Which of the Following Statements Is False

question 35

Multiple Choice

Which of the following statements is false?

• A) Out-of-the-money calls have the highest expected returns and out-of-the-money puts have the lowest expected returns.
• B) The expression SΔ/(SΔ + B) is the ratio of the amount of money in the stock position in the replicating portfolio to the value of the replicating portfolio (or the option price); it is known as the leverage ratio.
• C) The beta of a portfolio is just the weighted average beta of the constituent securities that make up the portfolio.
• D) The magnitude of the leverage ratio for options is usually very small, especially for out-of-the-money options.

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Definitions:

For Loop

A for loop is a control flow statement in programming that allows code to be executed repeatedly based on a condition and iteration expression.

Value Of X

A general expression referring to the value assigned to the variable "X".