
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-diversiable or systematic risk of the portfolio ...