Consider a portfolio consisting of one share and several European call options with the same expiry, but different strike prices. The payoff diagram of the portfolio is given by the following figure. Find the strike prices and the positions of each call option. Payoff 25 20 15 10 5 OF 10 I 10 Portfolio payoff T 15 Stock price 1 20 25 30

Consider three scenarios with the probabilities given below. Let the returns on two different stocks in these scenarios be as follows: Scenario Probability return K1 return K2 Wi 0.2 -10% -30% W2 0.5 0% 20% W3 0.3 10% 50% If a portfolio has 60% of funds invested in stock 1 and 40% of funds invested in stock 2, find the risk oy for this portfolio.

The following portfolios are being considered for investment. During the period under consideration, RFR = 0.08.   Portfolio Return Beta σi P 0.14 1.00 0.05 Q 0.20 1.30 0.11 R 0.10 0.60 0.03 S 0.17 1.20 0.06 Market 0.12 1.00 0.04   Compute the Sharpe measure for each portfolio and the market portfolio. Round your answers to three decimal places.   Portfolio Sharpe measure P   Q   R   S   Market     Compute the Treynor measure for each portfolio and the market portfolio. Round your answers to three decimal places.   Portfolio Treynor measure P   Q   R   S   Market

Consider the 1-period binomial model with a bond with A(0) = 60 and A(1) = 70 and a stock with S(0) = 4X and S^u(1) 6Y and S^d(1) = 3Z. = 1. What is the price (payoff) C(1) of a call option with strike price 28? 2. same... with strike price 45? 3. same... with strike price 72? 4. Set up a system of linear equations to determine a replicating portfolio for the call option from part 2 (strike price 45). 5. Solve it and determine the price C(O). 6. Compute, tabulate, and plot the price C(O) as you vary the strike price of the option from 28, 29, ..., 71, 72.