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The current price of the Exchange Traded Fund YHT, which does not pay dividends, is $33.5 per share. Your position, worth 23450 dollars, consists entirely
The current price of the Exchange Traded Fund YHT, which does not pay dividends, is $33.5 per share. Your position, worth 23450 dollars, consists entirely of YHT shares. The effective 3-month interest rate is 0.25% and futures contracts on YHT with 3month maturity are trading at fair value. To protect your position against potential losses, you decide to partially hedge by selling 525 YHT futures that expire in 3 months. You have built a proprietary model according to which the 3-month net return on YHT will be between 18% and 22%. What is the lowest possible value of your combined position in 3 months based on your model
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