Question
Given the following information, please find The optimal hedging ratio; The effectiveness of the hedging; The number of futures contracts on the S&P 500 index.
Given the following information, please find
- The optimal hedging ratio;
- The effectiveness of the hedging;
- The number of futures contracts on the S&P 500 index.
*Use the past five-year monthly data (April 01,2015 ~ April 30, 2020) to find the answers.
Portfolio:
Value: $100 million.
Component stocks:
25% on IBM
20% on TSLA
55% on WMT
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The Internal Auditing Handbook
Authors: K. H. Spencer Pickett
1st Edition
0471969117, 978-0471969112
