The company would like to use the CME December futures contract on the S&P 500 to change

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The company would like to use the CME December futures contract on the S&P 500 to change the beta of the portfolio to 0.5 during the period July 16 to November 16. The index is currently 1,000, and each contract is on $250 times the index.

a. What position should the company take?

b. Suppose that the company changes its mind and decides to increase the beta of the portfolio from 1.2 to

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Options Futures And Other Derivatives

ISBN: 9780130090560

5th Edition

Authors: John C. Hull

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Question Posted: Oct 18, 2024 07:01 AM

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The company would like to use the CME December futures contract on the S&P 500 to change

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Options Futures And Other Derivatives

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