Question
A company has a $36 million portfolio with a beta of 1.2. The futures price for a contract on an index is 900. Futures contracts
A company has a $36 million portfolio with a beta of 1.2. The futures price for a contract on an index is 900. Futures contracts on $250 times the index can be traded. What trade is necessary to reduce beta to 0.9? A. Short 48 contracts B. Long 48 contracts C. Short 192 contracts D. Long 192 contracts
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Market Liquidity Theory Evidence And Policy
Authors: Thierry Foucault, Marco Pagano, Ailsa Roell
1st Edition
0199936242, 978-0199936243
