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Bids

3

Project-Budget

$10- $30

Active

The asset manager wants to fully hedge the interes

Project Description:

The asset manager wants to fully hedge the interest rate risk on the bonds

by using bond futures and to hedge the equity risk by using index futures.

Calculate the appropriate number of bond and equity futures that should

be sold. You may assume that the portfolio of German equities has a beta

of one to the German DAX index (bond and index future data can be

found at www.eurexchange.com ).

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$30

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$50