You Own a Portfolio That Is Valued at $11,190,000 and Has

question 99

Multiple Choice

You own a portfolio that is valued at $11,190,000 and has a beta of 1.43. You would like to create a riskless portfolio by hedging using S&P 500 futures contracts. The contract size is $250 times the index level. How many futures contracts do you need to acquire if the current S&P 500 index is 1730?

• A)short 28 contracts
• B)short 37 contracts
• C)long 28 contracts
• D)long 37 contracts
• E)short 43 contracts

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Definitions:

Confidence Interval

A range derived from sample statistics that likely contains the true population parameter at a specified level of confidence.

Standard Deviation

An assessment of the level of disparity or distribution spread in a dataset.

Random Sample

A random sample is a subset of individuals chosen from a larger set, or population, where each individual has an equal chance of being selected.

Confidence Interval

A cadre of numbers, derived from analyzing sample data, assumed likely to encase the value of a yet-to-be-discussed population attribute.