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PROBLEM 1 CONTINUED 13. and a hedge ratio for a (2 MARKS) A hedge ratio for a call option is put option is A) negative, positive B) negative, negative C) positive, negative D) positive, positive E) zero, zero 14. (2 MARKS) Assume that stock market returns do not resemble a single-index structure. An investment fund analyzes 100 stocks in order to construct a mean- variance efficient portfolio constrained by 100 investments. They will need to calculate covariances. A) 45 B) 100 C) 4,950 D) 10,000 E) none of the above 15. (2 MARKS) Imposing the no-arbitrage condition on a single-factor security market implies which of the following statements? I) the expected return-beta relationship is maintained for all but a small number of well-diversified portfolios. II) the expected return-beta relationship is maintained for all well-diversified portfolios. III) the expected return-beta relationship is maintained for all but a small number of individual securities. IV) the expected return-beta relationship is maintained for all individual securities. A) I and III are correct. B) I and IV are correct. C) II and IIIl are correct. D) II and IV are correct. E) Only I is correct