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You hedge a $\$10$ million equity portfolio with index futures of notional $\$250{,}000$ . Daily portfolio returns have volatility $2\%$ , futures returns $2.5\%$ , and their correlation is $0.9$ . What is the minimum-variance number of contracts to sell, to one decimal?

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Forwards, futures and the cost of carry

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You hedge a $10 million equity portfolio with index futures of notional $250,000. · QuantMax

You hedge a $10\$10$10 million equity portfolio with index futures of notional $250,000\$250{,}000$250,000. Daily portfolio returns have volatility 2%2\%2%, futures returns 2.5%2.5\%2.5%, and their correlation is 0.90.90.9. What is the minimum-variance number of contracts to sell, to one decimal?

More time value, rates and linear products questions

You hedge a $\$10$ million equity portfolio with index futures of notional $\$250{,}000$ . Daily portfolio returns have volatility $2\%$ , futures returns $2.5\%$ , and their correlation is $0.9$ . What is the minimum-variance number of contracts to sell, to one decimal?