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2019. For simplicity, assume each S&P500 Futures contract is written on 10 times the index (Hint: Compute the (beta) using 2-years of historical data).
2019. For simplicity, assume each S&P500 Futures contract is written on 10 times the index (Hint: Compute the (beta) using 2-years of historical data). Using the theoretical price of S&P500 Futures contract you have computed in Question 2, track the PnL of your hedged portfolio until the Futures maturity date of Aug 30th, 2019. Comment on the successfulness of the hedging and analyze potential reasons behind any issues. (Lecture 3)
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Venture capital and the finance of innovation
Authors: Andrew Metrick
2nd Edition
9781118137888, 470454709, 1118137884, 978-0470454701
