futures

Write down the optimal hedge ratio equation for a stock portfolio and use the information provided to solve the hedging problem. Assume a fund manager has a £5 million portfolio of shares with a beta risk of 0.87. Price risks are apparent in a two –month holding period horizon. The only front...

Among the T-bonds available for delivery (the short position is given a choice in order to avoid a liquidity squeeze on a single bond), the cheapest to deliver (CTD) bond minimizes the net cost. David's XLS is here: https://www.dropbox.com/s/0145of75vjwhb8c/082218-tbond-ctd.xlsx

A fund manager has a USD 100 million portfolio with a beta of 0.75. The manager has bullish expectations for the next couple of months and plans to use futures contracts on the S&P500 to increase the portfolio´s beta to 1.8. Given the following information, which strategy should the fund manager...

Hi David, Can you please explain how do we calculate forward price with storage costs when given as $ values and as % ? Between the two books I am really confused..perhaps extend this with other Cost of carry factors. Thanks in advance..

Hi David, I am trying to relate the 2 concepts here and getting a little confused - So-Fo = Basis where; So<Fo = Weak Basis, Contango and model is Cash and Carry at time = 0 if So<Fo ex. 4 and 4.2 i.e basis = -0.2 weak basis here at time = t if St<Ft ex. 4.2 and 4.3 then basis = -0.1 weak...

Hi, I have a doubt about the meaning of the hedge ratio. Hedge ratio = ρ * σ_spot / σ_fut Number of contracts = HedgeRatio * PortfolioValue / ValueFuturesContract Therefore, the lower the correlation, the lower the number of contracts. So, let's say that I have a portfolio of $ 1.000.000 of...