Question
A fund manages a $3.6 billion equity portfolio with a beta of 0.6. If the S&P contract multiplier is $50 and the index is currently
A fund manages a $3.6 billion equity portfolio with a beta of 0.6. If the S&P contract multiplier is $50 and the index is currently at 2,400, how many contracts should the fund sell to make its overall position market neutral?
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Applied Equity Analysis and Portfolio Management Tools to Analyze and Manage Your Stock Portfolio
Authors: Robert A.Weigand
1st edition
978-111863091, 1118630912, 978-1118630914
