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Suppose you are managing a stock portfolio that is currently valued at $2,000,000. You expect the stock market will be bullish in the next 6
Suppose you are managing a stock portfolio that is currently valued at $2,000,000. You expect the stock market will be bullish in the next 6 months. But you are also aware of a small chance of market crash and you want to insure that your portfolio value will be at least $1,800,000 in 6 months even in a market crash. In other words, you dont want to suffer more than 10% loss in the next 6 months. Assume your stock portfolio has a beta of 1.5, the current S&P 500 level is 2,000 and the risk-free rate is 1% per annum.
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