Question
Suppose we have a well diversified $5M portfolio with a Beta of 1.75. We want to create a delta hedge using S&P500 index futures. The
Suppose we have a well diversified $5M portfolio with a Beta of 1.75. We want to create a delta hedge using S&P500 index futures.
The index is currently at 3,105.30 and Dec. index futures are currently trading at 3,108.6.
Suppose over the next few weeks the market remains unchanged..
What is your total profit or loss when the market remains unchanged?
| A. | gained $1,446.25 | |
| B. | loss of $19,596.25 | |
| C. | loss of $9,075 | |
| D. | gain of $9,075 |
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Real Estate Vs Stocks An Investor S Guide
Authors: J.d. Lyn
1st Edition
979-8427467551
