What is the daily position in the un-levered ETF and cash post rebalancing?

Q2. Write your calculations please
VXX is the 1x vix futures ETF. ETF UVXY manages leverage of +1.5x of vix futures ETF (a leveraged fund, long 150% of AUM). You can view UVXY as holding 150% of its asset value in VXX.
a. Below is the price path for VXX, the 1x long etf. Fill in the blanks, including the calculation
Day
0
1
2
3
Price for unlevered VXX
100
150
75
100
Daily Return
NA
b.
Day
0
1
2
3
Price
100
c. What is the daily position in the un-levered ETF and cash post rebalancing? what is the price path for SVXY?
Day
0
1
2
3
Position in unlevered ETF VXX
150
Position in cash
-50

d. What is the rebalancing trade in dollar terms?
Day
0
1
2
3
Rebal Trade in ETF VXX
150
Change in Cash
-50

Q3. Portfolio Returns
i. stock has mean of 8% and stdev of 18%;
ii bond has mean of 6% and stdev of 12%;
iii correlation b/w stock and bond of -0.4;
iv. Risk free rate for cash lending and borrowing is at 2%.
a. What is the mean and stdev of a portfolio of that is 60% in stock and 40% in bond
b. What is the mean and stdev of a fully invested yet unleveraged portfolio in stock and bond, that assign weights based on inverse of VARIANCE risk
c. How do you combine portfolio in Q3b with cash to match mean return in Q3a portfolio? What is your cash position? What is the stdev risk of this portfolio?
d. You want to mix portfolio in Q3b with cash, in order to match the stdev risk of portfolio in Q3a. What is your cash position? What is the resulting mean return of the portfolio?
e. if you want to target 12% stdev risk per year, how would you combine Q3b risk parity portfolio with cash? What are the portfolio weights in cash, stock, and bond respectively? What are the mean returns for portfolio?

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