portfolio-beta

Learning objectives: Calculate the profit and loss on a short or long hedge. Compute the optimal number of futures contracts needed to hedge an exposure and explain and calculate the “tailing the hedge” adjustment. Explain how to use stock index futures contracts to change a stock portfolio’s...

Learning objectives: Define cross hedging, and compute and interpret the minimum variance hedge ratio and hedge effectiveness. Compute the optimal number of futures contracts needed to hedge an exposure, and explain and calculate the “tailing the hedge” adjustment. Explain how to use stock index...