► You want to protect the value of a $185,000,000 portfolio over the near term (so, you will "short-hedge"). The beta of this portfolio is 1.25. ► The Mini S&P futures contract with 3-months to expiration has a price of 2,880. ▸ How many futures contracts do you need to sell? 1,606. Here's why: Mini S&P 500 Multiplier: = 1,605.9 Suppose two other portfolio betas are 1.45 and 0.75. What then?

► You want to protect the value of a $185,000,000 portfolio over the near term (so, you will "short-hedge"). The beta of this portfolio is 1.25. ► The Mini S&P futures contract with 3-months to expiration has a price of 2,880. ▸ How many futures contracts do you need to sell? 1,606. Here's why: Mini S&P 500 Multiplier: = 1,605.9 Suppose two other portfolio betas are 1.45 and 0.75. What then?

International Financial Management

14th Edition

ISBN:9780357130698

Author:Madura

Publisher:Madura

Chapter11: Managing Transaction Exposure

Section: Chapter Questions

Problem 35QA

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