9. Refer to Problem 8. How does consideration of basis risk change your answers? ( LG 23-2 )

Compute the number of futures contracts required to construct a macrohedge if [⌬ R f /(1 ⫹ R f )/⌬ R /(1 ⫹ R )] ⫽

br ⫽ 0.90.

Explain what is meant by br ⫽ 0.90.

If br ⫽ 0.90, what information does this provide on the number of futures contracts needed to construct a macrohedge?