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 raise beta to 1.5?
a. Short 48 contracts
b. Long 144 contracts
c. Short 144 contracts
d. Long 48 contracts
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Public Finance A Contemporary Application Of Theory To Policy
Authors: David N. Hyman
5th Edition
0030113172, 978-0030113178
