Question
A company has a $36 million portfolio with a beta of 1.2. The futures price for a contract on the S&P index is 2849. Futures
A company has a $36 million portfolio with a beta of 1.2. The futures price for a contract on the S&P index is 2849. Futures contracts on $250 times the index can be traded. How many futures contracts does the company need to go long or short to increase the beta to 1.8?
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The Oxford Handbook Of Quantitative Asset Management
Authors: Bernd Scherer, Kenneth Winston
1st Edition
0199553432, 978-0199553433
