For a long straddle strategy, with a strike price of 150 USD, and premiums of the call and the put option of 6 and 4 respectively, the investor breaks even at _________

Select one:

a. 140 USD and 160 USD

b. 140 USD

c. 160 USD

d. 10 USD

2.

The optimal risky portfolio has an expected return of 16.5 percent and a standard deviation of 18.1 percent. The risk free rate is equal to 4 percent. Solve numerically for the proportions of the optimal risky portfolio and the risk free rate, respectively, in the optimal complete portfolio if the risk aversion coefficient is to 5.

Select one:

a. None of the above

b. Wp = 0.76 and Wf = 0.24

c. Wp = 0.59 and Wf = 0.41

d. Wp = 0.82 and Wf = 0.18

e. Wp = 0.61 and Wf = 0.39

3.

If the put-call parity relation is never violated, an arbitrage opportunity arises.

Select one:

a. True

b. False