Which of the Following Are Needed to Determine the Number

question 38

Multiple Choice

Which of the following are needed to determine the number of stock index futures required to cross-hedge a stock portfolio?
I. standard deviation of the stock portfolio
II. beta of the stock portfolio
III. value of the index futures contract
IV. value of the stock portfolio

• A)I and III only
• B)II and IV only
• C)I, II, and III only
• D)II, III, and IV only
• E)I, III, and IV only

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Definitions:

Portfolio Investment

In international finance, investment in the securities of a foreign company or government.

French Company

A business entity that is registered and operates within France or is formed under French law.

Indirect Quote

An exchange rate expressed as the amount of foreign currency one unit of domestic currency can buy.

Direct Quote

An exchange rate presented as the local currency for each unit of the international currency.