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[ 5 points ] Suppose the S&P 5 0 0 currently has a level of 8 7 5 and one contract is $ 2 5
points Suppose the S&P currently has a level of and one contract is $ S&P The continuously compounded return on a year Tbill is You wish to hedge an $ portfolio that has a beta of and a correlation of with the S&P i What is the year futures price for the S&P assuming no dividends? point ii How many S&P futures contracts should you short to hedge your portfolio? points iii. What return do you expect on the hedged portfolio? Why? points
points Suppose the S&P currently has a level of and one contract is $ S&P
The continuously compounded return on a year Tbill is You wish to hedge an
$ portfolio that has a beta of and a correlation of with the S&P
i What is the year futures price for the S&P assuming no dividends?
point
ii How many S&P futures contracts should you short to hedge your portfolio?
points
iii. What return do you expect on the hedged portfolio? Why? points
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