Answered step by step

Verified Expert Solution

Link Copied!

Question

1 Approved Answer

Posted on Sep 07, 2024

A hedge fund wants to purchase 100 shares of company TXT. The bid = $70, offer = $80. They also want to purchase 200 shares

A hedge fund wants to purchase 100 shares of company TXT. The bid = $70, offer = $80. They also want to purchase 200 shares of company ZZTOP. The bid = $15, offer = $25.

1) What is the proportional bidoffer spread of each company?

2) What is the midmarket total value of each position?

3) What is the cost to the hedge fund to unwind the portfolio?

4) If the bidoffer spreads are normally distributed with mean $10 and standard deviation $3, what is the 99% worst-case cost of unwinding the position in the future?

Step by Step Solution

There are 3 Steps involved in it

Step: 1

Get Instant Access with AI-Powered Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

Step: 3

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Students also viewed these Finance questions

Question

7. A certain city divides naturally into ten district neighborhoods. Howmight a real estate appraiser select a sample of single-family homes that could be used as a basis for developing an equation...

Answered: 1 week ago

Question

★★★★★

On January 1, 2015, Fisher Corporation paid $2,290,000 for 35 percent of the outstanding voting stock of Steel, Inc., and appropriately applies the equity method for its investment. Any excess of...

Answered: 1 week ago

Question

★★★★★

Calculate the future value: Principal $19000, Interest rate 5.75% compounded semi-annually, Term 6 years, 6 months

Answered: 1 week ago

Question

★★★★★

Question 7 (1 point) A spring with spring constant (5.2x10^0) kN/m is stretched by (5.70x10^0) cm from the unstretched length. How much elastic potential energy is stored? Note: Your answer is...

Answered: 1 week ago

Question

★★★★★

1.) (20 pts) Jobs arrive to a two-station serial line at a rate of 2 jobs per hour with deterministic inter- arrival times. Station 1 has one machine which requires exactly 29 minutes to process a...

Answered: 1 week ago

Question

★★★★★

Salubrity Plus is a medical equipment supply company with offices and retail locations in Ontario and Qubec. The organization started operations in 2005 and currently has an approximate annual...

Answered: 1 week ago

Question

★★★★★

A vendor for your part casting claims they redeveloped the casting alloy with less tensile variability. The vendor claims that the new material will show a 20 of 10, 95% of the time. A six sample...

Answered: 1 week ago

Question

★★★★★

The following accounts and their balances appear in the general ledger of NEWBERRY PROPERTIES INC. on June 30, 2017: Preferred stock, 2%, $75 par...........................................1,350,000...

Answered: 1 week ago

Question

★★★★★

Problem 11: The principal stresses at a point in a solid: = 60 MPa, = 35 MPa, 3 = 15 MPa Obtain (a) the maximum shearing stress and (b) the normal and shearing stresses on the octahedral plane.

Answered: 1 week ago

Previous Question Next Question