Question
An investor decided to put $205,990 in a fund tracking the DJIA. The settlement price for the mini Dow maturing in December is 24464 while
An investor decided to put $205,990 in a fund tracking the DJIA. The settlement price for the mini Dow maturing in December is 24464 while the Dow is at 24511 today. The average and standard deviation of the Dow returns are 7.88% and 10.87% respectively. Find the gains/losses for investing in the mutual fund and entering into one futures contract. Consider the value of the Dow can change by plus/minus one standard deviation.
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Financial Institutions Management A Risk Management Approach
Authors: Anthony Saunders, Marcia Cornett, Otgo Erhemjamts
10th Edition
1260013820, 978-1260013825
