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A company has a $20 million stock portfolio with a beta of 4.0. It plans to hold the portfolio for one month. The current spot
A company has a $20 million stock portfolio with a beta of 4.0. It plans to hold the portfolio for one month. The current spot price of the stock market index is $4000. 1-month futures contracts on $250 times the stock index can be traded. What trade is necessary to reduce the portfolio beta to zero?
Long 80 contracts
Short 80 contracts
Long 20 contracts
Short 20 contracts
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