Define financial economics and financial mathmatics
l. Assume that instead of locking out all market risk, you only want to carry half of the beta that was in your portfolio for the remainder of the year. How many contracts should you use for your hedge 2. Estimate the AV and AVHedged results for this position for November December Unhedged and discuss your results Now re-consider the fully hedged position (i.e., the case applied in Parts l and 2). Suppose is a general policy at Janus to "tail" every hedge position on a monthly basis. If you tail your hedge on December 1st, what effect will this have for the overall results of the hedged portfolio? Discuss the following: First: What did you do to tail the hedge? Second: Describe the mechanics of your estimate for this "tailed" position. Third: How effective was this strategy in reducing risk? m UAENx), Bloomberg (futures), and St. Louis Federal Reserve finance bor RCES SP BIG e-mini S&P 400 JAENx March March March Adj Close SPH6 Index ESH6 Index FAH6 Index Date DATE 02/11/15 87.81048 02/11/15 2087.8 2087.75 1459.4 0,3341. 03/11/15 87.791235 2095.5 2095.5 1461.9 (0,3336 04/11/15 87.916346 2087.5 2087.5 1458 (0,3366 10 05/11/15 87,473 637 o6/ 11/15 87.608374 2086.8 208675 31457 o6 11/15 o 3414 11 o9/11/15 87.0405 sa 2065.9 2066 1444.6 O9/11/15 0.3556 12 10/11/15 87.252286 2071 2071 1452.5 10/11/15 o 3561 13 11/11/15 86.934688 2061.9 2062 1441.5 11/11/15 o.3591 14 12/11/15 8s.s 14527 2033.3 2033.25 1411.3 12/11/15 0.3616 15 13/11/15 85.134975 16 2011.2 2011.25 1397.9 13/11/15 0.3636 16/11/15 86.049271 2040.7 2040.75 1416.7 16/11/15 0.3641 17/11/15 85.924153 2041.7 2041.75 1411.7 18 0.3671 19 18/11/15 87.165665 2072.5 2072.5 1437.1 18/11/15 0.3696 20 19/11/15 87.127168 2072.2 2072.25 1483.3 19/11/15 0.3776 21 20/11/15 87.492889 2081 1441.1 20/11/15 0.3821 2081 22 23/11/15 87.569877 2077.1 2077 1444.8 23/11/15 0.3932 23 24/11/15 87.781608