You are the boss of $500 million equity portfolio with a beta of 0.6 and concerned about the market retracing to 2020 lows by Sep. You have an good quant division the can help you price any instrument. You can use SPX options or future to manager your risk. If the market did retrace to those lows, 1. How many futures would you need to have a return of 0% over the period 2. How many put options would you need to have a return of 0% over the period (you have to find the optimal strike)

You are the boss of $500 million equity portfolio with a beta of 0.6 and concerned about the market retracing to 2020 lows by Sep. You have an good quant division the can help you price any instrument. You can use SPX options or future to manager your risk. If the market did retrace to those lows, 1. How many futures would you need to have a return of 0% over the period 2. How many put options would you need to have a return of 0% over the period (you have to find the optimal strike)

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 25P

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