Question
You own a portfolio which is valued at $6.4 million and which has a beta of 1.27. You would like to create a riskless portfolio
You own a portfolio which is valued at $6.4 million and which has a beta of 1.27. You would like to create a riskless portfolio by hedging with S&P 500 futures contracts. The contract size is $250 times the index level. How many futures contracts are needed if the current S&P 500 index is 1406?
| short 23 contracts | |
| long 18 contracts | |
| short 16 contracts | |
| long 23 contracts | |
| short 18 contracts |
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Local Public Finance
Authors: René Geissler, Gerhard Hammerschmid, Christian Raffer
1st Edition
3030674681, 978-3030674687
