Suppose you buy a straddle: a portfolio made up of a European call and of a European put option on the same non-dividend paying stock, with the same exercise price of X=$100, and an expiration date of T=1 year. The price of the call is $5 and that of the put is $10. Suppose that the stock price at expiration is equal to $105. What is the holding period return (HPR) on your option portfolio? a. HPR = 15/10-1 = 50% b. None of the other options C. HPR = 10/15-1 = -33% d. HPR = 5/15 - 1 = -66% e. HPR = 10/10-1= -0% The expected impact of low-probability macroeconomic events on a security's return during the period is a. zero. O b. proportional to the firm's alpha. C. Infinite. d. equal to the risk free rate. e. included in the security's expected return. Portfolio theory as described by Markowitz is most concerned with: a. the elimination of unsystematic risk b.active portfolio management to outperform the market C. determining accurately the arbitrage opportunities d. the identification of SML e none of the other antions