The total market value of your portfolio is $20,000,000 and the beta of the portfolio is 1.6.
Fantastic news! We've Found the answer you've been seeking!
Question:
The total market value of your portfolio is $20,000,000 and the beta of the portfolio is 1.6. It is 3/23 and you want to hedge till 5/15. You have the following contracts on the S&P500 index available to you. The correlation between your portfolio and the S&P500 index is +.90.
Which of the following provides the optimal hedge?
Related Book For
Corporate Finance A Focused Approach
ISBN: 978-1439078082
4th Edition
Authors: Michael C. Ehrhardt, Eugene F. Brigham
Posted Date: