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:

Pent-up Emotions

Emotions that have been suppressed or not expressed, often leading to increased stress or emotional outbursts when released.

Grapevine

An informal communication network within an organization, which can be a source of rumors and unofficial information.

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The practice of keeping steady visual attention on the eyes of another person during interaction, often interpreted as a sign of confidence and engagement.

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The style and arrangement of furnishings and decorations in a workplace, which can influence employees' moods and productivity.