Page 1 of 1
6. This is another question about portfolios. Here, for a given shape of the profit curve, design the portfolio. = (a) C
Posted: Tue Jan 18, 2022 12:59 pm
by answerhappygod
- 6 This Is Another Question About Portfolios Here For A Given Shape Of The Profit Curve Design The Portfolio A C 1 (298.29 KiB) Viewed 50 times
6. This is another
question about portfolios. Here, for a given shape of the profit curve, design the portfolio. = (a) Construct a portfolio using only Calls where, at time t T, the profit line is horizontal until price $60. At that point, it has slope 3 until price $70. Then, the line has slope 2 until price $100. Next, it has slope zero until price $110. It then has a slope of – 1 until $120. After that, it has slope zero. 52 2 Options (b) Construct a portfolio with the above behavior but using only Puts. (c) Construct a portfolio with the above behavior using both Puts and Calls.