Answer Questions 1 Through 6 About Insuring a Portfolio Identical

question 20

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 S&P 500 ends up at 401,determine the upside capture.

• A)96.7 percent
• B)96 percent
• C)99.3 percent
• D)94 percent
• E)100 percent

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Definitions:

Asking Prices

The initial price set by the seller for a property, goods, or services, subject to negotiation.

Birth Weights

The weight of a baby immediately after birth, used as an important indicator of neonatal and potential future health.

Boxplot

A uniform method for showing how data is spread out, utilizing a five-number summary that includes the minimum, first quartile, median, third quartile, and maximum.

Local Hospital

A healthcare facility that provides medical and surgical treatment and nursing care for sick or injured people in a specific geographic area.