@davidharper

I was reading the Stultz reading on Credit Derivatives and trying to replicate the same across excel. One of the Stultz example has the following parameters: Asset Value $ 120.00 S Face Value of Debt $ 100.00 K Time5 T Risk Free Rate of Return10% r Volatility20% Sigma Return on Assets20%...

I have one question : 1) we want to decrease the beta of our portfolio to 0.75 without selling one of our positions current , your colleague suggests selling short the spy exchange traded fund (ETF) SPDR S&P 500 ETF trust . How many SPY shares must be sold ? The value of my portfolio is...