What is your hedging strategy

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Reference no: EM132008614

Suppose you are a fund manager managing a portfolio worth $10million with Beta equal 0.8. The current index is 1000.You want to use current index future with three months maturity to protect your portfolio for two months.

Each point in index future means $50. What is your hedging strategy?

Two months later, the index is 1050, please demonstrate the success of your strategy. The risk-free interest rate is 5% (continuously compounded).

Reference no: EM132008614

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