Question
For each of the portfolios whose value functions are listed, identify the allocation to each asset, whether the portfolio is long or short in the
For each of the portfolios whose value functions are listed, identify the allocation to each asset, whether the portfolio is long or short in the particular asset, identify any holdings of cash or debt, in any currency. The meaning of the notation is:
() is the share price of IBM stock;?
() is the share price for GE stock;
E() is the Euro/Pound exchange rate;
is the risk-free rate in domestic (Pound) currency and is the risk-free rate in the foreign (Euro) currency.
i. ()=300()5000()
ii. ()=750()+8000
iii. ()=4000()+6000()5000()13000
iv. ()=8000()3000()+5000()15000
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