Blank 1: 1.280/1.100/0.855/0.384

Blank 2: 30.9/26.4/24.0/20.5

Blank 3: long/short/flat/twisted

Blank 4: to remove about 100% of her risk/to remove about 85% of her risk/to remove about 73% of her risk/to remove about 46% of her risk

Question 7 6 pts A fund manager is seeking to hedge the end-of-year value of her $3.84 million portfolio using e-mini NAS100 futures contracts. Specifically, she wants to minimize the risk of her portfolio through December 31st. The notional of each contract is $20(index level), and the current index level is 8000. The futures contract she is choosing expires Dec 31st. The manager notes that the correlation of returns between her fund and the NAS100 is 0.8555 (with R2=0.7318), and the standard deviation of her portfolio returns is 0.3600 and the standard deviation of the NAS100 returns is 0.2800. As a result, her optimal hedge ratio (h) is (Select] Therefore, she should enter (Select] [Select] contracts. Additionally, she should expect [Select]