a face value of $100 for $98.78.

a. You plan to use puts, which are selling for $23.72 and have an exercise price of 510. Determine the appropriate number of puts and shares to hold. What is the insured value of the portfolio?

b. Determine the value of the portfolio if the index on September 20 is at 507.35.

c. Determine the value of the portfolio if the index on September 20 is at 515.75. Compute the upside capture and the cost of the insurance.

Reference no: EM131323279

Questions Cloud

Determine the prices of lookback and modified lookback calls : Determine the prices of lookback and modified lookback calls and puts. For the modified lookbacks, use an exercise price of 95.

Create a chart showing the costs of your product or service : Using a spreadsheet software program, create a chart showing the costs of your product or service and at least three different price points you might consider selling the product. In a separate area on the spreadsheet, explain the chart and the pri..

Interest and expectations of the sponsor : When developing a stakeholder matrix, the portfolio manager must look at the portfolio sponsor in order to complete the stakeholder analysis. In your own words, what is the role, interest and expectations of the sponsor?

Prepare an income statement for the year 2014 : Prepare an income statement for the year 2014 starting with income from continuing operations before taxes. Compute earnings per share as it should be shown on the face of the income statement.

What is the insured value of the portfolio : You plan to use puts, which are selling for $23.72 and have an exercise price of 510. Determine the appropriate number of puts and shares to hold. What is the insured value of the portfolio?

Develop an alternative plan for the weakest point : Select one weakest and one strongest points. Develop an alternative plan for the weakest point and justify why it would be more successful.

Compute the gross profit using the periodic system : ECO2072 Compute the gross profit using the periodic system - Assume Fong Sai-Yuk uses a perpetual system. Prepare all necessary journal entries.

Determine the price of an average price asian call option : Determine the price of an average price Asian call option. Use an exercise price of 95.- Count the current price in determining the average.

The new equipment and cabinetry will cost dollar : Sam Hinds, a local dentist, is going to remodel the dental reception area and two new workstations. He has contacted A-Dec, and the new equipment and cabinetry will cost dollar 18, 000. A-Dec will finance the equipment purchase at 7.5 percentage over..

User Account

All Pages