Assume that you are holding a portfolio of S&P index and consider using the S&P 500 index… 1 answer below »

Assume that you are holding a portfolio of S&P index and consider using the S&P 500 indexfutures contracts to hedge the portfolio risk. Determine your hedging strategy and discusshow to implement your strategy (note that the contract information of the S&P 500 indexfutures can be found at the CME website).The file contains daily prices of S&P 500 index andS&P 500 index futures.

Don't use plagiarized sources. Get Your Custom Essay on
Assume that you are holding a portfolio of S&P index and consider using the S&P 500 index… 1 answer below »
Just from $13/Page
Order Essay

Document Preview:

9/20/2011
9/20/2011

9/20/2013
9/20/2013

9/20/2011
1196
9/20/2011
1220.3900000000001

9/21/2011
1155.8
9/21/2011
1206.3

9/22/2011
1123.5
9/22/2011
1164.55

9/23/2011
1129.8
9/23/2011
1141.72

9/26/2011
1158.4000000000001
9/26/2011
1164.19

9/27/2011
1169.5
9/27/2011
1195.8599999999999

9/28/2011
1148.7
9/28/2011
1184.71

9/29/2011
1156.3
9/29/2011
1175.8699999999999

9/30/2011
1126
9/30/2011
1159.93

10/3/2011
1086.3
10/3/2011
1138.99

10/4/2011
1113.5999999999999
10/4/2011
1125.1199999999999

10/5/2011
1135
10/5/2011
1146.07

10/6/2011
1157.5999999999999
10/6/2011
1165.55

10/7/2011
1154.9000000000001
10/7/2011
1171.4000000000001

10/10/2011
1190.9000000000001
10/10/2011
1194.9100000000001

10/11/2011
1189.5999999999999
10/11/2011
1199.24

10/12/2011
1198.2
10/12/2011
1220.25

10/13/2011
1197.9000000000001
10/13/2011
1207.46

10/14/2011
1219.2
10/14/2011
1224.6099999999999

10/17/2011
1193.9000000000001
10/17/2011
1224.47

10/18/2011
1223.0999999999999
10/18/2011
1233.0999999999999

10/19/2011
1206.5999999999999
10/19/2011
1229.6400000000001

10/20/2011
1209.9000000000001
10/20/2011
1219.53

10/21/2011
1235.2
10/21/2011
1239.03

10/24/2011
1247.0999999999999
10/24/2011
1256.55

10/25/2011
1224.5999999999999
10/25/2011
1253.8599999999999

10/26/2011
1237.4000000000001
10/26/2011
1246.28

10/27/2011
1282.5999999999999
10/27/2011
1292.6600000000001

10/28/2011
1280.9000000000001
10/28/2011
1287.08

10/31/2011
1249.3
10/31/2011
1284.96

11/1/2011
1224.5999999999999
11/1/2011
1251

11/2/2011
1234.2
11/2/2011
1242.48

11/3/2011
1255.7
11/3/2011
1263.21

11/4/2011
1251.0999999999999
11/4/2011
1260.82

11/7/2011
1257.5
11/7/2011
1261.7

11/8/2011
1273.2
11/8/2011
1277.55

11/9/2011
1225.5999999999999
11/9/2011
1275.18

11/10/2011
1237.4000000000001
11/10/2011
1246.22

11/11/2011
1261.5999999999999
11/11/2011
1266.98

11/14/2011
1252.4000000000001
11/14/2011
1263.8499999999999

11/15/2011
1254.0999999999999
11/15/2011
1264.25

11…

Attachments:

Leave a Reply

Your email address will not be published. Required fields are marked *

*

*

*