our stock portfolio has a beta of 1.30 and is currently worth $20m. The S&P/ASX200 index is currently priced at 3540. The December‐2009 maturity SPI200 futures contract is quoted at 3560. How many SPI200 futures contracts are required to fully hedge your stock portfolio? Round your answer to the nearest whole number. a) 292 contracts b) 225 contracts c) 7344 contracts d) 294 contracts
our stock portfolio has a beta of 1.30 and is currently worth $20m. The S&P/ASX200 index is currently priced at 3540. The December‐2009 maturity SPI200 futures contract is quoted at 3560. How many SPI200 futures contracts are required to fully hedge your stock portfolio? Round your answer to the nearest whole number. a) 292 contracts b) 225 contracts c) 7344 contracts d) 294 contracts
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Your stock portfolio has a beta of 1.30 and is currently worth $20m. The S&P/ASX200 index is currently priced at 3540. The December‐2009 maturity SPI200 futures contract is quoted at 3560. How many SPI200 futures contracts are required to fully hedge your stock portfolio? Round your answer to the nearest whole number.
a) 292 contracts
b) 225 contracts
c) 7344 contracts
d) 294 contracts
e) 7303 contracts
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