Consider a portfolio consisting of $3000 of IBM shares and $4000 of Apple shares. Apples shares have
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Consider a portfolio consisting of $3000 of IBM shares and $4000 of Apple shares. Apples shares have a market index beta of 1.2 whereas IBM shares have a market index beta of 1.1. What is the risk minimizing hedge ratio for this portfolio using futures on the market index to hedge?
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Value of portfolio IBM shares value Apple Shares value 3000 4000 7000 Beta of portfolio IBM Share... View the full answer
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