The equity portfolio you manage is $500M (with a 1.3 beta) and the fixed income portfolio is $500M (with an 8- year dura
Posted: Fri Jul 01, 2022 7:42 am
The equity portfolio you manage is $500M (with a 1.3 beta) andthe fixed income portfolio is $500M (with an 8- year duration). Thefollowing futures are available: ES, beta 1.00, multiplier 50,futures index 3,795, ZB, duration 4 years, price 98. Establish afull hedge on the $1 billion portfolio (stocks and bonds). Providethe number of contracts.