Hedging investment manager portfolio


investment manager has a €10 million portfolio consisting of €2 million of stock A and €8 million of stock B. Stock A has a market beta of 1.2 and return standard deviation of 20%. Stock B has a market beta 0.85 and a standard deviation of 25%. The correlation between their returns is 0.6. What is the minimum variance hedge ratio for hedging the investment manager's portfolio using equity index futures?

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Finance Basics: Hedging investment manager portfolio
Reference No:- TGS049993

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