Question
The equity portfolio you manage is $500M (with a 1.3 beta) and the fixed income portfolio is $500M (with an 8- year duration). The following
The equity portfolio you manage is $500M (with a 1.3 beta) and the fixed income portfolio is $500M (with an 8- year duration). The following futures are available: ES, beta 1.00, multiplier 50, futures index 3,795, ZB, duration 4 years, price 98. Establish a full hedge on the $1 billion portfolio (stocks and bonds). Provide the number of contracts.
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Bond Markets Analysis And Strategies
Authors: Frank J. Fabozzi
4th Edition
0130402664, 9780130402660
