1.The portfolio uses 75% SPY and 25% bonds.The portfolio market value is $100M.The bond is 8 years...
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1.The portfolio uses 75% SPY and 25% bonds.The portfolio market value is $100M.The bond is 8 years semi, yielding 4%, coupon 9%, BBB rating, reinvestment rate of 3%.The available futures are the ES (trading at 3,800) and ZB (priced at 97).Change the AA to 50% equity with a beta of 1.2 and fixed income with a duration of 3.The simulation is stocks rise 0.80% and the interest rates fall 70 bps.Calculate the number of contracts and do a proof.
Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
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