Already have an account? Get multiple benefits of using own account!
Login in your account..!
Remember me
Don't have an account? Create your account in less than a minutes,
Forgot password? how can I recover my password now!
Enter right registered email to receive password!
You are a portfolio manager and you would like to hedge a portfolio daily over a thirty-day horizon using futures. The table below provides data on the values of the spot portfolio and the futures that will be used as a hedging instrument:
a) Use the data to find the minimum variance hedge ratio you would use to achieve the hedge.
b) Using the hedge ratio from a., calculate the daily change in value of the hedged portfolio.
c) What is the standard deviation of changes in value of the hedged portfolio? How does this compare to the standard deviation of changes in the unhedged spot position?
Day Spot Futures
0 80 81 1 79.635 80.869 2 77.88 79.092 3 76.4 77.716 4 75.567 77.074 5 77.287 78.841 6 77.599 79.315 7 78.147 80.067 8 77.041 79.216 9 76.853 79.204 10 77.034 79.638 11 75.96 78.659 12 75.599 78.549 13 77.225 80.512 14 77.119 80.405 15 77.762 81.224 16 77.082 80.654 17 76.497 80.233 18 75.691 79.605 19 75.264 79.278 20 76.504 80.767 21 76.835 81.28 22 78.031 82.58 23 79.185 84.03 24 77.524 82.337 25 76.982 82.045 26 76.216 81.252 27 76.764 82.882 28 79.293 84.623 29 78.861 84.205 30 76.192 81.429
What is the free cash flow of the lease for BMI Regional? The FCF of the lease is $. (round to $ million, three decimals, don't enter minus)
Consider a coupon bond that has a face value of $1,000, a coupon rate of 4%, and five years to maturity. What is the price of the bond if the yield to maturity on similar bonds is 6%
How would you advise an entrepreneur whose venture is just starting out on the development of an exit strategy/harvest method?
A one-year Treasury bill offers a 7% yield to maturity. A two-year Treasury bill offers a 7.8% yield to maturity.
What is ICU's pretax cost of debt? If the tax rate is 38 percent, what is the after tax cost of debt?
1.the robinson company had a cost of goods sold of 1000000 in 2011 and 1200000in2012.a. calculate the inventory
In December 2005, the spot exchange rate for the British pound was 1.7188/euros. Suppose that at the same time the one year interest rate in the United States
What effective annual rate (EAR) will you earn on this investment?
Calculating Cum-Dividend Earnings Growth Rates Nike (Easy) In early fiscal year 2009, analysts were forecasting $3.90 for Nike earnings per share.
If sinking fund cash is used to purchase investments, those investments are reported on the balance sheet as marketable securities.
Identify current industry products and/or services to assist in the auditing process
an automobile parts company has a standard material price of 2 per pound. in october the company produced 4500 units
Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!
whatsapp: +1-415-670-9521
Phone: +1-415-670-9521
Email: [email protected]
All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd