Find the optimal stock index futures hedge ratio if the portfolio is worth $1,200,000, the beta is 1.15 and the S&P 500 futures price is 450.70 with a multiplier of 250.
a. 10.65
b. 12.25
c. 6123.80
d. 5325.05
e. none of the above
Answer: B
Find the optimal stock index futures hedge ratio if the portfolio is worth $1,200,000, the beta is 1.15 and the S&P 500 futures price is 450.70 with a multiplier of 250.
a. 10.65
b. 12.25
c. 6123.80
d. 5325.05
e. none of the above
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