Terms of net value if the portfolio is hedged with the index

Assignment Help Financial Management

Reference no: EM131909090

SP500 Index Value is currently 1000

SP Futures Price = 1025

Value of Portfolio = 1,000,000

Risk-free rate = 2.0%

Dividend yield on index = 1% per year

BETAp=.75 (systematic risk of portfolio)

F is $250 times the value of the index

In three months time the index increases in value by 3 percent (so that SP500=1030) and that F is $1032

Show the effect on the portfolio in terms of its net value if the portfolio is hedged with the index.

Reference no: EM131909090

Questions Cloud

When does mill say that individuality should assert itself : In your own words, explain Mill's position on the value of custom and tradition as guides for conduct? To what extent do you agree with him?

Deposit with no outstanding checks or uncleared deposits : You have $49,762 on deposit with no outstanding checks or uncleared deposits. What is your net float?

Post an explanation of what carters duty was : Definitions of moral obligation and the categorical imperative. Also consider how Kantians distinguish between right and wrong -

Describe service blueprinting in your own words : Provide a definition of a bottleneck. Describe service blueprinting in your own words, including examples of when it should be used.

Terms of net value if the portfolio is hedged with the index : Show the effect on the portfolio in terms of its net value if the portfolio is hedged with the index.

What is the final volume of the gas : As it expands, it does 145.6 J of work on its surroundings at a constant pressure of 783 torr. What is the final volume of the gas?

What is the velocity of the electrons : The wavelength of an electron beam is measured to be 900.0 nm. What is the velocity of the electrons?

Identify and describe a specific social problem : Identify and describe a specific social problem. Why do you identify this as a social problem.

How many claims are in the system on average : In a company that processes insurance claims, the average flow rate is 10 claims per hour and the average throughput time is six hours.

User Account

All Pages