Question 28 1 pts A B30 million portfolo consists of stocks and bonds. The prices, number of shares, and botas of the stocks are given in the table below. The remainder of the $30 million is invested in bonds at a modified duration with viedo Quant Stock Beta Price ($) 11 20 AMD GE AAPL BAC F Number of Shares 110,000 82.000 50,000 200,000 100.000 167 3.00 1.10 1.40 1.70 1.30 28 12 The manager would like to change the location to $10 milion of stock and $20 milion of bonds In addition, the manager would like to adust the beta on the stock portfolo to 0.6 and the modified duration on the bonds to 4 160 Astock index tutures contract has a price of 900 and a multiplier of 250, and we can assume that its bea is 10. A bond future contract is priced at $92,000 with an implied modified duration of 6.9 and an implied yeld of 5.65 percent. The merger wil use futures to synthetically achieve the desired objective. What futures transaction would accomplish the objective? Hint: You need to first calculate the market value of the stock portfoto and the portiollos ball You may arody na tere values from another question that provides identical formation The manager needs to long 32.22 stock futures contracts and long 78 30 bond futures contracts The manager needs to short 98.68 stock futures contracts and long 15.33 bond futures contracts The manager needs to short 32.22 stock futures contracts and long 78.30 bond futures contracts The manager needs to long 139.54 stock futures contracts and short 115.14 bond futures contracts The manager needs to long 59.03 stock futures contracts and short 93.96 bond futures contracts Question 28 1 pts A B30 million portfolo consists of stocks and bonds. The prices, number of shares, and botas of the stocks are given in the table below. The remainder of the $30 million is invested in bonds at a modified duration with viedo Quant Stock Beta Price ($) 11 20 AMD GE AAPL BAC F Number of Shares 110,000 82.000 50,000 200,000 100.000 167 3.00 1.10 1.40 1.70 1.30 28 12 The manager would like to change the location to $10 milion of stock and $20 milion of bonds In addition, the manager would like to adust the beta on the stock portfolo to 0.6 and the modified duration on the bonds to 4 160 Astock index tutures contract has a price of 900 and a multiplier of 250, and we can assume that its bea is 10. A bond future contract is priced at $92,000 with an implied modified duration of 6.9 and an implied yeld of 5.65 percent. The merger wil use futures to synthetically achieve the desired objective. What futures transaction would accomplish the objective? Hint: You need to first calculate the market value of the stock portfoto and the portiollos ball You may arody na tere values from another question that provides identical formation The manager needs to long 32.22 stock futures contracts and long 78 30 bond futures contracts The manager needs to short 98.68 stock futures contracts and long 15.33 bond futures contracts The manager needs to short 32.22 stock futures contracts and long 78.30 bond futures contracts The manager needs to long 139.54 stock futures contracts and short 115.14 bond futures contracts The manager needs to long 59.03 stock futures contracts and short 93.96 bond futures contracts
