You own an equity portfolio that has a value of $10,000 and a beta of 1.2. The futures price per contract is currently $1,000. How many futures contracts do you need to sell to bring your equity portfolio's beta to a value of 1?
A) 0.5
B) 1.0
C) 1.5
D) 2.0
Correct Answer:
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Q1: You are hedging a spot position with
Q2: The correlation between changes in price of
Q4: Using a linear regression of changes
Q5: If changes in spot and futures
Q6: The tailed minimum-variance hedge ratio becomes lower
Q7: "Basis" risk may arise in a hedging
Q8: If changes in spot and futures
Q9: Suppose you want to hedge a futures
Q10: The covariance of changes between the spot
Q11: The tailed hedge ratio becomes lower in
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