FuturesHedging.BetaModify Method 

Finds the number of index futures to short (negative returned value) or buy (positive returned value) in order to modify the beta of a well diversified stock portfolio (constructed from assets within the same index) to any desired value.

Parameters

portfolio

The value of the portfolio.

indexSize

The value of the assets underlying one index futures contract.

originalBeta

The beta of the starting portfolio according to the CAPM model which can be evaluated using PortfolioBeta.

requiredBeta

The beta which we desire for the modified portfolio of stocks and index futures contracts where the beta is understood in the sense of the CAPM (see PortfolioBeta for further details).

Return Value

The number of index futures contracts to buy (positive number) or sell (negative number) in order to change the beta of the portfolio to the desired level.

Remarks

Note: The portfolio beta refered to above is the beta in accordance with the Capital Asset Pricing Model (CAPM). For further details please see the documentation for PortfolioBeta.

See Also

FuturesHedging Class | WebCab.COM.Finance.Futures Namespace