Question
The S&P 500 Index is currently at 2,000. You manage a $5 million indexed equity portfolio. The S&P 500 futures contract has a multiplier of
The S&P 500 Index is currently at 2,000. You manage a $5 million indexed equity portfolio. The S&P 500 futures contract has a multiplier of $250.
a. If you are temporarily bearish on the stock market, how many contracts should you sell to fully eliminate your exposure over the next six months?
Number of contracts
b. If T-bills pay 3.0% per six months and the semiannual dividend yield is 1.0%, what is the parity value of the futures price? (Round your answer to 2 decimal places. Do not round intermediate calculations.)
Parity value
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Behavioral Finance And Asset Prices
Authors: David Bourghelle, Pascal Grandin, Fredj Jawadi, Philippe Rozin
1st Edition
3031244850, 978-3031244858
