Answer Questions 1 Through 6 About Insuring a Portfolio Identical

question 37

Multiple Choice

Answer questions 1 through 6 about insuring a portfolio identical to the S&P 500 worth $12,500,000 with a three-month horizon. The risk-free rate is 7 percent. Three-month T-bills are available at a price of $98.64 per $100 face value. The S&P 500 is at 385. Puts with an exercise price of 390 are available at a price of 13. Calls with an exercise price of 390 are available at a price of 13.125. Round off your answers to the nearest integer.
-If the insured portfolio were dynamically hedged with T-bills,how many T-bills would be used?

• A)16,332
• B)63,002
• C)126,723
• D)61,672
• E)32,468

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