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:

Formal Accusation

An official charge made against a person or entity, typically involving the commencement of legal proceedings.

Criminal Law

The body of law that relates to crime, prescribing conduct perceived as threatening, harmful, or otherwise endangering to the property, health, safety, and moral welfare of people.

Criminal Liability

The legal responsibility for a criminal offense, with the potential for penalties like incarceration.

Corporate President

A high-ranking executive in a corporation, often responsible for the overall management and day-to-day operations of the company.