13. Futures Hedging (LO3, CFA2) You manage a $100 million stock portfolio with a beta of .8....

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13. Futures Hedging (LO3, CFA2) You manage a $100 million stock portfolio with a beta of .8.

Given a contract size of $100,000 for a stock index futures contract, how many contracts are needed to hedge your portfolio? Assume the beta of the futures contract is 1.

a. 8

b. 80

c. 800

d. 8,000

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Fundamentals Of Investments Valuation And Management

ISBN: 9781260013979

9th Edition

Authors: Bradford Jordan, Thomas Miller, Steve Dolvin

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Question Posted: Jul 25, 2024 09:00 AM

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13. Futures Hedging (LO3, CFA2) You manage a $100 million stock portfolio with a beta of .8....

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Fundamentals Of Investments Valuation And Management

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