We know at PSX we can use Futures, we have portfolio which has worth of Rs 500,000,000
Fantastic news! We've Found the answer you've been seeking!
Question:
We know at PSX we can use Futures, we have portfolio which has worth of Rs 500,000,000 which mirrors KSE 100. Future price for KSE 100 index 50,000 and each future is 250 times the index. Risk free rate is 8% and dividend yield is 2%. Please calculate the position in futures contracts to hedge this portfolio? Please also show in table format, gain in futures position, return on market, expected return on portfolio, expected portfolio value including dividends and value of position in three month, if loss on the index is 15% in three months. Future Price of Index in three months is 45,000.
Related Book For
Posted Date: