How would you construct an option portfolio to capture time decay without taking a significant market risk?
Individual Call spread: Sell Lower strike call and buy higher strike call
Iron condor: Sell both call spread and put spread
Individual put spread
How would you construct an option portfolio to capture time decay without taking a significant market...
What is gamma risk? Suppose you were managing an option portfolio and had gamma risk. How would you get rid of gamma risk without incurring any other significant risk, at least for small market moves?
If your investment horizon is 6 years, how
would you construct a portfolio in which interest rate and
reinvestment risk are
offset?
100 Bond Price Coupon (paid annually) Time to Maturity 100 7% 5% undated 2 years
You want to construct a investment portfolio consisting of $400,000 in Treasury Bills yielding 3% and $600,000 in a Market Portfolio with an expected market return of 10%. a) What is the market risk premium? b) What is the portfolio’s risk premium?
A stock option market maker has a portfolio consisting of 200
shares of ABC Corp, and the following option positions on ABC Corp.
For simplicity, each option is assumed to be written on a single
share of the stock.
The market maker is worried about stock price movements in ABC’s
stock and would like to make his portfolio delta-neutral and gamma
neutral over the night. The current stock price of ABC is $120, the
volatility of the stock is 30%,...
A stock option market maker has a portfolio consisting of 200 shares of ABC Corp, and the following option positions on ABC Corp. For simplicity, each option is assumed to be written on a single share of the stock. Quantity Exercise Price Option Type Price Delta Gamma 100 Stock 120 1 0 150 120 Call 4,3585 0,5362 0,0385 -120 125 Call 4,1383 0,4179 0,0268 100 115 Put 4,1947 -0,3289 0,0202 -100 130 Call 3,5891 0,2982 0,0238 The market maker is...
You want to construct a portfolio with the following three assets: $ invested b1 b2 Asset X $1,000 0.1 1.8 Asset Y $2,460 2.3 0.3 Asset Z $6,320 0 0 What is hte expected return of this portfolio, if assets with no risk yield 3.0% and the risk premiums for factors 1 and 2 are 4.3% and 7.8%, respectively? Answer in percentage without the symbol.
The risk-free rate is 0%. The market portfolio has an expected return of 20% and a volatility of 20%. You have $100 to invest. You decide to build a portfolio P which invests in both the risk-free investment and the market portfolio.a. How much should you invest in the market portfolio and the risk-free investment if you want portfolio P to have an expected return of 40%?b. How much should you invest in the market portfolio and the risk-free investment...
You construct a portfolio out of 4 assets. The betas of the assets are 1, 0.5, 1.9, and 0.9, and the respective weights of the assets in your portfolio are 20%, 15%, 35%, and 30%. What is the beta of your portfolio? (please round to 2 decimal places ) If the expected market return the next year is 9% and the risk-free rate is 4%, what is the expected return of your portfolio that year? (please round to the nearest...
How do you get this
answer?
Portfolio Weight 0.25 Correlation w Market Portfolio 0.7 0.6 0.5 Volatility 14% 18% 15% Firm Taggart Transcontinental Wyatt Oi 0.35 0.40 Rearden Metal The volatility of the market portfolio is 10%, the expected return on the market is 12%, and the risk-free rate of interest is 4% The Sharpe Ratio for the market portfolio is closest to O A. 0.40 O B. 0.56 O C. 0.48 D. 0.80
taking this problem,
but assuming i know the decay rate (x) how would i solve for the
height using newton raphson?
ex: hih ho high tite (at Some prt e
ex: hih ho high tite (at Some prt e