Question
you are to hedge the market risk of a one-stock portfolio using stock index futures. Suppose today is Oct 10, 2022. On Oct 10, you
you are to hedge the market risk of a one-stock portfolio using stock index futures. Suppose today is Oct 10, 2022. On Oct 10, you purchase either 100 or 1,000 or 10,000 or 100,000 shares of you selected stock either from the Chinese A-share market or from the US equity market. If the selected stock is traded in China, you will use CSI 300 Index Futures to cross-hedge. If the selected stock is traded in the U.S., you will use E-mini S&P 500 Index Futures to cross-hedge. You expect to sell all of your shares on Oct 21, so this hedge is only necessary for a few weeks. Please find the stock beta from yahoo finance.com or from trading apps such as . Then do the following: Calculate the number of futures contracts that you will need to hedge the market risk of your portfolio. Make sure you give all the details needed for the hedging strategy you are using. Please ensure the number of futures contracts is a positive integer.
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