Question
Suppose youre a hedge fund manager responsible for a $3 billion equity portfolio. Youve decided to use index futures to change the beta of the
Suppose youre a hedge fund manager responsible for a $3 billion equity portfolio. Youve decided to use index futures to change the beta of the portfolio from 1.2 to 0.8. Suppose the current value of one index futures contract is $750,000 and the continuously compounded risk-free interest rate is 7%. How many contracts should you short?
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Advanced Accounting
Authors: Joe Hoyle, Thomas Schaefer, Timothy Doupnik
10th edition
0-07-794127-6, 978-0-07-79412, 978-0077431808
