第二章 A short hedge is appropriate when a company owns an asset and expects to sell it in the future. a long hedge is appropriate when a company knows it will have to purchase an asset in the future. It can also be used to offset the risk from an existing short position 2.l0 There will be a margin call when $1,000 has been lost from the margin account. This will occur when the price of silver increases by 1000/5000=$0.20. The price of silver must therefore rise to %65.40 per ounce for there be a margin call. If the margin call is not met, the position is closed out 12 There is a margin call if $1, 500 is lost on one contract. This happens if the futures price of frozen orange juice falls by 10 cents to 150 cents per lb. $2, 000 can be withdrawn from the margin account if the value of one contract rises by $1,000. This will happen if the futures price rises by 6.67 cents to 166.67 cents per lb 2.14 The optimal hedge ration is 0.8×065 0.81 =0.642 This means that the size of the futures position should be 64. 2% of the第二章 2.6 A short hedge is appropriate when a company owns an asset and expects to sell it in the future. A long hedge is appropriate when a company knows it will have to purchase an asset in the future. It can also be used to offset the risk from an existing short position. 2.10 There will be a margin call when $1,000 has been lost from the margin account. This will occur when the price of silver increases by 1000/5000=$0.20. The price of silver must therefore rise to %5.40 per ounce for there be a margin call. If the margin call is not met, the position is closed out. 2.12 There is a margin call if $1,500 is lost on one contract. This happens if the futures price of frozen orange juice falls by 10 cents to 150 cents per lb. $2,000 can be withdrawn from the margin account if the value of one contract rises by $1,000. This will happen if the futures price rises by 6.67 cents to 166.67 cents per lb. 2.14 The optimal hedge ration is 0.65 0.8 0.642 0.81 × = This means that the size of the futures position should be 64.2% of the