Question: Please show step by step process Tactical Asset Allocation Practice Problem Consider the following $100,000,000 portfolio, which has an original 50/50mix of stocks and bonds.
Please show step by step process
Tactical Asset Allocation Practice Problem Consider the following $100,000,000 portfolio, which has an original 50/50mix of stocks and bonds. Using futures contracts on stocks and bonds, you want to alter your portfolio risk to match the target portfolio. Information on Futures Contracts Stock futures: Price =1200 (multiplier =250 ) Bond futures: Price =98(1 contract size =$100,000), implied modified duration =5.8 Question: How many stock futures do you need to buy or sell to get to the target levels? How many bond futures do you need to buy or sell to get to the target levels? Tactical Asset Allocation Practice Problem Consider the following $100,000,000 portfolio, which has an original 50/50mix of stocks and bonds. Using futures contracts on stocks and bonds, you want to alter your portfolio risk to match the target portfolio. Information on Futures Contracts Stock futures: Price =1200 (multiplier =250 ) Bond futures: Price =98(1 contract size =$100,000), implied modified duration =5.8 Question: How many stock futures do you need to buy or sell to get to the target levels? How many bond futures do you need to buy or sell to get to the target levels
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