Presents a simple exercise of hedging interest. Hedge fund is considering investments in structured fixed - income product: the reverse floating rate or inverse floater, developed by the American investment bank. Normal policy of hedge funds is to hedge the risk of changes in interest rates, keeping the duration and convexity-neutral portfolio. Because of the complex nature of the structured product, the main character has to figure out how to hedge this product. "Hide
by George Chacko, Anders Sjoman Source: Harvard Business School 3 pages. Publication Date: May 19, 2005. Prod. #: 205113-PDF-ENG
