Question
You have an equity portfolio currently worth $10 million with a beta of 6. You would like to use e-mini S&P500 index futures contract (of
- You have an equity portfolio currently worth $10 million with a beta of 6. You would like to use e-mini S&P500 index futures contract (of your choice) to hedge the market risk of the portfolio in the next three months.
Please explain which futures contract (delivery month) you would choose to hedge the risk. What position (long or short) in futures contracts should you take? Please explain. Please find out how many contracts you should take?
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Multifractal Financial Markets An Alternative Approach To Asset And Risk Management
Authors: Yasmine Hayek Kobeissi
1st Edition
1461444896, 978-1461444893
