Question
A company has a $15 million portfolio with a beta of 1.4. It would like to use futures contracts on the S&P500 to hedge its
A company has a $15 million portfolio with a beta of 1.4. It would like to use futures contracts on the S&P500 to hedge its risk. The index futures is currently at $1050 and each contract is delivery of 250 times the index. What is the hedge that minimizes risk?
Question 6 options:
|
| A) 20000 |
|
| B) 84000 |
|
| C) 79.5 |
|
| D) 80 |
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Shape Up Your Finances
Authors: Ian Birt
2nd Edition
1925716422, 978-1925716429
