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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Handbook Of Research Methods And Applications In Empirical Finance
Authors: Adrian R. Bell, Chris Brooks, Marcel Prokopczuk
1st Edition
1782540172, 978-1782540175
