Show the effect on the portfolio in terms of its net value, Financial Management

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Show the effect on the portfolio in terms of its net value

SP500 Index Value is currently 1000

SP Futures Price = 1025

Value of Portfolio = 1,000,000

Risk-free rate = 2.0%

Dividend yield on index = 1% per year

BETAp=.75 (systematic risk of portfolio)

F is $250 times the value of the index

In three months time the index increases in value by 3 percent (so that SP500=1030) and that F is $1032

Show the effect on the portfolio in terms of its net value if the portfolio is hedged with the index.

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Financial Management: Show the effect on the portfolio in terms of its net value

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Financial Management: Show the effect on the portfolio in terms of its net value

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