《《Investment 8th Chap023》.docVIP

CHAPTER 23: FUTURES, SWAPS, AND RISK MANAGEMENT PROBLEM SETS 1. In formulating a hedge position, a stock’s beta and a bond’s duration are used similarly to determine the expected percentage gain or loss in the value of the underlying asset for a given change in market conditions. Then, in each of these markets, the expected percentage change in value is used to calculate the expected dollar change in value of the stock or bond portfolios, respectively. Finally, the dollar change in value of the underlying asset, along with the dollar change in the value of the futures contract, determines the