Question
You have a stock portfolio of $500,000 that has a Beta of 1.75 You want to use NASDAQ 100 e-mini futures contracts to hedge your
You have a stock portfolio of $500,000 that has a Beta of 1.75
You want to use NASDAQ 100 e-mini futures contracts to hedge your portfolio.
3 month NASDAQ 100 futures have a price of 16089.25.
How many contracts do you need for a complete hedge?
The e-mini multiplier is $20.
| A. | 1 |
| B. | 3 |
| C. | 12 |
| D. | 33 |
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Financial Institutions Management A Risk Management Approach
Authors: Anthony Saunders, Marcia Cornett, Otgo Erhemjamts
10th Edition
1260013820, 978-1260013825
