Question

Determine which of the following statements are True (T) and which are False (not true) (F).
a. _____ Macaulay Duration and term are inversely related.
b. _____ Bachelier was a partner of LTCM.
c. _____ Put-Call Parity states that .
d. _____ One can purchase stock by being assigned when short a put option.
e. ______ The Gamma of calls is positive and of puts is negative.
f. ______ In polling a greater confidence level results in a more accurate estimate of the population mean.
g. ______ .
h. ______One can hedge a position in a commodity by taking the opposite position in the futures market.
i. ______ The greater the Sharpe Ratio of a portfolio of stocks the less desirable it is to own the portfolio.
j. ______

Answer 1

Solution.>

1. False -The Macaulay duration is the weighted average term to maturity of the cash flows from a bond
2. False -Bachelier was not a partner of LTCM.
3. True -about put-call parity
4. True-  One can purchase stock by being assigned when short a put option.
5. False -All long options (either calls or puts) have positive Gamma, while all short options have negative Gamma.
6. True
7. True - for hedging, you can take opposite position in futures
8. False -the greater the value of the Sharpe ratio, the more attractive the stock will be

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