微信扫一扫
实时资讯全掌握
|
An investor has a $100 million stock portfolio with a beta of 1.1. He would like to hedge his portfolio using S&P 500 futures contracts, which are currently trading at 596.70. The futures contract has a multiple of 250. Which of the following is the CORRECT trade required to create a synthetic T-bill? A. Sell 737 contracts. B. Sell 670 contracts. C. Buy 670 contracts. |