22.3. Assume a two-factor model for next years profits of ExxonMobil. The factors are one-year futures prices

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22.3. Assume a two-factor model for next year’s profits of ExxonMobil. The factors are one-year futures prices for oil and one-year futures prices for the US$/€ exchange rate. The relevant factor equation is Assume that each one-year oil futures contract purchased has the factor equation Each one-year futures contract on the US$/€

exchange rate has the factor equation If ExxonMobil wants to reduce its exposure to the two risk factors in half, how can it accomplish this by buying or selling futures contracts?

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Financial Markets And Corporate Strategy

ISBN: 9780071157612

2nd Edition

Authors: Mark Grinblatt, Sheridan Titman

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