Question
A company has a $99 million portfolio with a beta of 1.5 relative to the S&P 500 index. The futures price for a contract on
A company has a $99 million portfolio with a beta of 1.5 relative to the S&P 500 index. The futures price for a contract on the S&P 500 index is 3300. Futures contracts on 50 times the index price are traded. What trade is necessary to reduce the beta of the portfolio including the futures hedge to 1.0?
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The Wealthtech Book The FinTech Handbook For Investors Entrepreneurs And Finance Visionaries
Authors: Susanne Chishti, Thomas Puschmann
1st Edition
1119362156, 978-1119362159
