Find the Optimal Stock Index Futures Hedge Ratio If the Portfolio

question 5

Multiple Choice

Find the optimal stock index futures hedge ratio if the portfolio is worth $1,200,000,the beta is 1.15 and the S&P 500 futures price is 450.70 with a multiplier of 250.

• A)10.65
• B)12.25
• C)6123.80
• D)5325.05
• E)none of the above

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