Show that the growth rate in an index futures price equals the excess return on the portfolio

Question:

Show that the growth rate in an index futures price equals the excess return on the portfolio underlying the index over the risk-free rate. Assume that the risk-free interest rate and the dividend yield are constant.

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For book-img-for-question

Options Futures And Other Derivatives

ISBN: 9780273759072

8th Global Edition

Authors: John Hull

See More Books

Question Posted: Oct 21, 2024 08:00 AM

See More Questions

Hi, I have an Assignment for my Finance Subject. I have attached the necessary documentation here for you to view including the Lecture slides of all the Topics covered for this assignment. Please...
Assume C is a circle centered at the origin, oriented counterclockwise, that encloses disk R in the plane. Complete the following steps for the vector field F = (9y, - 2x). a. Calculate the...
a. Give a precise expression for the minimum number of nodes in an AVL tree of height h. b. What is the minimum number of nodes in an AVL tree of height 15?
Marston Marble Corporation is considering a merger with the Conroy Concrete Company. Conroy is a publicly traded company, and its beta is 1.30. Conroy has been barely profitable, so it has paid an...
Show that the growth rate in an index futures price equals the excess return on the portfolio underlying the index over the risk-free rate. Assume that the risk-free interest rate and the dividend...
The Seaboard Shipping Company has a warehouse terminal in Spartanburg, South Carolina. The capacity of each terminal dock is three trucks. As trucks enter the terminal, the drivers receive numbers,...
QUESTION 2 Recently, you have just been appointed as financial controller of Cloud 9, a privately owned entity. You have been asked to attend the forthcoming monthly management meeting and report on...
It is sometimes argued that a forward exchange rate is an unbiased predictor of future exchange rates. Under what circumstances is this so?
Show that equation (5.3) is true by considering an investment in the asset combined with a short position in a futures contract. Assume that all income from the asset is reinvested in the asset. Use...
According to a survey conducted by the American Pet Products Association, 68% of U.S. households own a pet. According to the Energy Information Administration, 31% of all U.S. households have trouble...
2. Problem 3.2 from Textbook (page 80). Consider an age-structured discrete time population dynamics model with evolution model (3.7) We assume that pj+1 = Rp, 82 1-11 BN-1 BN 1-12 where R = 1-N-1 0...
2. Problem 3.2 from Textbook (page 80). Consider an age-structured discrete time population dynamics model with evolution model (3.7) We assume that pj+1 = Rp, 82 1-11 BN-1 BN 1-12 where R = 1-N-1 0...
An estuary is a partly enclosed coastal body of brackish water with one or more rivers or streams flowing into it, and with a free connection to the open sea [Wikipedia]. The salt concentration in an...
You are considering buying stock A. What is the standard deviation of this stock? Round to 4 decimal places represent % return as decimal for example not 30% but .30. Economic Probability Expected...
The risk-free rate is 4.31% and the expected return on the market 9.91%. A stock with a of 1.15 will have an expected return of ____%. Answer format: Percentage Round to: 2 decimal places (Example:...
A uniform electric field is parallel to the x axis. In what direction can a charge be displaced in this field without any external work being done on the charge?
Making use of the tables of atomic masses, find the velocity with which the products of the reaction B10 (n, ) Li7 come apart; the reaction proceeds via interaction of very slow neutrons with...

Show that the growth rate in an index futures price equals the excess return on the portfolio

Question:

Step by Step Answer:

Options Futures And Other Derivatives

Students also viewed these Business questions