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Greta has risk aversion of A=3 when applied to return on wealth over a one-year horizon, She is pondering two portfolios, the S\&P 500 and a hedge fund, as well as a number of one-year strategies. (All rates are annual and continuously compounded.) The S\&P 500 risk premium is estimated at 5% per year, with a standard deviation of 20%. The hedge fund risk premium is estimated at 10% with a standard deviation of 35%. The returns on both of these portfolios in any particular year are uncorrelated with its own returns in other years. They are also uncorrelated with the returns of the other portfolio in other years. The hedge fund claims the correlation coefficient between the annual return on the S\&P 500 and the hedge fund return in the same year is zero, but Greta is not fully convinced by this claim. Compute the estimated annual risk premiums, standard deviations, and Sharpe ratios for the two portfolios. (Do not round your intermediate calculations. Round "Sharpe ratios" to 4 decimal places and other answers to 2 decimal places.) Suppose that JPMorgan Chase sells call options on $1.25 million worth of a stock portfolio with beta =1.5. The option delta is 0.8. It wishes to hedge its resultant exposure to a market advance by buying a market-index portfolio. Suppose it use market index puts to hedge its exposure. The index at current prices represents $2,000 worth of stock. a. How many dollars' worth of the market-index portfolio should it purchase? b. What is the delta of a put option? (Round your answer to 1 decimal place. Negative amount should be indicated by a minus sign.) b. What is the delta of a put option? (Round your answer to 1 decimal place. Negative amount should be indicated by a minus sign Answer is complete and correct. c. Complete the following: (Round your answer to 1 decimal place. Negative amount should be indicated by a minus sign.)