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Derivatives and Risk Management, 1st Edition
book

Derivatives and Risk Management, 1st Edition

by Sundaram Janakiramanan
May 2024
Intermediate to advanced content levelIntermediate to advanced
542 pages
27h 26m
English
Pearson India
Content preview from Derivatives and Risk Management, 1st Edition
Single Stock Futures and Stock Index Futures 
Step 5: Calculate the value of the stock portfolio.
Value of the stock portfolio = Original value × (1 + Portfolio return)
= 50,000,000 × [1 + (–4.686%)]
= INR 47,657,000
Step 6: Calculate the value of the hedge portfolio.
Value of hedge portfolio = Value of the stock portfolio + Gain from the futures
= 47,657,000 + 2,811,541 = INR 50,468,541

When stocks are held in a portfolio, portfolio theory states that most of the security risk can be diversi-
ed and only the non-diversiable or systematic risk of the portfolio ...
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Publisher Resources

ISBN: 9781299447547Publisher Website