Question: Information on your Portfolio Expected dividend yield 0% Index Linked Portfolio Value $2,000,000 Portfolio Beta 1.15 FBM KLCI Index 1545.35 Risk-free rate 3% FKLI index

Information on your Portfolio
Expected dividend yield 0%
Index Linked Portfolio Value $2,000,000
Portfolio Beta 1.15
FBM KLCI Index 1545.35
Risk-free rate 3%
FKLI index 1540.50

How many FKLI contract should you use in order to 80% partially hedge on the portfolio?

a. 24 contracts.

b. 21 contracts.

c. 23 contracts.

d. 22 contracts.

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